# EDGAR Filing Document

**Accession Number:** 0000844779
**File Stem:** 0001410368-25-043364
**Filing Date:** 2025-12
**Character Count:** 793431
**Document Hash:** 9ae2e2b083bc7575b53336184d699c8f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-043364.hdr.sgml**: 20251229

**ACCESSION NUMBER**: 0001410368-25-043364

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251031

**FILED AS OF DATE**: 20251229

**DATE AS OF CHANGE**: 20251229

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BLACKROCK FUNDS
- **CENTRAL INDEX KEY:** 0000844779

**ORGANIZATION NAME:**
- **EIN:** 510318674
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05742
- **FILM NUMBER:** 251606759

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

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

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-10-31

**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:** $6375934520.38

**Total Liabilities:** $593198910.12

**Net Assets:** $5782735610.26

**Delayed Delivery Securities:** $154750.60

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 77.61000000 | **1-Year:** 36723.26000000 | **5-Year:** 1986077.39000000 | **10-Year:** 1001719.12000000 | **30-Year:** 2586.44000000

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

- **3-Month:** 9077.14000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000234051 | 1.60%                | 1.16%                | 0.84%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $4399659.69              | $64009497.25                               |
| Month 2  | $5932890.04              | $40018979.59                               |
| Month 3  | $-912362.01              | $30432174.15                               |

**Designated Index Information**

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

- **Index Identifier:** LD19TRUU

### Schedule of Portfolio Investments

| Name                                               | Title                                                             | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| UMBS, TBA                                          | Uniform Mortgage-Backed Security, TBA                             | CUSIP: 01F0124B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5775000 | PA      | $5172585.90   | 0.09%             | 2040-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                          | Uniform Mortgage-Backed Security, TBA                             | CUSIP: 01F0204B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  47475000 | PA      | $43687307.77  | 0.76%             | 2040-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                          | Uniform Mortgage-Backed Security, TBA                             | CUSIP: 01F0206B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  36725000 | PA      | $29774700.84  | 0.51%             | 2055-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                          | Uniform Mortgage-Backed Security, TBA                             | CUSIP: 01F0224B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  32125000 | PA      | $30214346.99  | 0.52%             | 2040-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                          | Uniform Mortgage-Backed Security, TBA                             | CUSIP: 01F0226B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  28875000 | PA      | $24511019.03  | 0.42%             | 2055-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                          | Uniform Mortgage-Backed Security, TBA                             | CUSIP: 01F0304B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1625000 | PA      | $1556934.91   | 0.03%             | 2040-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                          | Uniform Mortgage-Backed Security, TBA                             | CUSIP: 01F0306B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  29950000 | PA      | $26533828.13  | 0.46%             | 2055-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                          | Uniform Mortgage-Backed Security, TBA                             | CUSIP: 01F0324B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    700000 | PA      | $677977.55    | 0.01%             | 2040-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                          | Uniform Mortgage-Backed Security, TBA                             | CUSIP: 01F0326B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  37325000 | PA      | $34408465.93  | 0.60%             | 2055-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                          | Uniform Mortgage-Backed Security, TBA                             | CUSIP: 01F0404B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13725000 | PA      | $13505998.41  | 0.23%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                          | Uniform Mortgage-Backed Security, TBA                             | CUSIP: 01F0406B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  23550000 | PA      | $22342061.15  | 0.39%             | 2055-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                          | Uniform Mortgage-Backed Security, TBA                             | CUSIP: 01F0426B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  27050000 | PA      | $26363510.76  | 0.46%             | 2055-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                          | Uniform Mortgage-Backed Security, TBA                             | CUSIP: 01F0506B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  24575000 | PA      | $24449347.53  | 0.42%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                          | Uniform Mortgage-Backed Security, TBA                             | CUSIP: 01F0526B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  33650000 | PA      | $33996482.61  | 0.59%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                          | Uniform Mortgage-Backed Security, TBA                             | CUSIP: 01F0606B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  38032000 | PA      | $38889886.68  | 0.67%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                          | Uniform Mortgage-Backed Security, TBA                             | CUSIP: 01F0626B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2812500 | PA      | $2912300.83   | 0.05%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ally Auto Receivables Trust                        | Ally Auto Receivables Trust 2025-1                                | CUSIP: 02008KAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $999799.97    | 0.02%             | 2030-03-15      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| American Express Credit Account Master Trust       | American Express Credit Account Master Trust                      | CUSIP: 02582JKF6<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3127341.99   | 0.05%             | 2031-04-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| American Express Credit Account Master Trust       | American Express Credit Account Master Trust                      | CUSIP: 02582JKP4<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1413702.08   | 0.02%             | 2030-04-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| American Express Credit Account Master Trust       | American Express Credit Account Master Trust                      | CUSIP: 02582JKR0<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1021602.76   | 0.02%             | 2032-04-15      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| American Express Credit Account Master Trust       | American Express Credit Account Master Trust                      | CUSIP: 02582JKV1<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4552383.06   | 0.08%             | 2030-07-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| American Express Credit Account Master Trust       | American Express Credit Account Master Trust                      | CUSIP: 02589BAE0<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1012647.91   | 0.02%             | 2029-07-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC        | BBCMS Mortgage Trust 2018-C2                                      | CUSIP: 05491UBC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $494860.76    | 0.01%             | 2051-12-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC        | BBCMS Mortgage Trust 2020-C7                                      | CUSIP: 05492VAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2010000 | PA      | $1801617.69   | 0.03%             | 2053-04-15      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC        | BBCMS Mortgage Trust 2021-C9                                      | CUSIP: 05493EBD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $208407.03    | 0.00%             | 2054-02-15      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC        | BBCMS Mortgage Trust 2024-C30                                     | CUSIP: 05493YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $419830.99    | 0.01%             | 2057-11-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC        | BBCMS Mortgage Trust 2024-C30                                     | CUSIP: 05493YAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $259773.69    | 0.00%             | 2057-11-15      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC        | BBCMS Mortgage Trust 2022-C18                                     | CUSIP: 054975AL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $299677.77    | 0.01%             | 2055-12-15      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC        | BBCMS Mortgage Trust 2022-C17                                     | CUSIP: 054976AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $986756.71    | 0.02%             | 2055-09-15      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC        | BBCMS Trust 2021-C10                                              | CUSIP: 05551VBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $472380.36    | 0.01%             | 2054-07-15      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC        | BBCMS Trust 2021-C10                                              | CUSIP: 05551VBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7682110 | PA      | $6969510.22   | 0.12%             | 2054-07-15      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC        | BBCMS Mortgage Trust 2021-C12                                     | CUSIP: 05552XBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1171000 | PA      | $1049275.69   | 0.02%             | 2054-11-15      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC        | BBCMS Mortgage Trust 2021-C12                                     | CUSIP: 05552XBL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $215126.07    | 0.00%             | 2054-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC        | BBCMS Mortgage Trust 2022-C16                                     | CUSIP: 05552YAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2969874.48   | 0.05%             | 2055-06-15      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC        | BBCMS Mortgage Trust 2024-5C25                                    | CUSIP: 05554VAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410000 | PA      | $428727.88    | 0.01%             | 2057-03-15      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC        | BBCMS Mortgage Trust 2024-5C25                                    | CUSIP: 05554VAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $513055.38    | 0.01%             | 2057-03-15      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                 | BMO 2023-C7 Mortgage Trust                                        | CUSIP: 05593FAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $541964.18    | 0.01%             | 2056-12-15      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                 | BMO 2024-C8 Mortgage Trust                                        | CUSIP: 05593HAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2720000 | PA      | $2867521.87   | 0.05%             | 2057-03-15      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                 | BMO 2024-C8 Mortgage Trust                                        | CUSIP: 05593HAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2100883.78   | 0.04%             | 2057-03-15      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                 | BMO 2024-C8 Mortgage Trust                                        | CUSIP: 05593HAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1470000 | PA      | $1524620.23   | 0.03%             | 2057-03-15      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                 | BMO 2024-C8 Mortgage Trust                                        | CUSIP: 05593HAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $253434.94    | 0.00%             | 2057-03-15      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                 | BMO 2024-5C6 Mortgage Trust                                       | CUSIP: 05593QAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $510341.22    | 0.01%             | 2057-09-15      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                 | BMO 2024-5C5 Mortgage Trust                                       | CUSIP: 05593RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1463138.42   | 0.03%             | 2057-02-15      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                 | BMO 2025-C11 Mortgage Trust                                       | CUSIP: 05613XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1061074.72   | 0.02%             | 2058-02-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Bank5                                              | BANK5 2023-5YR4                                                   | CUSIP: 06211FAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    432807 | PA      | $455969.68    | 0.01%             | 2056-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bank5                                              | BANK5 2024-5YR7                                                   | CUSIP: 06211UBL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2860000 | PA      | $2984451.76   | 0.05%             | 2057-06-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Bank5                                              | BANK5 2024-5YR7                                                   | CUSIP: 06211UBT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1180000 | PA      | $1242322.03   | 0.02%             | 2057-06-15      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| Bank5                                              | BANK5 2024-5YR7                                                   | CUSIP: 06211UBY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1150000 | PA      | $1212329.52   | 0.02%             | 2057-06-15      | Fixed         | 6.94%                 | No            |                  2 | On Loan: No      |
| Banc of America Commercial Mortgage Trust          | Bank of America Merrill Lynch Commercial Mortgage Trust 2017-BNK3 | CUSIP: 06427DAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $487542.76    | 0.01%             | 2050-02-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Bank                                               | BANK 2020-BNK25                                                   | CUSIP: 06539WBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $174187.18    | 0.00%             | 2063-01-15      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Bank                                               | BANK 2020-BNK27                                                   | CUSIP: 06539XAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4515000 | PA      | $4023420.48   | 0.07%             | 2063-04-15      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| Bank                                               | BANK 2019-BNK18                                                   | CUSIP: 065402BC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1659000 | PA      | $1590922.19   | 0.03%             | 2062-05-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Bank                                               | BANK 2019-BNK16                                                   | CUSIP: 065405AH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $453253.85    | 0.01%             | 2052-02-15      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Bank                                               | BANK 2019-BNK21                                                   | CUSIP: 06540BBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4564000 | PA      | $4302821.95   | 0.07%             | 2052-10-17      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Bank                                               | BANK 2021-BNK35                                                   | CUSIP: 06540CCL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $430639.01    | 0.01%             | 2064-06-15      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| Bank                                               | BANK 2021-BNK36                                                   | CUSIP: 06540DBV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $206247.96    | 0.00%             | 2064-09-15      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Bank                                               | BANK 2018-BNK11                                                   | CUSIP: 06540TAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $482291.22    | 0.01%             | 2061-03-15      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Bank                                               | BANK 2022-BNK40                                                   | CUSIP: 06541LBU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $439369.09    | 0.01%             | 2064-03-15      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Bank                                               | BANK 2022-BNK43                                                   | CUSIP: 06541QAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $984691.05    | 0.02%             | 2055-08-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Bank5                                              | BANK5 2025-5YR16                                                  | CUSIP: 065934AY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1033704.26   | 0.02%             | 2063-08-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC        | BBCMS MORTGAGE TRUST 2017-C1                                      | CUSIP: 07332VBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    908000 | PA      | $900601.90    | 0.02%             | 2050-02-15      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC        | BBCMS Mortgage Trust 2024-5C31                                    | CUSIP: 07336YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $521172.52    | 0.01%             | 2057-12-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC        | BBCMS Mortgage Trust 2025-C32                                     | CUSIP: 07337AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1069181.54   | 0.02%             | 2062-02-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC        | BBCMS Mortgage Trust 2025-5C34                                    | CUSIP: 07337BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $314444.78    | 0.01%             | 2058-05-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC        | BBCMS Mortgage Trust 2025-C35                                     | CUSIP: 07337DAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $528363.91    | 0.01%             | 2058-07-15      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2018-B5 Mortgage Trust                                  | CUSIP: 08160BAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2489000 | PA      | $2474683.77   | 0.04%             | 2051-07-15      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2019-B9 Mortgage Trust                                  | CUSIP: 08160JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2489000 | PA      | $2443285.48   | 0.04%             | 2052-03-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2019-B11 Mortgage Trust                                 | CUSIP: 08162BBD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3319000 | PA      | $3203908.36   | 0.06%             | 2052-05-15      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2019-B13 Mortgage Trust                                 | CUSIP: 08162DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4093000 | PA      | $3866619.16   | 0.07%             | 2057-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2019-B10 Mortgage Trust                                 | CUSIP: 08162VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2654000 | PA      | $2591554.75   | 0.04%             | 2062-03-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2020-B19 Mortgage Trust                                 | CUSIP: 08162WBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    937000 | PA      | $722235.98    | 0.01%             | 2053-09-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2020-B18 Mortgage Trust                                 | CUSIP: 08163AAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $884957.23    | 0.02%             | 2053-07-15      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2021-B28 Mortgage Trust                                 | CUSIP: 08163GAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7100000 | PA      | $6253710.10   | 0.11%             | 2054-08-15      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2021-B29 Mortgage Trust                                 | CUSIP: 08163JAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $436976.98    | 0.01%             | 2054-09-15      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2021-B29 Mortgage Trust                                 | CUSIP: 08163JAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2763000 | PA      | $2453606.91   | 0.04%             | 2054-09-15      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2021-B30 Mortgage Trust                                 | CUSIP: 08163KBK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $199953.41    | 0.00%             | 2054-11-15      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2020-B21 Mortgage Trust                                 | CUSIP: 08163LAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2988000 | PA      | $2654444.48   | 0.05%             | 2053-12-17      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2020-B21 Mortgage Trust                                 | CUSIP: 08163LAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1990000 | PA      | $1758467.34   | 0.03%             | 2053-12-17      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2022-B33 Mortgage Trust                                 | CUSIP: 08163PBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    476000 | PA      | $442477.65    | 0.01%             | 2055-03-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2024-V5 Mortgage Trust                                  | CUSIP: 08163XBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $509250.29    | 0.01%             | 2057-01-10      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2024-V7 Mortgage Trust                                  | CUSIP: 08163YAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1038600.44   | 0.02%             | 2056-05-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2025-V13 Mortgage Trust                                 | CUSIP: 08164AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1527272.31   | 0.03%             | 2058-02-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2025-V14 Mortgage Trust                                 | CUSIP: 08164BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $513930.08    | 0.01%             | 2057-04-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2025-V14 Mortgage Trust                                 | CUSIP: 08164BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $261389.28    | 0.00%             | 2057-04-15      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2025-V18 Mortgage Trust                                 | CUSIP: 08164EAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $823227.09    | 0.01%             | 2058-10-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| Benchmark 2024-V8 Mortgage Trust                   | Benchmark 2024-V8 Mortgage Trust                                  | CUSIP: 08190AAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $530956.14    | 0.01%             | 2057-07-15      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2024-V12 Mortgage Trust                                 | CUSIP: 081915AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $520075.08    | 0.01%             | 2057-12-15      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | BMARK 2023-V4                                                     | CUSIP: 081926AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $531392.61    | 0.01%             | 2056-11-15      | Variable      | 7.46%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2024-V6 Mortgage Trust                                  | CUSIP: 081927AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2087679.28   | 0.04%             | 2057-03-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2024-V6 Mortgage Trust                                  | CUSIP: 081927AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    920000 | PA      | $960800.08    | 0.02%             | 2057-03-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                           | Benchmark 2024-V6 Mortgage Trust                                  | CUSIP: 081927AF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $523094.09    | 0.01%             | 2057-03-15      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                 | BMO 2024-5C3 Mortgage Trust                                       | CUSIP: 09660QAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1044500.27   | 0.02%             | 2057-02-15      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                 | BMO 2024-5C8 Mortgage Trust                                       | CUSIP: 09661XAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1023811.01   | 0.02%             | 2057-12-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                 | BMO 2024-5C8 Mortgage Trust                                       | CUSIP: 09661XAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $493128.19    | 0.01%             | 2057-12-15      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                 | BMO 2025-5C11 Mortgage Trust                                      | CUSIP: 096941AH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $253881.25    | 0.00%             | 2058-07-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                       | CD 2017-CD6 Mortgage Trust                                        | CUSIP: 125039AH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $490053.08    | 0.01%             | 2050-11-13      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                       | CD 2018-CD7 Mortgage Trust                                        | CUSIP: 12512JAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $384978.87    | 0.01%             | 2051-08-15      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                    | CSAIL 2020-C19 Commercial Mortgage Trust                          | CUSIP: 12597NAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $911462.07    | 0.02%             | 2053-03-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                    | CSAIL 2016-C7 Commercial Mortgage Trust                           | CUSIP: 12637UAW9<br>LEI: 5493006MX7HG5PC85C29 | Long             | ABS-MBS          | CORP              | US        |   3984000 | PA      | $3950088.23   | 0.07%             | 2049-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                    | CSAIL 2016-C7 Commercial Mortgage Trust                           | CUSIP: 12637UBA6<br>LEI: 5493006MX7HG5PC85C29 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $489670.71    | 0.01%             | 2049-11-15      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                    | CSAIL 2018-CX11 Commercial Mortgage Trust                         | CUSIP: 12652UAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3319000 | PA      | $3290343.49   | 0.06%             | 2051-04-15      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                    | CSAIL 2018-CX11 Commercial Mortgage Trust                         | CUSIP: 12652UAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $483531.84    | 0.01%             | 2051-04-15      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Capital One Multi-Asset Execution Trust            | Capital One Multi-Asset Execution Trust                           | CUSIP: 14041NGF2<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $998469.24    | 0.02%             | 2030-09-16      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Capital One Multi-Asset Execution Trust            | Capital One Multi-Asset Execution Trust                           | CUSIP: 14041NGH8<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-O            | CORP              | US        |    230000 | PA      | $228896.91    | 0.00%             | 2037-10-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                            | CarMax Auto Owner Trust 2024-4                                    | CUSIP: 14290DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    860000 | PA      | $872133.57    | 0.02%             | 2030-04-15      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                            | CarMax Auto Owner Trust 2024-1                                    | CUSIP: 14318WAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1016206.51   | 0.02%             | 2029-08-15      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                            | Carmax Auto Owner Trust 2025-2                                    | CUSIP: 14320AAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $806258.18    | 0.01%             | 2030-03-15      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                            | Carmax Auto Owner Trust 2025-2                                    | CUSIP: 14320AAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $507935.91    | 0.01%             | 2030-11-15      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                     | Carvana Auto Receivables Trust 2025-P3                            | CUSIP: 14688AAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $996147.46    | 0.02%             | 2030-11-11      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                     | Carvana Auto Receivables Trust 2024-P3                            | CUSIP: 146919AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    940000 | PA      | $939641.08    | 0.02%             | 2029-10-10      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Chase Issuance Trust                               | Chase Issuance Trust                                              | CUSIP: 161571HV9<br>LEI: 5493008SHVCX2Y068L12 | Long             | ABS-O            | CORP              | US        |   1520000 | PA      | $1531907.86   | 0.03%             | 2029-01-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Chase Issuance Trust                               | Chase Issuance Trust                                              | CUSIP: 161571HW7<br>LEI: 5493008SHVCX2Y068L12 | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $510570.48    | 0.01%             | 2031-01-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Citibank Credit Card Issuance Trust                | Citibank Credit Card Issuance Trust                               | CUSIP: 17305EDT9<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $556384.70    | 0.01%             | 2039-06-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Citibank Credit Card Issuance Trust                | Citibank Credit Card Issuance Trust                               | CUSIP: 17305EHB4<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $509236.41    | 0.01%             | 2032-06-21      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                | Citigroup Commercial Mortgage Trust 2017-P7                       | CUSIP: 17325HBP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1866000 | PA      | $1843459.95   | 0.03%             | 2050-04-14      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                | CGMS Commercial Mortgage Trust 2017-B1                            | CUSIP: 17326CBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $475886.87    | 0.01%             | 2050-08-15      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                | Citigroup Commercial Mortgage Trust 2017-C4                       | CUSIP: 17326FAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7905000 | PA      | $7784335.55   | 0.13%             | 2050-10-12      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                | Citigroup Commercial Mortgage Trust 2019-C7                       | CUSIP: 17328CAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $905927.04    | 0.02%             | 2072-12-15      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| CNH Equipment Trust                                | CNH Equipment Trust 2024-B                                        | CUSIP: 18978JAD0<br>LEI: 549300BIZ8MA1TOD5D46 | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1621454.59   | 0.03%             | 2029-09-17      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae                                                        | CUSIP: 21H0226B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10400000 | PA      | $9000461.18   | 0.16%             | 2055-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae                                                        | CUSIP: 21H0306B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7650000 | PA      | $6873046.88   | 0.12%             | 2055-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae                                                        | CUSIP: 21H0326B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8150000 | PA      | $7459044.79   | 0.13%             | 2055-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae                                                        | CUSIP: 21H0406B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24345000 | PA      | $23021432.46  | 0.40%             | 2055-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae                                                        | CUSIP: 21H0426B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18675000 | PA      | $18223648.78  | 0.32%             | 2055-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae                                                        | CUSIP: 21H0506B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16975000 | PA      | $16921413.32  | 0.29%             | 2054-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae                                                        | CUSIP: 21H0526B9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  30087500 | PA      | $30335621.38  | 0.52%             | 2054-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae                                                        | CUSIP: 21H0606B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28050000 | PA      | $28546531.84  | 0.49%             | 2054-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust            | DBJPM 20-C9 Mortgage Trust                                        | CUSIP: 233063AZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $173951.07    | 0.00%             | 2053-08-15      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust            | DBJPM 2017-C6 Mortgage Trust                                      | CUSIP: 23312JAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1449501.08   | 0.03%             | 2050-06-10      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust            | DBJPM 2016-C3 Mortgage Trust                                      | CUSIP: 23312VAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6225000 | PA      | $6153528.60   | 0.11%             | 2049-08-10      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                       | Drive Auto Receivables Trust 2024-2                               | CUSIP: 26207AAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $996366.45    | 0.02%             | 2032-05-17      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY NC ST FDG II                           | Duke Energy Carolinas Nc Storm Funding II LLC                     | CUSIP: 26443UAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $499550.48    | 0.01%             | 2035-07-01      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                | Exeter Automobile Receivables Trust 2024-2                        | CUSIP: 30166DAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    744900 | PA      | $745950.66    | 0.01%             | 2028-04-17      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                | Exeter Automobile Receivables Trust 2024-2                        | CUSIP: 30166DAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3024223.05   | 0.05%             | 2029-05-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                | Exeter Automobile Receivables Trust 2024-2                        | CUSIP: 30166DAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2023711.90   | 0.03%             | 2030-02-15      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                | Exeter Automobile Receivables Trust 2025-4                        | CUSIP: 30167KAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    625000 | PA      | $626669.97    | 0.01%             | 2029-09-17      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31283HZN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6044 | PA      | $6150.84      | 0.00%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128CUWB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4007 | PA      | $3880.22      | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128CUWF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20210 | PA      | $19595.54     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128E6AD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34786 | PA      | $34342.95     | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128LXAV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24382 | PA      | $25379.31     | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128M73A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11508 | PA      | $11978.36     | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128M7GG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22227 | PA      | $22328.48     | 0.00%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128M7KK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65596 | PA      | $66752.47     | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128M9R79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60969 | PA      | $58411.19     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128M9SS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86284 | PA      | $82614.83     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128M9TQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    178631 | PA      | $170700.83    | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MAD63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    164360 | PA      | $160708.52    | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MAET2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112459 | PA      | $109905.23    | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MD3H4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10497 | PA      | $10333.62     | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MDKW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7680 | PA      | $7595.53      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MFF29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93612 | PA      | $92380.32     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MFKU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    323018 | PA      | $310946.74    | 0.01%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MFKV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    518035 | PA      | $497906.50    | 0.01%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MFRK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1268331 | PA      | $1250621.94   | 0.02%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJ2C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    410190 | PA      | $385030.99    | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJ2G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109897 | PA      | $103156.46    | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJ2M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1613476 | PA      | $1514512.50   | 0.03%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJ2T6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77731 | PA      | $75107.56     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJ3F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    961643 | PA      | $929182.26    | 0.02%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJ3J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    374752 | PA      | $351766.79    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJ3K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    589850 | PA      | $569939.49    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJ3X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146837 | PA      | $137715.05    | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJ3Z1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40252 | PA      | $40826.34     | 0.00%             | 2048-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJ4B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160377 | PA      | $154602.10    | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJ4C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    158504 | PA      | $157050.16    | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJ4E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    503568 | PA      | $498949.00    | 0.01%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJ4F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    192867 | PA      | $195619.61    | 0.00%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJ4J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1141152 | PA      | $1100060.92   | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJ4M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124377 | PA      | $123236.57    | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJ4R8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    281941 | PA      | $271788.60    | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJ4T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122522 | PA      | $124270.83    | 0.00%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJ4W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    314994 | PA      | $303651.88    | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJ5D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39305 | PA      | $38944.90     | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJVB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    937676 | PA      | $886495.22    | 0.02%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJW71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    618366 | PA      | $601719.83    | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJX39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    678057 | PA      | $617186.85    | 0.01%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJY61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86729 | PA      | $78943.56     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJY87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    432265 | PA      | $418227.96    | 0.01%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJYA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9763 | PA      | $9710.01      | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJYD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148605 | PA      | $143779.26    | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJYE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6340 | PA      | $6305.86      | 0.00%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJYM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1387786 | PA      | $1263202.29   | 0.02%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJYT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    504510 | PA      | $459219.11    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJYU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72165 | PA      | $67933.51     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJZB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2181515 | PA      | $1985676.69   | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJZC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    666529 | PA      | $627448.56    | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJZF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1031265 | PA      | $938686.08    | 0.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJZM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2319213 | PA      | $2111012.94   | 0.04%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJZN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    776090 | PA      | $730585.57    | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJZP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    351490 | PA      | $340075.34    | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MJZR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    208749 | PA      | $196509.64    | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MMS20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    265184 | PA      | $258609.09    | 0.00%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MMTJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    207868 | PA      | $204020.93    | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MMU35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113561 | PA      | $111125.30    | 0.00%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MMU76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66868 | PA      | $65412.06     | 0.00%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MMUC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107021 | PA      | $104846.67    | 0.00%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MMUM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34276 | PA      | $33567.98     | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MMVU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2671082 | PA      | $2577655.57   | 0.04%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MMWW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26558 | PA      | $26184.37     | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MMX24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    205475 | PA      | $202169.76    | 0.00%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MMXX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    322701 | PA      | $321784.18    | 0.01%             | 2033-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128MMZB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    545620 | PA      | $535090.20    | 0.01%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128P7WT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20906 | PA      | $20615.71     | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128P8FX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    562317 | PA      | $545171.93    | 0.01%             | 2038-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128P8GW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101107 | PA      | $98175.77     | 0.00%             | 2038-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128PYA46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1340 | PA      | $1328.64      | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3128PYU36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1270 | PA      | $1258.74      | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Non Gold Pool                                         | CUSIP: 3128S5E34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3362 | PA      | $3444.84      | 0.00%             | 2040-09-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31292HVV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    227702 | PA      | $231708.44    | 0.00%             | 2033-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 312931T73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60013 | PA      | $60219.71     | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 312936NA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47009 | PA      | $47171.51     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 312936RV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6376 | PA      | $6398.38      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 312945LK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79945 | PA      | $80320.58     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31297SH73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10768 | PA      | $10990.74     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Non Gold Pool                                         | CUSIP: 31300LQK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1647 | PA      | $1678.41      | 0.00%             | 2041-08-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31306XQY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3591 | PA      | $3553.14      | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31307NP40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    242942 | PA      | $238491.58    | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31307NQG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19181 | PA      | $18815.90     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31307NQJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21998 | PA      | $21576.87     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31307PVG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52913 | PA      | $51862.46     | 0.00%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31307PWW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90129 | PA      | $88394.06     | 0.00%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31307QQJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    995187 | PA      | $975017.76    | 0.02%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31307RD85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17760 | PA      | $17361.50     | 0.00%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31307RU86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    209548 | PA      | $202989.94    | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31307SD34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    385940 | PA      | $372783.87    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31307STN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    398995 | PA      | $385173.17    | 0.01%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31307ULW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38621 | PA      | $38118.91     | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3131XKE96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4113840 | PA      | $3912510.48   | 0.07%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3131XVS48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    610336 | PA      | $573900.74    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31323AB35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    262271 | PA      | $244037.16    | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 31329PNA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    821799 | PA      | $813315.30    | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 31329PZC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    251317 | PA      | $248722.63    | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 31329QCR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    373283 | PA      | $359425.27    | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 31329QHM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    380359 | PA      | $365677.63    | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 31329QYG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2743907 | PA      | $2577155.78   | 0.04%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132A5F59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2944235 | PA      | $2676847.19   | 0.05%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132A5GA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5196059 | PA      | $4724165.50   | 0.08%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132A5H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3636338 | PA      | $3409328.80   | 0.06%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132A5HX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1401501 | PA      | $1270033.80   | 0.02%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132A5JM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3621312 | PA      | $3392281.72   | 0.06%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132A8TN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1918795 | PA      | $1887641.05   | 0.03%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132A9U21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    646371 | PA      | $635566.02    | 0.01%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132ADPE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    287435 | PA      | $284470.15    | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132AEB39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1952556 | PA      | $1936156.91   | 0.03%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132AEPE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5979672 | PA      | $5757822.28   | 0.10%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132CWC85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    233325 | PA      | $230843.24    | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132CWCE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1491713 | PA      | $1442901.71   | 0.02%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132CWG32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    398851 | PA      | $387148.35    | 0.01%             | 2033-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132CWM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2450174 | PA      | $2367831.84   | 0.04%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132CWMP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2173982 | PA      | $2138663.70   | 0.04%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132CXA28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3497795 | PA      | $3399334.38   | 0.06%             | 2037-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132CXAL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2404877 | PA      | $2214000.86   | 0.04%             | 2037-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132CXDN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    666611 | PA      | $659634.86    | 0.01%             | 2038-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132CXEV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5407425 | PA      | $5186120.04   | 0.09%             | 2038-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132CXGA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3190844 | PA      | $3060254.93   | 0.05%             | 2038-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132CXN24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5660418 | PA      | $5211147.90   | 0.09%             | 2038-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132CXPM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1981443 | PA      | $1776309.23   | 0.03%             | 2037-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132CXYU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1481534 | PA      | $1460088.90   | 0.03%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132D54E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1920525 | PA      | $1852826.26   | 0.03%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132D56Q0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3452242 | PA      | $3203187.08   | 0.06%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132D57D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2174326 | PA      | $1956328.41   | 0.03%             | 2036-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132D6AC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3558426 | PA      | $3286062.54   | 0.06%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132D6AM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3676324 | PA      | $3469944.71   | 0.06%             | 2036-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132D6AU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9166534 | PA      | $8459276.38   | 0.15%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132D6BE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    971679 | PA      | $894729.20    | 0.02%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132D6BH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3500984 | PA      | $3141069.89   | 0.05%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132D6BM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5521816 | PA      | $4950156.32   | 0.09%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132D6BP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1367785 | PA      | $1287614.26   | 0.02%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132D6BR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1127533 | PA      | $1038039.90   | 0.02%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132D6BS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300058 | PA      | $282470.58    | 0.00%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132D6BX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9716039 | PA      | $9146549.01   | 0.16%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132D6BZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1599337 | PA      | $1533881.99   | 0.03%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132D6HN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3973847 | PA      | $3916326.97   | 0.07%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132D6HX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4840450 | PA      | $4770385.46   | 0.08%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132D6N48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2932117 | PA      | $2715367.45   | 0.05%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132D6N55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4746269 | PA      | $4397558.14   | 0.08%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132D6NR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4907057 | PA      | $4663448.58   | 0.08%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132D6NW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9278961 | PA      | $8810876.27   | 0.15%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132D6NX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7003816 | PA      | $6507956.50   | 0.11%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132D6NZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5029299 | PA      | $4667182.60   | 0.08%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DM5R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5720744 | PA      | $4673233.66   | 0.08%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DMB53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1166700 | PA      | $1101033.72   | 0.02%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DMRV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6743538 | PA      | $6102061.32   | 0.11%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DMSB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3181653 | PA      | $2635536.29   | 0.05%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DMSK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2379370 | PA      | $2132457.39   | 0.04%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DMT96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2310108 | PA      | $1962953.14   | 0.03%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DMUS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7623995 | PA      | $6911861.77   | 0.12%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DNFK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1047606 | PA      | $978753.48    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DNQC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3600349 | PA      | $3545206.25   | 0.06%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DNSM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11385445 | PA      | $10867526.08  | 0.19%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DNU27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6686205 | PA      | $6382052.64   | 0.11%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DNUM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4493536 | PA      | $4287547.87   | 0.07%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DPD70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    804696 | PA      | $823193.05    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DPLD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1179716 | PA      | $1059849.28   | 0.02%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DPN87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3375232 | PA      | $3234526.61   | 0.06%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DPWE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2218942 | PA      | $2255056.87   | 0.04%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DPYH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2545819 | PA      | $2595693.97   | 0.04%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DQ3S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10792795 | PA      | $10285222.70  | 0.18%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DQ6A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    902324 | PA      | $885396.98    | 0.02%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DQKU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1479796 | PA      | $1479583.09   | 0.03%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DQPH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20219071 | PA      | $17254185.92  | 0.30%             | 2053-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DQR65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5389397 | PA      | $4604234.28   | 0.08%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DQTR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1019350 | PA      | $1052129.24   | 0.02%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DQYZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5586214 | PA      | $5781109.72   | 0.10%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DS7A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2442854 | PA      | $2454588.68   | 0.04%             | 2054-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DSMT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    999801 | PA      | $1041520.43   | 0.02%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DSTR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2874968 | PA      | $2937833.93   | 0.05%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DSV74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1025383 | PA      | $1070597.75   | 0.02%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DSWD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3404153 | PA      | $3512456.80   | 0.06%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DT6A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1555505 | PA      | $1575549.57   | 0.03%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DTAA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4498192 | PA      | $4642467.93   | 0.08%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DTAQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4309827 | PA      | $4393686.40   | 0.08%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DTFF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3510640 | PA      | $3707999.90   | 0.06%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DTGC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1299307 | PA      | $1297816.11   | 0.02%             | 2054-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DTGZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11858162 | PA      | $12246912.38  | 0.21%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DTN55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1538665 | PA      | $1591941.10   | 0.03%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DTP79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4539831 | PA      | $3701923.42   | 0.06%             | 2052-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DTTD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1530150 | PA      | $1580813.47   | 0.03%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DTVS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1352570 | PA      | $1390973.59   | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DU6E2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4124135 | PA      | $4140396.80   | 0.07%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DUAF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2220824 | PA      | $2318828.86   | 0.04%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DUEJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    780168 | PA      | $795489.78    | 0.01%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DUJ57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7796040 | PA      | $7187655.22   | 0.12%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DUNW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2661772 | PA      | $2606890.92   | 0.05%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DUPV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3989514 | PA      | $3903979.19   | 0.07%             | 2053-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DUSQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2099663 | PA      | $2096600.38   | 0.04%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DV3U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7298490 | PA      | $6801765.96   | 0.12%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DV5F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103254 | PA      | $99273.88     | 0.00%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DV5Y7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2620278 | PA      | $2441789.68   | 0.04%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DV6E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1331230 | PA      | $1240035.25   | 0.02%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DV6K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3241948 | PA      | $2908533.62   | 0.05%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DV6R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2418323 | PA      | $1987800.62   | 0.03%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DV7M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7181028 | PA      | $6435836.34   | 0.11%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DVCL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4255702 | PA      | $4385501.33   | 0.08%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DVK38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2613528 | PA      | $2446311.50   | 0.04%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3176538 | PA      | $2760430.54   | 0.05%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DVLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    690693 | PA      | $599947.65    | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DVLS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6378276 | PA      | $5270961.20   | 0.09%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DVME2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5150377 | PA      | $5082528.17   | 0.09%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DVMH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6216345 | PA      | $5975271.81   | 0.10%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DVMX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7207792 | PA      | $7472419.80   | 0.13%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    836963 | PA      | $717121.76    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWB69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2548345 | PA      | $2178664.37   | 0.04%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWBG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3314555 | PA      | $2568178.45   | 0.04%             | 2051-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWBH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22979148 | PA      | $18815863.02  | 0.33%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWBN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16240386 | PA      | $12582720.27  | 0.22%             | 2051-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  58779593 | PA      | $48174532.08  | 0.83%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWBX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3330351 | PA      | $2580158.93   | 0.04%             | 2051-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWBY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2978357 | PA      | $2435631.54   | 0.04%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWC27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    755500 | PA      | $644731.95    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWC76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29514889 | PA      | $25178395.49  | 0.44%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWCB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26422860 | PA      | $21589571.25  | 0.37%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWCQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3524097 | PA      | $3147258.71   | 0.05%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWCT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12942537 | PA      | $10561534.34  | 0.18%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWD34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4138025 | PA      | $3946621.79   | 0.07%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWD59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6193846 | PA      | $5285112.49   | 0.09%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  34511597 | PA      | $28141859.08  | 0.49%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWDH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18155618 | PA      | $14817281.17  | 0.26%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10000220 | PA      | $8533807.06   | 0.15%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3475969 | PA      | $3092700.26   | 0.05%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWDY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154273 | PA      | $131638.68    | 0.00%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWEJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7464160 | PA      | $7116595.96   | 0.12%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWFH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    830402 | PA      | $843700.11    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWFQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3322171 | PA      | $3253159.84   | 0.06%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWFR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2807444 | PA      | $2807812.07   | 0.05%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWG98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12596151 | PA      | $12764215.74  | 0.22%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWGH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2313822 | PA      | $2347055.94   | 0.04%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWGJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3138833 | PA      | $3223164.29   | 0.06%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWHZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7110180 | PA      | $7098357.19   | 0.12%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17558838 | PA      | $17783638.13  | 0.31%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWJL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12110744 | PA      | $12267792.27  | 0.21%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5033164 | PA      | $4906892.04   | 0.08%             | 2054-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWLT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1768528 | PA      | $1788610.11   | 0.03%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWMR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    586782 | PA      | $584010.58    | 0.01%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWMS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3956178 | PA      | $3999874.22   | 0.07%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWMT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12208743 | PA      | $12494773.19  | 0.22%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWMX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3430159 | PA      | $3413955.79   | 0.06%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWN58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8400252 | PA      | $7970515.41   | 0.14%             | 2055-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWNG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4927692 | PA      | $4904414.97   | 0.08%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWNK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12012380 | PA      | $12142267.01  | 0.21%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132DWNY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2172800 | PA      | $2222899.30   | 0.04%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132E02B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1225473 | PA      | $1285375.05   | 0.02%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132E07G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1789584 | PA      | $1845018.83   | 0.03%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132E0A85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5868563 | PA      | $5220117.51   | 0.09%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132E0A93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9421691 | PA      | $8040112.24   | 0.14%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132E0AC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4081280 | PA      | $4223670.37   | 0.07%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132E0BC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5456206 | PA      | $4895068.57   | 0.08%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132E0BS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9521876 | PA      | $9538276.08   | 0.16%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132E0H62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2649948 | PA      | $2690317.46   | 0.05%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132E0VZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2021366 | PA      | $2081634.58   | 0.04%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132E0YT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    852599 | PA      | $890872.68    | 0.02%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132E0ZD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5260282 | PA      | $5372020.99   | 0.09%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3132E0ZP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    433170 | PA      | $451623.48    | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132GEWW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119026 | PA      | $119185.68    | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132GUJW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36358 | PA      | $35430.77     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132GVG97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    182475 | PA      | $177855.32    | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132HM4L2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73226 | PA      | $69710.01     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132HMF48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14658 | PA      | $14352.96     | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132HMVZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76344 | PA      | $72690.02     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132HNH44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17896 | PA      | $17039.06     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132HNRA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112132 | PA      | $109273.86    | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132J65B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136385 | PA      | $125689.46    | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132J66W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60227 | PA      | $55501.41     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132J7YM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    566178 | PA      | $525051.56    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132J86M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135726 | PA      | $129740.09    | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132J8DV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    178643 | PA      | $165673.18    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132J8HL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109945 | PA      | $101958.52    | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132J94H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121329 | PA      | $115934.83    | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132JMLM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54316 | PA      | $51904.21     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132KFWH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    382419 | PA      | $369287.93    | 0.01%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132L74A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    253781 | PA      | $239492.03    | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132L7CJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117045 | PA      | $113894.52    | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132L7LF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    565415 | PA      | $530769.56    | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132L87K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68861 | PA      | $64642.12     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132L8T31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    302192 | PA      | $283620.15    | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132L93U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    686535 | PA      | $646311.31    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132L9KW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    422487 | PA      | $408257.84    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132L9V69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    791568 | PA      | $742186.00    | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132LA2L5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1372766 | PA      | $1288653.65   | 0.02%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132LAS94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    518103 | PA      | $501603.38    | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132LAUF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65963 | PA      | $65356.41     | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132LAV82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    271421 | PA      | $268925.86    | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132LAWV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    329511 | PA      | $317661.36    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132LKA83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62344 | PA      | $61354.32     | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132M7JN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    220908 | PA      | $215677.35    | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132M9GQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117072 | PA      | $111643.93    | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132QL4T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52490 | PA      | $50958.23     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132QQTX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62874 | PA      | $61179.28     | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132QVJB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33614 | PA      | $32709.57     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132QWMN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    411579 | PA      | $384562.66    | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132QWP29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10411 | PA      | $10076.89     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132QWPU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85765 | PA      | $80736.41     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132VPK23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94519 | PA      | $95873.11     | 0.00%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132VQGS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    484986 | PA      | $455425.64    | 0.01%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132VQLR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    285560 | PA      | $268154.91    | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132WDYQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85362 | PA      | $80356.85     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132WEUR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14647 | PA      | $13788.27     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132WEWJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    265465 | PA      | $241633.97    | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132WF3E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    189077 | PA      | $177990.82    | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132WFDH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    189359 | PA      | $178226.63    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132WFEH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71889 | PA      | $67920.35     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132WFNV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31166 | PA      | $29338.82     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132WFUT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39731 | PA      | $37401.63     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132WH5N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    304449 | PA      | $277118.27    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132WH6K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66361 | PA      | $62470.34     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132WHPV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    657721 | PA      | $598676.56    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132WHVR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46620 | PA      | $43886.35     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132WJSN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1017282 | PA      | $950462.37    | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132WKQ84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    164652 | PA      | $149871.34    | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132WM7L2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    208747 | PA      | $196469.97    | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132WMJ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62266 | PA      | $58603.98     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132WMNJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145272 | PA      | $136362.09    | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132WNEK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92138 | PA      | $91467.34     | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132WNJK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4521 | PA      | $4488.42      | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132WNK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43289 | PA      | $42972.74     | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132WQAT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62099 | PA      | $58282.79     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132XCR49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1274673 | PA      | $1206315.48   | 0.02%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132XCR98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    370419 | PA      | $360541.01    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132XCSA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    245687 | PA      | $238283.39    | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132XCSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1197603 | PA      | $1190174.41   | 0.02%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132XS6Q8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46158 | PA      | $46831.21     | 0.00%             | 2047-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132XUJV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50201 | PA      | $48506.70     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132XW5W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38551 | PA      | $37505.95     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132XWPW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    550676 | PA      | $516900.24    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132XXHD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    318357 | PA      | $298580.05    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132XYAB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    296927 | PA      | $300908.33    | 0.01%             | 2048-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132Y0FN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67018 | PA      | $66670.71     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132Y0FP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74746 | PA      | $74282.59     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132Y1GK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43132 | PA      | $42864.06     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 3132Y1GL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38932 | PA      | $38730.26     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 31334YPK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3378662 | PA      | $3074706.84   | 0.05%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 31334YPW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4185424 | PA      | $3808890.36   | 0.07%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31335ABF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    334418 | PA      | $318426.81    | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31335AGC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94740 | PA      | $92672.67     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31335ALX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    400354 | PA      | $402225.00    | 0.01%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31335ANR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85704 | PA      | $85594.82     | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4214431 | PA      | $4005625.95   | 0.07%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31335AUF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    173568 | PA      | $163977.63    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31335AY69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143586 | PA      | $143272.27    | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31335AYT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1642310 | PA      | $1503671.33   | 0.03%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31335B7C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    389017 | PA      | $377710.37    | 0.01%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31335BC20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    518902 | PA      | $474691.70    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31335BCZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    920454 | PA      | $842786.60    | 0.01%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31335BLL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116238 | PA      | $111082.16    | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31335BLS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41587 | PA      | $39598.85     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31335BME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1343048 | PA      | $1222479.96   | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31335BN44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1234606 | PA      | $1158731.23   | 0.02%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31335BNL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1137789 | PA      | $1068023.20   | 0.02%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31335BNP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133700 | PA      | $129675.97    | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31335BPG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    935482 | PA      | $867437.94    | 0.02%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31335BPY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    275891 | PA      | $251133.85    | 0.00%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31335BQS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134203 | PA      | $133549.51    | 0.00%             | 2046-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31335BRK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2036835 | PA      | $1854060.64   | 0.03%             | 2047-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31335BRY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6713378 | PA      | $6225067.52   | 0.11%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31335BYT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    825780 | PA      | $751678.96    | 0.01%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31335CAQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    166749 | PA      | $162266.90    | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31335CB78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    504001 | PA      | $474777.83    | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31335CBP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3732 | PA      | $3598.27      | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31335CC36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    126257 | PA      | $122162.04    | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                             | CUSIP: 31335CEA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    738232 | PA      | $692952.19    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133A9HE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4016271 | PA      | $3297071.75   | 0.06%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133AAKC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2952878 | PA      | $2423072.71   | 0.04%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133AGDH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3272092 | PA      | $2680406.81   | 0.05%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133ALJP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2152119 | PA      | $1777427.15   | 0.03%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133APVV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3922863 | PA      | $3226404.01   | 0.06%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133ARQD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3420331 | PA      | $2922034.72   | 0.05%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133B3L54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4697482 | PA      | $3830022.20   | 0.07%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133B92H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7195292 | PA      | $6695882.20   | 0.12%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133B9MX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7227593 | PA      | $6167752.72   | 0.11%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133BAFH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2670024 | PA      | $2380131.32   | 0.04%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133BG4A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    512454 | PA      | $504605.50    | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133BJAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    295604 | PA      | $291076.06    | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133BTHE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1122842 | PA      | $1174951.38   | 0.02%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133CWD66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3879272 | PA      | $4028751.85   | 0.07%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133G6HZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    182808 | PA      | $176705.31    | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133GDZW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1366438 | PA      | $1261218.51   | 0.02%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133GEGN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2136715 | PA      | $1973746.37   | 0.03%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133GF3W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2052634 | PA      | $1892964.42   | 0.03%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133GFCG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1712300 | PA      | $1580119.29   | 0.03%             | 2036-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133GGHB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1157594 | PA      | $1067335.30   | 0.02%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133GGX57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1373971 | PA      | $1231727.50   | 0.02%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KGGQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1945439 | PA      | $1813027.74   | 0.03%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KJLB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2047034 | PA      | $1740682.99   | 0.03%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KK3T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2199411 | PA      | $1869658.70   | 0.03%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KK3U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6559036 | PA      | $5650737.91   | 0.10%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KK7E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8153340 | PA      | $6687097.89   | 0.12%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KKD48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    845018 | PA      | $696380.12    | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KKLM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4059489 | PA      | $3451331.62   | 0.06%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KKLP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2066470 | PA      | $1756889.76   | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KKLQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5832904 | PA      | $5028774.17   | 0.09%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KKNC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1534790 | PA      | $1323201.95   | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KKQY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7256144 | PA      | $6168810.85   | 0.11%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KKVH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1139168 | PA      | $968463.41    | 0.02%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KKWK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7183493 | PA      | $5942966.88   | 0.10%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KKZQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3491541 | PA      | $2968197.96   | 0.05%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KL6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2065409 | PA      | $1705093.44   | 0.03%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KL7K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6532009 | PA      | $5390207.87   | 0.09%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KLE86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    729820 | PA      | $629668.35    | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KLEZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11496886 | PA      | $9453621.79   | 0.16%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KLG35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4845700 | PA      | $3984506.47   | 0.07%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KLHC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1376927 | PA      | $1117713.78   | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KLHN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9787673 | PA      | $8035478.76   | 0.14%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KM2V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2454907 | PA      | $2011764.18   | 0.03%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KM3Z6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2535675 | PA      | $2082843.66   | 0.04%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KM4T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2593060 | PA      | $2124978.78   | 0.04%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KM4V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3185413 | PA      | $2622598.59   | 0.05%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KMBD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6561221 | PA      | $5368817.16   | 0.09%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KMXN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6778113 | PA      | $5588775.98   | 0.10%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KMXU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6732257 | PA      | $5546066.23   | 0.10%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KMXX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    811354 | PA      | $697615.69    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KMZD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9924393 | PA      | $8132911.64   | 0.14%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KN4Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7575664 | PA      | $6760013.25   | 0.12%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KN7C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3352189 | PA      | $3119520.58   | 0.05%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KNAK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6045888 | PA      | $5625788.67   | 0.10%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KNGL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  31545799 | PA      | $25898453.07  | 0.45%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KNMZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5026727 | PA      | $4102679.08   | 0.07%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KNNS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22371036 | PA      | $20137408.27  | 0.35%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KNWU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1304704 | PA      | $1118724.07   | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KPLY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1695345 | PA      | $1617890.90   | 0.03%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KPNP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1086041 | PA      | $886244.82    | 0.02%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KPQR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2341976 | PA      | $2235103.79   | 0.04%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KPQS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5847152 | PA      | $5581167.61   | 0.10%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KPUC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2372404 | PA      | $2336068.73   | 0.04%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KPYR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7728708 | PA      | $7372023.63   | 0.13%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KQ2P0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6604728 | PA      | $6746350.49   | 0.12%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KQKT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2299478 | PA      | $2308903.89   | 0.04%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KQKY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5409428 | PA      | $5551860.73   | 0.10%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KQQF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3173276 | PA      | $3262542.80   | 0.06%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KQTC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1191359 | PA      | $1166832.78   | 0.02%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KQVF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    983701 | PA      | $963449.68    | 0.02%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KQXU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6974068 | PA      | $6984103.82   | 0.12%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KQXX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3948636 | PA      | $4044463.64   | 0.07%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KR4Y7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1857468 | PA      | $1935111.73   | 0.03%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KR5X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3544384 | PA      | $3722683.42   | 0.06%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KR6L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2534134 | PA      | $2632898.13   | 0.05%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KRC36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12421299 | PA      | $12620784.85  | 0.22%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KRFB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8155790 | PA      | $8344198.45   | 0.14%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KRH98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10625895 | PA      | $10666823.65  | 0.18%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KRMM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1957467 | PA      | $1968761.93   | 0.03%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KRVX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6255493 | PA      | $6483253.09   | 0.11%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133KRVZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5490623 | PA      | $5678726.75   | 0.10%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133L8A39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2579182 | PA      | $2392329.65   | 0.04%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133L8CY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2379725 | PA      | $2206625.64   | 0.04%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133L8GS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2448793 | PA      | $2261843.44   | 0.04%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133L8HW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3275568 | PA      | $3024441.80   | 0.05%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133L8T39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2886053 | PA      | $2661915.01   | 0.05%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133L8U37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2257117 | PA      | $2081954.28   | 0.04%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133L8U45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2398542 | PA      | $2212404.47   | 0.04%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133L8U52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3907100 | PA      | $3603175.93   | 0.06%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133L8UY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1702366 | PA      | $1571399.56   | 0.03%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133L8W50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1734725 | PA      | $1599585.56   | 0.03%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133L8ZW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4731511 | PA      | $4459490.71   | 0.08%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3133USKU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24148702 | PA      | $20653002.85  | 0.36%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                     | Fannie Mae-Aces                                                   | CUSIP: 3136AR5S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2026-04-25      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                     | Fannie Mae-Aces                                                   | CUSIP: 3136AV7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    383299 | PA      | $378350.30    | 0.01%             | 2027-02-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                     | Fannie Mae-Aces                                                   | CUSIP: 3136AX7E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1066160 | PA      | $1051628.71   | 0.02%             | 2027-06-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                     | Fannie Mae-Aces                                                   | CUSIP: 3136AY6X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2646286 | PA      | $2605165.75   | 0.05%             | 2027-09-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                     | Fannie Mae-Aces                                                   | CUSIP: 3136B1LF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4765862 | PA      | $4617900.03   | 0.08%             | 2030-02-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                     | Fannie Mae-Aces                                                   | CUSIP: 3136B26W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2485309 | PA      | $2445291.11   | 0.04%             | 2030-08-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                     | Fannie Mae-Aces                                                   | CUSIP: 3136B6XJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3627070 | PA      | $3454612.28   | 0.06%             | 2029-08-25      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                     | Fannie Mae-Aces                                                   | CUSIP: 3136BCFX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4436758 | PA      | $4005982.88   | 0.07%             | 2030-05-25      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                     | Fannie Mae-Aces                                                   | CUSIP: 3136BGFQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2489000 | PA      | $2194757.09   | 0.04%             | 2031-07-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                     | Fannie Mae-Aces                                                   | CUSIP: 3136BHMX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3536000 | PA      | $3103614.21   | 0.05%             | 2031-04-25      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137BVZ82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4150000 | PA      | $4121557.98   | 0.07%             | 2027-01-25      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137F64P9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2945480 | PA      | $2826317.06   | 0.05%             | 2027-09-25      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137F72P9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1774442.52   | 0.03%             | 2030-10-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137F8ZV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8302000 | PA      | $7389031.14   | 0.13%             | 2030-12-25      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137FCLD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9875542.10   | 0.17%             | 2027-11-25      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137FEBQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1980702.04   | 0.03%             | 2027-12-25      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137FEZU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    659000 | PA      | $658406.64    | 0.01%             | 2028-04-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137FHPJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $999724.99    | 0.02%             | 2028-07-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137FJEH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6302000 | PA      | $6296439.49   | 0.11%             | 2028-08-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137FKZZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    413000 | PA      | $410135.13    | 0.01%             | 2029-01-25      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137FQ3A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12302000 | PA      | $11742310.05  | 0.20%             | 2029-09-25      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137FQ3Z4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4690000 | PA      | $4448476.54   | 0.08%             | 2029-10-25      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137FTFY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8471000 | PA      | $7659075.66   | 0.13%             | 2030-04-25      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137FTZQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2190000 | PA      | $1975715.92   | 0.03%             | 2030-04-25      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137FUZC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    829000 | PA      | $740782.46    | 0.01%             | 2030-05-25      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137FX3Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2664765.24   | 0.05%             | 2030-08-25      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137FXYV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5074000 | PA      | $4609811.25   | 0.08%             | 2031-01-25      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137FYUJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1809402.92   | 0.03%             | 2031-03-25      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137H2NY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3967000 | PA      | $3198573.22   | 0.06%             | 2036-08-25      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137H4SH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1787437.02   | 0.03%             | 2031-11-25      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137H5YC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9504852.10   | 0.16%             | 2029-01-25      | Variable      | 2.26%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137H74A8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3425000 | PA      | $3079831.17   | 0.05%             | 2032-03-25      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137H7M91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4513911.20   | 0.08%             | 2032-04-25      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137H7ZB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1853536.48   | 0.03%             | 2032-06-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137H93D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $477443.66    | 0.01%             | 2032-09-25      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137H9C98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1937340.16   | 0.03%             | 2032-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137H9JG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3750000 | PA      | $3649102.84   | 0.06%             | 2032-10-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137H9UD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1508613.69   | 0.03%             | 2033-01-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137HA2B1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2500000 | PA      | $2523735.85   | 0.04%             | 2033-02-25      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137HAAG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $994197.75    | 0.02%             | 2033-05-25      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137HAGS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1476418.91   | 0.03%             | 2033-07-25      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137HAMB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $3039711.09   | 0.05%             | 2033-07-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137HAMH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1825000 | PA      | $1857187.20   | 0.03%             | 2028-08-25      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137HAMS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2043596.78   | 0.04%             | 2028-09-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137HASK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2025337.78   | 0.04%             | 2033-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137HB2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1928000 | PA      | $1955222.40   | 0.03%             | 2030-10-25      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137HB3D4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1029453.93   | 0.02%             | 2028-10-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137HBP73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1054361.14   | 0.02%             | 2033-12-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137HHJA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $507074.47    | 0.01%             | 2034-10-25      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137HHUG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3600000 | PA      | $3699045.00   | 0.06%             | 2034-10-25      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | FREMF 2025-K169 Mortgage Trust                                    | CUSIP: 3137HK2C7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1529443.23   | 0.03%             | 2034-12-25      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137HLXV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $910960.41    | 0.02%             | 2030-02-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137HNMY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1800000 | PA      | $1820088.40   | 0.03%             | 2035-08-25      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates      | CUSIP: 3137HNN87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2025671.76   | 0.04%             | 2035-09-25      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20393 | PA      | $21510.27     | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31389QZ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6171 | PA      | $6519.24      | 0.00%             | 2032-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138A7G28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       428 | PA      | $426.46       | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138AG3P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39611 | PA      | $39617.18     | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138AHPM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1577 | PA      | $1599.98      | 0.00%             | 2041-08-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138AWMK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45187 | PA      | $44154.42     | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138EGKE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77212 | PA      | $78964.74     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138EGKL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2245 | PA      | $2236.02      | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138EGZ31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45238 | PA      | $46270.73     | 0.00%             | 2041-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138EGZZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138648 | PA      | $138670.51    | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138EHBB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126203 | PA      | $129093.66    | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138EHRM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1557 | PA      | $1546.59      | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138EJX52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17934 | PA      | $17936.41     | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138EKCU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98509 | PA      | $98744.64     | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138EL6H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113640 | PA      | $111253.98    | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138ELBU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3265 | PA      | $3339.20      | 0.00%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138ENQR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195564 | PA      | $196215.73    | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138EP5N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73569 | PA      | $72833.59     | 0.00%             | 2030-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138EPUP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117784 | PA      | $117540.43    | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138EPWM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147832 | PA      | $140597.41    | 0.00%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138EQ5W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    446703 | PA      | $437880.07    | 0.01%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138EQ6P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14729 | PA      | $14592.49     | 0.00%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138EQAH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153366 | PA      | $153049.08    | 0.00%             | 2045-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138EQTZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22813 | PA      | $22817.10     | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138ER2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    819308 | PA      | $776737.35    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138ER2P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    329702 | PA      | $330859.26    | 0.01%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138ER2U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284378 | PA      | $278334.45    | 0.00%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138ER5J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    497251 | PA      | $452091.93    | 0.01%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138ER5K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    664339 | PA      | $634105.58    | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138ER5V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2604041 | PA      | $2367548.36   | 0.04%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138ER6H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156705 | PA      | $153206.78    | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138ER6J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    262166 | PA      | $256395.39    | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138ER7M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230077 | PA      | $224371.02    | 0.00%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138ERBM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7618688 | PA      | $7198044.86   | 0.12%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138ERHL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173846 | PA      | $164622.81    | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138ERJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110431 | PA      | $100997.28    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138ERM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113011 | PA      | $110665.37    | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138ERTM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    269655 | PA      | $263495.74    | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138ERUK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135533 | PA      | $133821.47    | 0.00%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138ERV49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292331 | PA      | $278024.47    | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138ERX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    426308 | PA      | $390142.66    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138ERZE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248488 | PA      | $242474.94    | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138ET5H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    661377 | PA      | $617228.87    | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138ET6Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171015 | PA      | $167017.69    | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138ETGM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221586 | PA      | $205227.46    | 0.00%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138ETJU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5712180 | PA      | $5564796.46   | 0.10%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138ETQP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211503 | PA      | $209181.13    | 0.00%             | 2031-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138ETQT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164427 | PA      | $160820.06    | 0.00%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138ETQU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157152 | PA      | $153616.70    | 0.00%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138ETY75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1892475 | PA      | $1848297.77   | 0.03%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138ETYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145659 | PA      | $137931.67    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138LSZ78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9928 | PA      | $9782.64      | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138LVEV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57937 | PA      | $55101.27     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138LVU50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52035 | PA      | $51278.85     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138M5F87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24325 | PA      | $23995.36     | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138M5FB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7965 | PA      | $8128.57      | 0.00%             | 2042-08-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138M5GF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11931 | PA      | $11772.15     | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138MAJZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47151 | PA      | $44841.31     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138MBKB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150818 | PA      | $146818.11    | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138MCXP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201936 | PA      | $185873.54    | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138MFPY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22986 | PA      | $22710.17     | 0.00%             | 2027-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138NXRX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48699 | PA      | $46723.09     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138W7GD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    429062 | PA      | $397464.52    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138W9GM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30530 | PA      | $28281.64     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138W9H94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114200 | PA      | $113942.47    | 0.00%             | 2043-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138W9RH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17051 | PA      | $16755.18     | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138W9SE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    510179 | PA      | $472515.42    | 0.01%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WBQ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139440 | PA      | $138597.47    | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WCQP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    319727 | PA      | $310077.27    | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WD2H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117039 | PA      | $114306.89    | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WD4C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177942 | PA      | $173788.51    | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WDL41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236025 | PA      | $230296.07    | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WE3W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    560063 | PA      | $531290.71    | 0.01%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WECQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134115 | PA      | $130654.29    | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WEMY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62374 | PA      | $61175.76     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WEPF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    357525 | PA      | $339157.40    | 0.01%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WERK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    445793 | PA      | $422890.69    | 0.01%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WESA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    320441 | PA      | $312172.68    | 0.01%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WF2G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4216 | PA      | $4165.81      | 0.00%             | 2030-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WF6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32019 | PA      | $31038.89     | 0.00%             | 2030-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WF6U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    512342 | PA      | $486020.53    | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WF7H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41375 | PA      | $40486.77     | 0.00%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WFAN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20696 | PA      | $20104.89     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WFAW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59855 | PA      | $58661.36     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WFHS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    553938 | PA      | $525479.99    | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WFKQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152267 | PA      | $147738.25    | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WFWW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116375 | PA      | $113985.79    | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WG6H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56371 | PA      | $53000.76     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WGAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    486338 | PA      | $457591.15    | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WGB86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45068 | PA      | $44893.57     | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WGFQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248977 | PA      | $236689.44    | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WGHD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37643 | PA      | $36586.99     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WGHR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217666 | PA      | $206923.12    | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WGRR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35124 | PA      | $33946.36     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WGRV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36870 | PA      | $36069.65     | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WGSX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143577 | PA      | $135090.76    | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WGVM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73081 | PA      | $72186.35     | 0.00%             | 2031-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WGYY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47564 | PA      | $45968.85     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WH4N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    387723 | PA      | $374147.48    | 0.01%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WH4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223035 | PA      | $215050.17    | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WHBV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55308 | PA      | $53451.74     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WHF56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180389 | PA      | $169604.27    | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WHKC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215175 | PA      | $203063.78    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WHL34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32014 | PA      | $30100.24     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WHNK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118457 | PA      | $111649.04    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WHNL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130679 | PA      | $123168.49    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WHQA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129513 | PA      | $125170.70    | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WHT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47403 | PA      | $47089.90     | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WHTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268269 | PA      | $259709.33    | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WHUV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93060 | PA      | $89940.07     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WHVQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19513 | PA      | $18391.80     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WJ6C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8570 | PA      | $8271.37      | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WJ6R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170090 | PA      | $169021.56    | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WJA32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85051 | PA      | $80162.78     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WJBY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7814 | PA      | $7762.21      | 0.00%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WJK72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    723058 | PA      | $679893.36    | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WJM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    986767 | PA      | $897151.30    | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WJN38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191745 | PA      | $175767.32    | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WJNE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166576 | PA      | $152444.62    | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WJNJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1273229 | PA      | $1205680.72   | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WJQ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1050820 | PA      | $988152.13    | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WJR75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42979 | PA      | $41891.45     | 0.00%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WJRQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    970189 | PA      | $936515.40    | 0.02%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WJRT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    831550 | PA      | $802424.05    | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WJSA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23563 | PA      | $23015.41     | 0.00%             | 2031-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WJTD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    325174 | PA      | $297587.79    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WJTG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1913561 | PA      | $1739776.23   | 0.03%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WJUS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149967 | PA      | $141001.35    | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WJW53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145002 | PA      | $141480.49    | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WK3C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    453335 | PA      | $427953.98    | 0.01%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WKQD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    356083 | PA      | $333832.59    | 0.01%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WKQR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    665165 | PA      | $627054.51    | 0.01%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WKQV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    369702 | PA      | $358126.71    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WKQY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    551683 | PA      | $548216.36    | 0.01%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WKTU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111132 | PA      | $100707.28    | 0.00%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WKUB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    515325 | PA      | $479335.38    | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WKUL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    508031 | PA      | $492729.24    | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WKXZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134016 | PA      | $132097.92    | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WKZM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1032831 | PA      | $1001722.48   | 0.02%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WLAK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    323751 | PA      | $305201.12    | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WLBG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    373548 | PA      | $353133.12    | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WLCK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    606902 | PA      | $585723.13    | 0.01%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WQAW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    951516 | PA      | $881442.46    | 0.02%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WRP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    464086 | PA      | $429824.74    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WRTB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31934 | PA      | $29581.89     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WRWL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36847 | PA      | $37510.47     | 0.00%             | 2043-06-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WTWW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26796 | PA      | $27001.99     | 0.00%             | 2043-05-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138WUT52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31179 | PA      | $28877.34     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138XHZD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1173 | PA      | $1164.52      | 0.00%             | 2029-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138XQDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129280 | PA      | $126261.72    | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138XYCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178018 | PA      | $169281.27    | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138Y63F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226538 | PA      | $231679.79    | 0.00%             | 2042-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138Y64A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57741 | PA      | $57750.55     | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138Y9SR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90606 | PA      | $88140.37     | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138YBSN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244972 | PA      | $239253.59    | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138YBTZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    304680 | PA      | $285656.44    | 0.00%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138YEN60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    452904 | PA      | $429951.79    | 0.01%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138YNL62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214272 | PA      | $209916.18    | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138YUH79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162225 | PA      | $159010.89    | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138YUHZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79103 | PA      | $76884.76     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138YWNQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70215 | PA      | $68354.98     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138YXK87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103026 | PA      | $100965.26    | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3138YY3V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64484 | PA      | $62675.25     | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46172 | PA      | $46932.07     | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31402CVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24471 | PA      | $25510.49     | 0.00%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15599 | PA      | $16217.61     | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31403DGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9017 | PA      | $9374.88      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140ADGX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1849114 | PA      | $1899549.92   | 0.03%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140AE2Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1019471 | PA      | $1046752.35   | 0.02%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140BK2C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3104676 | PA      | $3180247.16   | 0.05%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140E26C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54602 | PA      | $53070.37     | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140E2FS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39918 | PA      | $38888.48     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140E2HL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6204 | PA      | $6137.42      | 0.00%             | 2030-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140E4BH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13294 | PA      | $12997.88     | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140E6MN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29032 | PA      | $26419.75     | 0.00%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140E75F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23269 | PA      | $22778.26     | 0.00%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140E7KF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27135 | PA      | $26576.17     | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140E9J80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27809 | PA      | $27217.69     | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140EBHJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23306 | PA      | $22622.42     | 0.00%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140EBXA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21248 | PA      | $20534.94     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140ECR92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65268 | PA      | $60911.25     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140ECRN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134528 | PA      | $125548.29    | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140EU2G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131055 | PA      | $128296.48    | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140EU4H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43491 | PA      | $40890.53     | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140EUC64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156596 | PA      | $147350.02    | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140EUKN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    487569 | PA      | $458462.43    | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140EULA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11081 | PA      | $10954.43     | 0.00%             | 2031-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140EULG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    685281 | PA      | $644774.43    | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140EUQ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102644 | PA      | $96583.86     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140EVJC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    724967 | PA      | $682115.04    | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140EVPN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24899 | PA      | $24367.98     | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140EVTJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340285 | PA      | $328861.56    | 0.01%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140EVTZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101933 | PA      | $99473.15     | 0.00%             | 2031-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140EVU96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7585 | PA      | $7535.17      | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140EVUP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249811 | PA      | $228618.75    | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140EW6D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16376 | PA      | $15826.22     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140EY3U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21733 | PA      | $21478.21     | 0.00%             | 2031-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140EY4Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56855 | PA      | $55667.12     | 0.00%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140F0JL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33967 | PA      | $33743.77     | 0.00%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140F0JX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    286716 | PA      | $276875.42    | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140F0UQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12713 | PA      | $12410.33     | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140F1T28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77294 | PA      | $74841.22     | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140F4L95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44844 | PA      | $41850.66     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140F4NA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32639 | PA      | $30459.93     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140F5AD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199054 | PA      | $180976.13    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140F5CD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    482431 | PA      | $438618.12    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140F5RX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23814 | PA      | $22392.44     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140F8KT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22157 | PA      | $21413.46     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140F9WA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    484736 | PA      | $455798.83    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140F9WL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138639 | PA      | $130362.29    | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140FBKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22389 | PA      | $21637.85     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140FBLD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49539 | PA      | $47875.58     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140FCNG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279121 | PA      | $262458.35    | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140FCP69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37307 | PA      | $35079.59     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140FCTC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87074 | PA      | $81876.09     | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140FE4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221887 | PA      | $214143.68    | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140FFEY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17701 | PA      | $17106.80     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140FKCB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68174 | PA      | $64103.96     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140FPDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145755 | PA      | $140675.07    | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140FPVS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102347 | PA      | $96237.14     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140FQS40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81284 | PA      | $79237.20     | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140FQTZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244588 | PA      | $230130.99    | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140FQUB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42768 | PA      | $41690.84     | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140FRMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    946822 | PA      | $860834.15    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140FS3Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10606 | PA      | $10536.52     | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140FSH22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244440 | PA      | $229862.76    | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140FVVS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53404 | PA      | $52953.27     | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140FXF23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    979554 | PA      | $923632.99    | 0.02%             | 2057-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140FXFM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    887492 | PA      | $836826.62    | 0.01%             | 2057-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140FXGJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4177778 | PA      | $3919562.84   | 0.07%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140FXGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    721065 | PA      | $666818.05    | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140FXGQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    807619 | PA      | $786910.89    | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140GNKS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42460 | PA      | $42141.60     | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140GQ3F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253091 | PA      | $244258.81    | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140GRYV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22183 | PA      | $21862.53     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140GSN73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34205 | PA      | $34660.68     | 0.00%             | 2047-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140GSNW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    757282 | PA      | $730855.09    | 0.01%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140GSPD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1043609 | PA      | $1007234.70   | 0.02%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140GT5R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63438 | PA      | $62544.22     | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140GT5V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64323 | PA      | $62309.13     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140GVKY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36753 | PA      | $36192.04     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140GWFR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33606 | PA      | $31507.73     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140GYJ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1842655 | PA      | $1737079.48   | 0.03%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140GYNH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64482 | PA      | $63550.13     | 0.00%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140H1WA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149470 | PA      | $151424.24    | 0.00%             | 2048-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140H23H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    305102 | PA      | $296878.66    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140H2YR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46407 | PA      | $45760.19     | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140H36T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    363779 | PA      | $368535.40    | 0.01%             | 2048-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140H3XW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    806443 | PA      | $756098.17    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140H6BQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2760292 | PA      | $2587972.77   | 0.04%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140HAFK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    307382 | PA      | $305635.53    | 0.01%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140HAFL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203293 | PA      | $202015.43    | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140HAFM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    375504 | PA      | $372359.66    | 0.01%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140HEXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    273755 | PA      | $271455.81    | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140HFFN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187993 | PA      | $186982.09    | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140HJ2A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67886 | PA      | $68889.36     | 0.00%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140HJ5L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300112 | PA      | $298953.06    | 0.01%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140HJJL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1547943 | PA      | $1534942.13   | 0.03%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140HLJX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43183 | PA      | $42737.06     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140HMNF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3107234 | PA      | $3081137.21   | 0.05%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J52B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240706 | PA      | $234681.77    | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J5DM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    429198 | PA      | $413609.98    | 0.01%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J5EJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    768820 | PA      | $742555.31    | 0.01%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J5G78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234519 | PA      | $221570.97    | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J5MS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    711358 | PA      | $689085.30    | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J5NM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224079 | PA      | $222534.68    | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J5U98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44943 | PA      | $44175.19     | 0.00%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J5US6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232108 | PA      | $224840.63    | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J5WM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    533935 | PA      | $503343.02    | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J5ZY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    417213 | PA      | $392738.16    | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J6C21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    428332 | PA      | $421307.89    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J6E94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    933191 | PA      | $882192.02    | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J75K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99897 | PA      | $97094.92     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J7K53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1207379 | PA      | $1173827.04   | 0.02%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J7N27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15440 | PA      | $15404.75     | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J7R23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    689344 | PA      | $652772.09    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J7RM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90781 | PA      | $87617.20     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J7S30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    363202 | PA      | $344795.82    | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J7T39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    501632 | PA      | $483612.29    | 0.01%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J7WU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351172 | PA      | $331980.06    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J7XH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    737599 | PA      | $674588.38    | 0.01%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J7XT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    412673 | PA      | $402148.64    | 0.01%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J82T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    480749 | PA      | $482436.44    | 0.01%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J8AM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    629574 | PA      | $612891.25    | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J8C27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    445131 | PA      | $418820.16    | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J8CA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    709563 | PA      | $657179.68    | 0.01%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J8D26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    904083 | PA      | $889389.46    | 0.02%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J8DM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1417044 | PA      | $1239686.48   | 0.02%             | 2047-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J8EY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291158 | PA      | $286912.42    | 0.00%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J8GK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1303847 | PA      | $1185434.45   | 0.02%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J8GN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    430181 | PA      | $410603.77    | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J8GY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    241433 | PA      | $233204.01    | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J8K93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    459836 | PA      | $447827.73    | 0.01%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J8KV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    510156 | PA      | $525413.28    | 0.01%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J8KW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    293101 | PA      | $304717.09    | 0.01%             | 2047-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J8M34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    423333 | PA      | $412385.14    | 0.01%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J8PJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192159 | PA      | $181916.45    | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J8RJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    393545 | PA      | $384966.93    | 0.01%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J8ST1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347854 | PA      | $342859.83    | 0.01%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J8SW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    262988 | PA      | $258769.24    | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J8TH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2450366 | PA      | $2363412.28   | 0.04%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J8VQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    699426 | PA      | $647790.92    | 0.01%             | 2044-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J8X57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    545407 | PA      | $539945.63    | 0.01%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J92F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1271322 | PA      | $1228645.09   | 0.02%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J92G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208863 | PA      | $203004.99    | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J93T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3420968 | PA      | $3324833.66   | 0.06%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J96V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229011 | PA      | $220346.20    | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J9A35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6730447 | PA      | $6542023.68   | 0.11%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J9BX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    588746 | PA      | $586422.92    | 0.01%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J9D65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    664677 | PA      | $650357.61    | 0.01%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J9EY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1266152 | PA      | $1172678.86   | 0.02%             | 2044-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J9FC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4824023 | PA      | $4678237.55   | 0.08%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J9FE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223590 | PA      | $221712.56    | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J9G96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150977 | PA      | $159366.73    | 0.00%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J9GM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3575610 | PA      | $3352391.71   | 0.06%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J9Q53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    342828 | PA      | $332467.37    | 0.01%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J9SE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    946808 | PA      | $929080.92    | 0.02%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J9SN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2087909 | PA      | $1892053.79   | 0.03%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J9W56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218522 | PA      | $215635.36    | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140J9YJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188159 | PA      | $186216.72    | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140JAFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    752713 | PA      | $734783.74    | 0.01%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140JAND6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151304 | PA      | $146225.28    | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140JGLW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297431 | PA      | $294363.28    | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140JLL28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    385911 | PA      | $373143.13    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140JLMJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    669130 | PA      | $662228.94    | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140JM4A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    707708 | PA      | $663588.57    | 0.01%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140JNY95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10191 | PA      | $9797.96      | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140JPN35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    806131 | PA      | $759737.44    | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140K06S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    497123 | PA      | $449596.87    | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140K14K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3327933 | PA      | $2992024.65   | 0.05%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140K1C87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    436921 | PA      | $395149.93    | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140KD6E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    405470 | PA      | $363643.95    | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140KEFG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4646760 | PA      | $4168868.68   | 0.07%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140KLLG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2473396 | PA      | $2026774.84   | 0.04%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140KQN31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7027171 | PA      | $5766355.76   | 0.10%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140KVZM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3452056 | PA      | $2827828.20   | 0.05%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140KYG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1302449 | PA      | $1208486.49   | 0.02%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140L23B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1264719 | PA      | $1035581.74   | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140L2RS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9765997 | PA      | $8000160.03   | 0.14%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140L6P99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    692135 | PA      | $568644.13    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140LQPU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3419830 | PA      | $3148396.48   | 0.05%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140LXF83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    507186 | PA      | $499417.86    | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140M2DE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4502799 | PA      | $4154678.39   | 0.07%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140M2E24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1633286 | PA      | $1348843.46   | 0.02%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140M2RB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1506556 | PA      | $1389364.58   | 0.02%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140MATV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126153 | PA      | $124269.38    | 0.00%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140MCA75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6241454 | PA      | $5089481.12   | 0.09%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140MCAF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13346075 | PA      | $10881524.44  | 0.19%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140MESL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2772587 | PA      | $2861859.82   | 0.05%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140MGK34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18944086 | PA      | $15447612.88  | 0.27%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140MGLC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6588010 | PA      | $5372074.18   | 0.09%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140MHT41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26660114 | PA      | $22750726.78  | 0.39%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140MJ5R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6498554 | PA      | $5545618.97   | 0.10%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140MJ7B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    730270 | PA      | $654467.84    | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140MMT73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3144364 | PA      | $2683350.64   | 0.05%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q73S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227270 | PA      | $219338.65    | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q7D53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119131 | PA      | $115542.52    | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q7EF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151189 | PA      | $145912.65    | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q7HS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210513 | PA      | $197350.95    | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q7JK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132780 | PA      | $128146.77    | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q7NJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    352763 | PA      | $340452.63    | 0.01%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q7NZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    321436 | PA      | $301350.42    | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q7RH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215980 | PA      | $202483.62    | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q7RP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381542 | PA      | $368227.10    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q7RS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    817297 | PA      | $812652.14    | 0.01%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q7TF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78679 | PA      | $75933.51     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q7UL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59071 | PA      | $56763.47     | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q7VR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106419 | PA      | $105522.09    | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q7X28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    423627 | PA      | $408844.19    | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q7XJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    477641 | PA      | $451537.74    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q7XS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    343626 | PA      | $326808.76    | 0.01%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q8BV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250467 | PA      | $243583.88    | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q8C52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    887417 | PA      | $838919.32    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q8D77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    717546 | PA      | $711500.98    | 0.01%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q8DV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    815228 | PA      | $786773.35    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q8KB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3532768 | PA      | $3311886.80   | 0.06%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q8LY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    441838 | PA      | $418287.41    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q8VC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83037 | PA      | $77847.98     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q8VZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    299547 | PA      | $283194.60    | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q8WM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1530058 | PA      | $1473254.40   | 0.03%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q8WW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118099 | PA      | $116989.00    | 0.00%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q9DC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    315362 | PA      | $313031.74    | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q9DY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    737083 | PA      | $750407.66    | 0.01%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q9EZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151989 | PA      | $146346.67    | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q9F65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14487 | PA      | $14337.52     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q9JK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249878 | PA      | $253516.70    | 0.00%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q9PA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    533302 | PA      | $542012.93    | 0.01%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q9UA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170183 | PA      | $163864.84    | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Q9XX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    299928 | PA      | $296834.22    | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QA2X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1168162 | PA      | $1129417.39   | 0.02%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QACR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1097126 | PA      | $1087911.06   | 0.02%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QAJQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368690 | PA      | $373201.82    | 0.01%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QAR36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    361414 | PA      | $348567.07    | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QAW97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206969 | PA      | $194713.70    | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QAXL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    317781 | PA      | $322692.16    | 0.01%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QAXR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1454124 | PA      | $1405894.95   | 0.02%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QAXY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334463 | PA      | $339043.06    | 0.01%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QBBH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    581938 | PA      | $561251.22    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QBCF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1448149 | PA      | $1398095.17   | 0.02%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QBHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1655801 | PA      | $1605607.03   | 0.03%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QBR75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2172029 | PA      | $1964377.32   | 0.03%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QBW20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2151866 | PA      | $2081378.34   | 0.04%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QBZF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    568325 | PA      | $515013.55    | 0.01%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QCWN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1013961 | PA      | $902193.35    | 0.02%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QDDQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1449568 | PA      | $1306783.11   | 0.02%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QDVN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4631294 | PA      | $4122071.17   | 0.07%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QEKL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3204563 | PA      | $2775501.76   | 0.05%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QEXP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4889215 | PA      | $4048932.42   | 0.07%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QEY30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1554159 | PA      | $1349130.98   | 0.02%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QF2E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2825300 | PA      | $2532986.35   | 0.04%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QF4L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2792468 | PA      | $2374016.44   | 0.04%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QFA58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4344543 | PA      | $3777514.17   | 0.07%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QFFJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5730141 | PA      | $4941952.74   | 0.09%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QFFK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4225038 | PA      | $3643878.65   | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QG3B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3932350 | PA      | $3252745.71   | 0.06%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QGJ40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1680775 | PA      | $1559757.12   | 0.03%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QGJQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5789497 | PA      | $5370670.26   | 0.09%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QGLT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7942933 | PA      | $6587218.13   | 0.11%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QGLY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8348942 | PA      | $6907152.64   | 0.12%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QGV61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3515853 | PA      | $3260113.36   | 0.06%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QGXT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3171380 | PA      | $2940648.23   | 0.05%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QGXX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8104611 | PA      | $7518302.72   | 0.13%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QGYV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218548 | PA      | $180777.39    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QGZ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2393566 | PA      | $2065101.00   | 0.04%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QHEP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2853399 | PA      | $2643758.57   | 0.05%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QHET8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2928361 | PA      | $2715309.32   | 0.05%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QHP33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2722044 | PA      | $2578747.02   | 0.04%             | 2036-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QHPV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1839697 | PA      | $1699504.25   | 0.03%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QHPX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1552862 | PA      | $1434006.48   | 0.02%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QHPY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    991806 | PA      | $915894.00    | 0.02%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QHQ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2510810 | PA      | $2319898.30   | 0.04%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QHTQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3600650 | PA      | $3085086.66   | 0.05%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QK4D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5944100 | PA      | $4892937.16   | 0.08%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QKC48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9417733 | PA      | $7711459.48   | 0.13%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QKEX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    280476 | PA      | $230531.32    | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QKHM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5021981 | PA      | $4137387.85   | 0.07%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QKNS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1824354 | PA      | $1515042.11   | 0.03%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QKSC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1259108 | PA      | $1086954.48   | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QKXN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8146377 | PA      | $6705760.64   | 0.12%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QLF84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2118040 | PA      | $2003105.90   | 0.03%             | 2036-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QLFF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3882520 | PA      | $3326515.63   | 0.06%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QLGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3905821 | PA      | $3206217.38   | 0.06%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QLHK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1714124 | PA      | $1456741.14   | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QLL87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4850561 | PA      | $4175093.46   | 0.07%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QLN36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2584690 | PA      | $2112798.58   | 0.04%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QLN44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2616722 | PA      | $2138981.98   | 0.04%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QLPQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9656046 | PA      | $8298038.09   | 0.14%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QLRW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3483167 | PA      | $3135382.78   | 0.05%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QLY42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11732800 | PA      | $10095313.76  | 0.17%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QM6D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6785646 | PA      | $6014281.30   | 0.10%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QMPG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    969093 | PA      | $875368.25    | 0.02%             | 2036-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QMRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6107742 | PA      | $5259412.26   | 0.09%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QMVC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4418244 | PA      | $3797512.43   | 0.07%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QN3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4374607 | PA      | $4070975.17   | 0.07%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QN4A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3430399 | PA      | $3061057.42   | 0.05%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QNAK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3038543 | PA      | $2802181.75   | 0.05%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QNFJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7670498 | PA      | $6600361.05   | 0.11%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QNK68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2953058 | PA      | $2526645.46   | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QNQJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1406304 | PA      | $1153359.34   | 0.02%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QNQM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16002133 | PA      | $13677675.64  | 0.24%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QNR61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    575298 | PA      | $541686.11    | 0.01%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QNS37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6307599 | PA      | $5628477.01   | 0.10%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QNSZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7085670 | PA      | $6337979.09   | 0.11%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QNW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3257345 | PA      | $2906257.19   | 0.05%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QNWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6589988 | PA      | $5632221.40   | 0.10%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QNWM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1762185 | PA      | $1510719.26   | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QNWY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3070203 | PA      | $2751871.41   | 0.05%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QPFK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3410514 | PA      | $3173533.90   | 0.05%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QPH34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11065317 | PA      | $10296442.31  | 0.18%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QPNY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12307755 | PA      | $11330882.75  | 0.20%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QPSF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3449346 | PA      | $3195044.11   | 0.06%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QPX93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8372921 | PA      | $7989098.60   | 0.14%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QQ2A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6432453 | PA      | $6304457.04   | 0.11%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QQFP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3788574 | PA      | $3738079.75   | 0.06%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QQLM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4154612 | PA      | $4072744.84   | 0.07%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QQU45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  28054182 | PA      | $27608253.14  | 0.48%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QR2Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2589821 | PA      | $2597265.69   | 0.04%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QREH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8411853 | PA      | $8443740.65   | 0.15%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QRJ87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7966049 | PA      | $7977355.27   | 0.14%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QRKD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15284895 | PA      | $15683926.10  | 0.27%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QRW33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6316397 | PA      | $6326953.49   | 0.11%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QRXL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12203478 | PA      | $12403244.59  | 0.21%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QS3Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3757087 | PA      | $3901248.04   | 0.07%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QSKM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1586713 | PA      | $1585859.09   | 0.03%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QSL82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17058699 | PA      | $17496945.33  | 0.30%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QSUA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9200410 | PA      | $9469159.18   | 0.16%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QSVP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3354102 | PA      | $3493389.01   | 0.06%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QSYU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5739646 | PA      | $5731227.72   | 0.10%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QT2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4133847 | PA      | $4194476.42   | 0.07%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QT3S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4601912 | PA      | $4722101.24   | 0.08%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QT4J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4016030 | PA      | $4276179.26   | 0.07%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QTCN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5910293 | PA      | $6216554.82   | 0.11%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QTCP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7295928 | PA      | $7662534.36   | 0.13%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QTH36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    985237 | PA      | $1023634.92   | 0.02%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QTJ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5739585 | PA      | $5890816.96   | 0.10%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QTJ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6452331 | PA      | $6703800.07   | 0.12%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QTKW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3741951 | PA      | $3865878.35   | 0.07%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QTQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2229175 | PA      | $2359215.22   | 0.04%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QTQE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1889982 | PA      | $1987917.87   | 0.03%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QTQF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3320846 | PA      | $3487711.78   | 0.06%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QTU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2300781 | PA      | $2409412.05   | 0.04%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QTU72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3356554 | PA      | $3520357.24   | 0.06%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QTUY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5456214 | PA      | $5770014.89   | 0.10%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QTW39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    752427 | PA      | $784480.69    | 0.01%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QTYY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1310180 | PA      | $1325789.32   | 0.02%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QU7J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7086124 | PA      | $7207329.44   | 0.12%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QUH82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2950873 | PA      | $3107543.09   | 0.05%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QUHJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2986609 | PA      | $3048784.66   | 0.05%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QUHU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3822935 | PA      | $3920972.66   | 0.07%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QUM86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9094545 | PA      | $9219679.64   | 0.16%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QUNH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3805656 | PA      | $3854697.38   | 0.07%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QUYV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3319069 | PA      | $3480575.54   | 0.06%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QV2R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11520195 | PA      | $11485915.71  | 0.20%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QVA95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8776605 | PA      | $9170898.24   | 0.16%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QVAK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5185913 | PA      | $5365474.61   | 0.09%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QVAL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    709041 | PA      | $729107.59    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QVAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2669646 | PA      | $2758037.79   | 0.05%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QVG32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10259546 | PA      | $10528196.86  | 0.18%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QVG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2378852 | PA      | $2454041.93   | 0.04%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QVQ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8587603 | PA      | $8562050.06   | 0.15%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QVV84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4262177 | PA      | $4157025.23   | 0.07%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140QVZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1805958 | PA      | $1805504.36   | 0.03%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140W02R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5308358 | PA      | $4333645.53   | 0.07%             | 2052-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140W0AW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1579324 | PA      | $1619887.23   | 0.03%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140W0HY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7638563 | PA      | $6241311.49   | 0.11%             | 2052-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140W0R80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5649908 | PA      | $5903732.25   | 0.10%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140W0ZE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7487352 | PA      | $7299509.94   | 0.13%             | 2055-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140W12L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3454493 | PA      | $3293102.38   | 0.06%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140W1HY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2970832 | PA      | $3049719.67   | 0.05%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140W1YT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4100184 | PA      | $3502842.32   | 0.06%             | 2054-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140W2PU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7122989 | PA      | $7317631.69   | 0.13%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140W2PV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4625708 | PA      | $4747450.09   | 0.08%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140W2RB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3246516 | PA      | $3290889.25   | 0.06%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140W2SF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1524132 | PA      | $1563772.79   | 0.03%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140W3A58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    664861 | PA      | $695490.71    | 0.01%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140W3DQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5649198 | PA      | $5790728.06   | 0.10%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140W3L80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2974215 | PA      | $3045902.39   | 0.05%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140W3MM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4959980 | PA      | $5024242.45   | 0.09%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X3CP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    504355 | PA      | $457172.39    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X4DF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289336 | PA      | $271273.52    | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X4EZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    450434 | PA      | $445783.71    | 0.01%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X4GD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    676904 | PA      | $714521.14    | 0.01%             | 2049-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X4HG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3019791 | PA      | $2796855.81   | 0.05%             | 2044-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X4QW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3101836 | PA      | $2822785.13   | 0.05%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X4Z33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1676826 | PA      | $1634039.24   | 0.03%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X4Z66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58673 | PA      | $58438.05     | 0.00%             | 2032-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X5CH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    353016 | PA      | $343661.21    | 0.01%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X5DK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    349288 | PA      | $337402.70    | 0.01%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X5MC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28150 | PA      | $28034.32     | 0.00%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X5S38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    564124 | PA      | $558306.10    | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X5VE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    490594 | PA      | $480330.13    | 0.01%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X6F55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1618283 | PA      | $1454939.57   | 0.03%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X6F63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    768998 | PA      | $720991.26    | 0.01%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X6GA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    807480 | PA      | $759275.24    | 0.01%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X6ME8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1472679 | PA      | $1384763.78   | 0.02%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X75T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435358 | PA      | $420488.53    | 0.01%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X7KT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    931305 | PA      | $895404.87    | 0.02%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X7M89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5090824 | PA      | $4755793.92   | 0.08%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X7VJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4131206 | PA      | $3873303.00   | 0.07%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X7VQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1612724 | PA      | $1400968.23   | 0.02%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X7VT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23160724 | PA      | $20069973.83  | 0.35%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X7VU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7603213 | PA      | $6586227.97   | 0.11%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X7VZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9868312 | PA      | $8470588.67   | 0.15%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X7Y29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    635964 | PA      | $549673.82    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X8FV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2016735 | PA      | $1878969.55   | 0.03%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X8H26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    538785 | PA      | $520453.76    | 0.01%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X8KW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4386443 | PA      | $3762441.26   | 0.07%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X8MH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22725798 | PA      | $19679024.56  | 0.34%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X8NS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1254843 | PA      | $1165027.13   | 0.02%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X8RR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4758997 | PA      | $3948380.14   | 0.07%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X8RS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9895432 | PA      | $8196489.76   | 0.14%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X8SQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7896366 | PA      | $6540642.80   | 0.11%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X8TY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13226786 | PA      | $11769392.91  | 0.20%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X8W78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2461383 | PA      | $2207483.00   | 0.04%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X8WL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5718747 | PA      | $4729917.15   | 0.08%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X8WQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3488112 | PA      | $2895184.40   | 0.05%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X9CL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3271482 | PA      | $3102733.29   | 0.05%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X9CS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2550987 | PA      | $2287054.97   | 0.04%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X9ED3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2806147 | PA      | $2537554.53   | 0.04%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X9FM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1469713 | PA      | $1363273.35   | 0.02%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X9R64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3523414 | PA      | $3272974.47   | 0.06%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X9SX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18797716 | PA      | $14549292.11  | 0.25%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X9V69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1805912 | PA      | $1738911.38   | 0.03%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X9VZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5419773 | PA      | $4400263.77   | 0.08%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140X9ZZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3325966 | PA      | $2982881.66   | 0.05%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XA3P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2869585 | PA      | $2690443.07   | 0.05%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XAB68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2592598 | PA      | $2322755.46   | 0.04%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XAH88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8557759 | PA      | $7069584.87   | 0.12%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XAJP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9571845 | PA      | $8136761.38   | 0.14%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XASY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2385871 | PA      | $1970973.98   | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XB3R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2426648 | PA      | $2086120.14   | 0.04%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XB3V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7621411 | PA      | $6584601.25   | 0.11%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XB4Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15111204 | PA      | $13550855.32  | 0.23%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XBAD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8725664 | PA      | $7205251.48   | 0.12%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XBB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2685341 | PA      | $2537688.05   | 0.04%             | 2036-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5322579 | PA      | $5117402.28   | 0.09%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XBKS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4737241 | PA      | $4437632.97   | 0.08%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XBQ78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14397054 | PA      | $12453523.80  | 0.22%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XBSH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5580383 | PA      | $4606079.04   | 0.08%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XC3K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3649586 | PA      | $3266342.50   | 0.06%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XCB64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5328110 | PA      | $4613072.84   | 0.08%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XCGN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1969804 | PA      | $1896723.21   | 0.03%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XCLX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4095314 | PA      | $3530302.77   | 0.06%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XCPY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2196929 | PA      | $2030383.18   | 0.04%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XCSU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8067451 | PA      | $6250496.54   | 0.11%             | 2051-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XCUG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2907900 | PA      | $2577341.65   | 0.04%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XCXY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5781811 | PA      | $4974873.79   | 0.09%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XD3Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7999675 | PA      | $6888566.88   | 0.12%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XD3V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2535471 | PA      | $2338732.48   | 0.04%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XD6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3195854 | PA      | $2750979.47   | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XDCT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1012408 | PA      | $834379.46    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XDCU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1475835 | PA      | $1216314.59   | 0.02%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XDDB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2778006 | PA      | $2288142.30   | 0.04%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XDFV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1115917 | PA      | $917020.79    | 0.02%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XDGD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7326742 | PA      | $6313637.86   | 0.11%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XDKZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    515984 | PA      | $466303.83    | 0.01%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XDLB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3720320 | PA      | $3433239.07   | 0.06%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XDRM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3618422 | PA      | $3116965.06   | 0.05%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XDRQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2448887 | PA      | $2108751.10   | 0.04%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XDUC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11086809 | PA      | $9127937.68   | 0.16%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XDWS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    636271 | PA      | $574588.37    | 0.01%             | 2036-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XDX84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    480314 | PA      | $443179.99    | 0.01%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XF5J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6756138 | PA      | $6031599.25   | 0.10%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XFE56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1750056 | PA      | $1614192.64   | 0.03%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XFFW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2590814 | PA      | $2387651.74   | 0.04%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XFPM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1588538 | PA      | $1464748.68   | 0.03%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XGGD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13264695 | PA      | $10856815.33  | 0.19%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XGH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2628602 | PA      | $2474531.01   | 0.04%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XGKE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6565408 | PA      | $5371329.34   | 0.09%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XGPU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    975732 | PA      | $798611.58    | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XGT74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6966816 | PA      | $6526198.15   | 0.11%             | 2051-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XGTV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2791012 | PA      | $2687463.81   | 0.05%             | 2051-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XGW96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7378522 | PA      | $6016682.70   | 0.10%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XGX46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4624499 | PA      | $3770963.95   | 0.07%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XGZN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1338563 | PA      | $1143552.55   | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XH4Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14291994 | PA      | $12227552.02  | 0.21%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XH7C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6119333 | PA      | $5838816.54   | 0.10%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XHHM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7006542 | PA      | $6450429.63   | 0.11%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XHHP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253546 | PA      | $227296.87    | 0.00%             | 2037-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19398429 | PA      | $15829754.24  | 0.27%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XHLX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13860709 | PA      | $12897595.96  | 0.22%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XHPZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1142117 | PA      | $974727.94    | 0.02%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XHYQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5263313 | PA      | $5182700.56   | 0.09%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XJ6A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4836159 | PA      | $4688546.06   | 0.08%             | 2038-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XJKB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1283246 | PA      | $1181394.36   | 0.02%             | 2037-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XJNV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13171715 | PA      | $12967434.27  | 0.22%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XK5T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    521905 | PA      | $545559.03    | 0.01%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XKL81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2376784 | PA      | $2133817.02   | 0.04%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XKPV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12140959 | PA      | $12153472.11  | 0.21%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XL2F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1783722 | PA      | $1853584.82   | 0.03%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XL3R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1530311 | PA      | $1583701.03   | 0.03%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XL7G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1421056 | PA      | $1494693.05   | 0.03%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XLAR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1697910 | PA      | $1521714.02   | 0.03%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XLE46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7558842 | PA      | $6205270.42   | 0.11%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XLER5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    800914 | PA      | $820350.84    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XLFE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    877186 | PA      | $715200.66    | 0.01%             | 2052-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XLJ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2844667 | PA      | $2433761.86   | 0.04%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XLLU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4650688 | PA      | $4165196.50   | 0.07%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XLT24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1387400 | PA      | $1438222.32   | 0.02%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XLVK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2252494 | PA      | $2331080.13   | 0.04%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XLVL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1778334 | PA      | $1839257.87   | 0.03%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XM7G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    524541 | PA      | $546886.37    | 0.01%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XMA22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2498723 | PA      | $2451460.76   | 0.04%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XMBK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1895187 | PA      | $1950934.38   | 0.03%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XMSS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23995375 | PA      | $20551603.22  | 0.36%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XMXT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2629193 | PA      | $2697645.16   | 0.05%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XMY42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2429792 | PA      | $2073680.43   | 0.04%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XN6J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1186516 | PA      | $1242536.76   | 0.02%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XNAH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2817548 | PA      | $2754746.22   | 0.05%             | 2035-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XNAQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2888809 | PA      | $3038501.98   | 0.05%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XNCS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7529315 | PA      | $6400463.40   | 0.11%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XNCX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2067540 | PA      | $2155617.14   | 0.04%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XNHF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2892533 | PA      | $3033920.74   | 0.05%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XNKU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8748730 | PA      | $7139250.48   | 0.12%             | 2052-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XPD89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10864364 | PA      | $10419726.85  | 0.18%             | 2038-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XPDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3889611 | PA      | $3886614.90   | 0.07%             | 2054-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XPDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    829996 | PA      | $829356.74    | 0.01%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XPSB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2837062 | PA      | $2935294.31   | 0.05%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XPU98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3048415 | PA      | $2955368.70   | 0.05%             | 2038-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XQ2N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3388329 | PA      | $3383359.57   | 0.06%             | 2054-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XQT80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1840318 | PA      | $1918546.60   | 0.03%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XR5E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3848641 | PA      | $3986670.85   | 0.07%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XRPU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17561866 | PA      | $17800465.18  | 0.31%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XRPX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7213316 | PA      | $6670495.16   | 0.12%             | 2053-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XRS97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3164973 | PA      | $3251299.88   | 0.06%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XRVC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3827438 | PA      | $3125985.15   | 0.05%             | 2052-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140XTCE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2799117 | PA      | $2513843.17   | 0.04%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Y66Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6310922 | PA      | $6471089.05   | 0.11%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Y6EA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1995385 | PA      | $2053952.36   | 0.04%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Y6M23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5357128 | PA      | $5445495.81   | 0.09%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Y6ZQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2447577 | PA      | $2558172.29   | 0.04%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 3140Y7E95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2685695 | PA      | $2810701.84   | 0.05%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31410LPE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230230 | PA      | $235456.37    | 0.00%             | 2042-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31410LQ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    705325 | PA      | $641269.01    | 0.01%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31410LUK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275869 | PA      | $271935.89    | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31416BK72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133417 | PA      | $138832.55    | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31416BLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20390 | PA      | $21198.16     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31417AXF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4159 | PA      | $4121.74      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31417BXP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45783 | PA      | $43542.32     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31417CVK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126960 | PA      | $120746.42    | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31417D2G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123007 | PA      | $113222.32    | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31417DHA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98980 | PA      | $94149.82     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31417DRG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95519 | PA      | $90844.11     | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31417DV42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97735 | PA      | $93730.74     | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31417EFC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218481 | PA      | $201102.05    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31417FBL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97877 | PA      | $99921.57     | 0.00%             | 2037-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31417G3Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136510 | PA      | $126456.86    | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31417GHN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5540 | PA      | $5131.48      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31417GHP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95697 | PA      | $88638.79     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31417GHQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115145 | PA      | $106664.99    | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31417GKN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3571 | PA      | $3462.01      | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31417GML7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141219 | PA      | $135063.48    | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31417GNU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31661 | PA      | $30677.38     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31417GNV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4097 | PA      | $3965.54      | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31417LA88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40163 | PA      | $40255.68     | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31417VPC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51015 | PA      | $52103.41     | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418AGR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10857 | PA      | $10700.14     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418AJL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75432 | PA      | $74312.80     | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418AMX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95356 | PA      | $90689.22     | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418AVV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235656 | PA      | $228138.86    | 0.00%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418C2E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128927 | PA      | $130502.05    | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418C3D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    560926 | PA      | $540115.26    | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418C4B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    489123 | PA      | $480452.05    | 0.01%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418C4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    693522 | PA      | $667791.74    | 0.01%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418C4W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    479142 | PA      | $461365.20    | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418C5Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6090616 | PA      | $5864650.02   | 0.10%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418CAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    807008 | PA      | $733717.17    | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418CCM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    776172 | PA      | $749357.43    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418CDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7475557 | PA      | $6796645.00   | 0.12%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418CEC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316169 | PA      | $304942.64    | 0.01%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2577227 | PA      | $2343169.17   | 0.04%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418CEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35759 | PA      | $33624.62     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418CGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5319424 | PA      | $4836326.96   | 0.08%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418CMF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5751846 | PA      | $5392770.14   | 0.09%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418CND2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    344751 | PA      | $323052.16    | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418CNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1613380 | PA      | $1569867.63   | 0.03%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418CR97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    492900 | PA      | $475720.54    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    731475 | PA      | $685810.96    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418CU77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291804 | PA      | $273348.53    | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418CUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2686460 | PA      | $2518750.01   | 0.04%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418CUB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225350 | PA      | $217495.44    | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418CV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1124245 | PA      | $1053142.36   | 0.02%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418CWJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31957 | PA      | $32282.50     | 0.00%             | 2048-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418CWU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    401238 | PA      | $397100.07    | 0.01%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418CXA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210735 | PA      | $209920.54    | 0.00%             | 2033-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418CXC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62364 | PA      | $63179.10     | 0.00%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418CXM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1185388 | PA      | $1110417.73   | 0.02%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418CXT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141291 | PA      | $139470.22    | 0.00%             | 2038-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418CXX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105142 | PA      | $104732.47    | 0.00%             | 2033-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418CYZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87563 | PA      | $87219.91     | 0.00%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418CZ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72947 | PA      | $70550.55     | 0.00%             | 2038-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418CZ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4473166 | PA      | $4307208.66   | 0.07%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418D2L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13132878 | PA      | $10739764.17  | 0.19%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418D2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8780095 | PA      | $7509113.22   | 0.13%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3849585 | PA      | $3291137.23   | 0.06%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418D3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8749458 | PA      | $8255591.77   | 0.14%             | 2036-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418D3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3185677 | PA      | $2722553.30   | 0.05%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  78115812 | PA      | $63799561.69  | 1.10%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418D5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1577317 | PA      | $1416621.69   | 0.02%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418D5C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3175443 | PA      | $2929947.60   | 0.05%             | 2036-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418D6A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10320051 | PA      | $7993364.96   | 0.14%             | 2051-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  61355557 | PA      | $50142613.99  | 0.87%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418D6G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    373713 | PA      | $344763.27    | 0.01%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  28618214 | PA      | $23353401.28  | 0.40%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418D7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22819232 | PA      | $19480639.57  | 0.34%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418DA85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    353654 | PA      | $358322.65    | 0.01%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418DCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    878943 | PA      | $868700.47    | 0.02%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418DEM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    635049 | PA      | $621809.97    | 0.01%             | 2034-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418DHD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2631726 | PA      | $2491015.70   | 0.04%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418DJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    501678 | PA      | $482339.01    | 0.01%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418DP97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4598621 | PA      | $3779950.81   | 0.07%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418DPD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6688974 | PA      | $5749851.08   | 0.10%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418DQ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6248980 | PA      | $5134324.66   | 0.09%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418DQA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3943358 | PA      | $3539028.14   | 0.06%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418DRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1007745 | PA      | $903792.36    | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418DTN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1799666 | PA      | $1706145.30   | 0.03%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5305986 | PA      | $4353986.04   | 0.08%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418DUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3230508 | PA      | $2503733.92   | 0.04%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1693434 | PA      | $1312327.43   | 0.02%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16173169 | PA      | $13248610.19  | 0.23%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3058826 | PA      | $2503731.62   | 0.04%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12274036 | PA      | $10045985.82  | 0.17%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418DYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    581646 | PA      | $497809.07    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418DZV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6896661 | PA      | $5642335.79   | 0.10%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418DZW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224932 | PA      | $192440.76    | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418DZX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14826685 | PA      | $13264186.18  | 0.23%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418E2C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4659508 | PA      | $4647265.47   | 0.08%             | 2054-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418E3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2382905 | PA      | $2410517.15   | 0.04%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418E3F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5033926 | PA      | $5214466.09   | 0.09%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418E6X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8246621 | PA      | $7824630.42   | 0.14%             | 2054-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418EAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1825046 | PA      | $1488660.48   | 0.03%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  60950755 | PA      | $52014408.03  | 0.90%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  35142291 | PA      | $28608250.65  | 0.49%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418EBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13618823 | PA      | $12218758.50  | 0.21%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15524714 | PA      | $13243735.61  | 0.23%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418ECA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9252826 | PA      | $8234738.21   | 0.14%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418ECC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10808187 | PA      | $9689243.85   | 0.17%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418ECD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5212336 | PA      | $4798630.05   | 0.08%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26102920 | PA      | $22292537.90  | 0.39%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418ECT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3052630 | PA      | $2736598.89   | 0.05%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418ECU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20973235 | PA      | $19308578.95  | 0.33%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418ECV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1196379 | PA      | $1126254.77   | 0.02%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418ED64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19514686 | PA      | $17360682.56  | 0.30%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418EDB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9335031 | PA      | $7612082.47   | 0.13%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418EDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4456452 | PA      | $3802621.62   | 0.07%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418EDD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5450729 | PA      | $4845667.59   | 0.08%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418EDE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15906220 | PA      | $14709234.81  | 0.25%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418EDH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    326515 | PA      | $307376.47    | 0.01%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418EE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20030613 | PA      | $17819662.38  | 0.31%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8568406 | PA      | $8393065.59   | 0.15%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418EKK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1290282 | PA      | $1276777.87   | 0.02%             | 2037-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418EKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1355282 | PA      | $1327128.70   | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418EKU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1141015 | PA      | $1141403.55   | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418EM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    472419 | PA      | $485451.42    | 0.01%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418EMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1502689 | PA      | $1524565.44   | 0.03%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418EPC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1466832 | PA      | $1466409.47   | 0.03%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418ER77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8670163 | PA      | $8664569.08   | 0.15%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418ERW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5253249 | PA      | $4854191.85   | 0.08%             | 2053-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10542152 | PA      | $10531079.83  | 0.18%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418ESM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1359892 | PA      | $1342151.34   | 0.02%             | 2038-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418ET59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3744436 | PA      | $3738974.65   | 0.06%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418ET75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3363706 | PA      | $3447734.75   | 0.06%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418EU81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2415122 | PA      | $2412602.50   | 0.04%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418EU99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5467124 | PA      | $5537855.26   | 0.10%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418EYV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    349289 | PA      | $344732.33    | 0.01%             | 2038-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418FBP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5684170 | PA      | $5813728.67   | 0.10%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418FDA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12667207 | PA      | $12607369.64  | 0.22%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418FDB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3976815 | PA      | $4020739.86   | 0.07%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418FE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    996394 | PA      | $991686.99    | 0.02%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418FE60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10360606 | PA      | $10210638.58  | 0.18%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418FEB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7138077 | PA      | $6958997.04   | 0.12%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418FEF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7412824 | PA      | $7305525.69   | 0.13%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418FHV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2663078 | PA      | $2526804.93   | 0.04%             | 2055-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418RGE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133582 | PA      | $136613.63    | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418UCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8622 | PA      | $8817.34      | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418VNM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4279 | PA      | $4376.04      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418VWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4694 | PA      | $4800.07      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31418XK31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15298 | PA      | $15645.39     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31419GAS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1059 | PA      | $1084.07      | 0.00%             | 2040-11-01      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31419HEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22839 | PA      | $23357.14     | 0.00%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                   | CUSIP: 31419LZM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77667 | PA      | $77939.16     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 31427M5E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5109519 | PA      | $5326820.22   | 0.09%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 31427MG21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2009688 | PA      | $2099974.37   | 0.04%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 31427MGP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    707451 | PA      | $724677.03    | 0.01%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 31427MNR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4747191 | PA      | $4940511.44   | 0.09%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 31427MPK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1260967 | PA      | $1313438.35   | 0.02%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 31427MSV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    702580 | PA      | $732655.76    | 0.01%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 31427MTB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5644408 | PA      | $5808520.33   | 0.10%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 31427MVV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3788682 | PA      | $3887186.89   | 0.07%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 31427MYU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3838365 | PA      | $3906067.71   | 0.07%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 31427NG29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4891207 | PA      | $5009100.26   | 0.09%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 31427NG86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2525231 | PA      | $2559745.83   | 0.04%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 31427NHP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2057644 | PA      | $2105469.07   | 0.04%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 31427NHU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3012163 | PA      | $3090947.95   | 0.05%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 31427NM63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2078441 | PA      | $2106849.18   | 0.04%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 31427NW47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3173579 | PA      | $3224402.79   | 0.06%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 31427NYL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7972204 | PA      | $8225438.24   | 0.14%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 31427P4T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5697417 | PA      | $5840155.24   | 0.10%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 31427PDF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4955993 | PA      | $5081773.34   | 0.09%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 31427PFY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4051324 | PA      | $4249389.05   | 0.07%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 31427PG24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5913833 | PA      | $6075360.36   | 0.11%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 31427PXR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4215111 | PA      | $4415047.52   | 0.08%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 31427PXS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2498693 | PA      | $2605507.05   | 0.05%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 31427QKM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4955000 | PA      | $5013601.94   | 0.09%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142GQ5B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1538049 | PA      | $1585692.91   | 0.03%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142GQ5U2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2460436 | PA      | $2571156.57   | 0.04%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142GQAH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1342237 | PA      | $1406088.43   | 0.02%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142GQK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    409550 | PA      | $419622.63    | 0.01%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142GQLF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    710702 | PA      | $738400.09    | 0.01%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142GQSR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    342785 | PA      | $357388.05    | 0.01%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142GQSS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1029514 | PA      | $1073163.37   | 0.02%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142GQSU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3382245 | PA      | $3514061.98   | 0.06%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142GQYD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6418372 | PA      | $6750961.69   | 0.12%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142GQYP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    353285 | PA      | $368335.12    | 0.01%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142GR6Y1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3117102 | PA      | $3199304.08   | 0.06%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142GRBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1127602 | PA      | $1156622.97   | 0.02%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142GRCS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3089159 | PA      | $3132142.61   | 0.05%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142GREX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1600724 | PA      | $1642487.10   | 0.03%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142GRF96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    595734 | PA      | $620551.30    | 0.01%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142GRFH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11704132 | PA      | $11866079.72  | 0.21%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142GRS35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1303248 | PA      | $1373308.05   | 0.02%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142GRTC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    513713 | PA      | $535113.55    | 0.01%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142GS4J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5176121 | PA      | $5347502.19   | 0.09%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142GSMD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14988860 | PA      | $14995210.42  | 0.26%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142GSN79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5823206 | PA      | $5993060.61   | 0.10%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142GSRY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3000039 | PA      | $3115283.18   | 0.05%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142GT4R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7542468 | PA      | $7733891.05   | 0.13%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142GTBQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3455960 | PA      | $3508136.84   | 0.06%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142GTGS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4545366 | PA      | $4638382.34   | 0.08%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142GTHC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3835447 | PA      | $3934811.31   | 0.07%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142GTVD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3843129 | PA      | $4031543.71   | 0.07%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142GUD42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10663355 | PA      | $10821763.85  | 0.19%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142GUPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1804492 | PA      | $1864135.00   | 0.03%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142GUSU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1293899 | PA      | $1334851.17   | 0.02%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                  | CUSIP: 3142J6A60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5781049 | PA      | $5914468.37   | 0.10%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| First National Master Note Trust                   | First National Master Note Trust                                  | CUSIP: 32113CCE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2038899.12   | 0.04%             | 2030-02-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master Owner Trust           | Ford Credit Floorplan Master Owner Trust A                        | CUSIP: 34528QJU9<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $499845.97    | 0.01%             | 2030-09-15      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master Owner Trust           | Ford Credit Floorplan Master Owner Trust A                        | CUSIP: 34529BAA4<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1013615.14   | 0.02%             | 2030-04-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                       | Ford Credit Auto Owner Trust 2024-C                               | CUSIP: 34532UAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3004930.08   | 0.05%             | 2029-07-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                       | Ford Credit Auto Owner Trust 2024-D                               | CUSIP: 34535VAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $507716.29    | 0.01%             | 2030-09-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36178DSS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54546 | PA      | $51482.17     | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae I Pool                                                 | CUSIP: 36178EDG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96901 | PA      | $88944.29     | 0.00%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179M5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58877 | PA      | $55469.41     | 0.00%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179MNH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    683919 | PA      | $645500.62    | 0.01%             | 2042-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179MQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2271211 | PA      | $2143629.06   | 0.04%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179MSX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1410581 | PA      | $1331344.11   | 0.02%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    468754 | PA      | $442422.20    | 0.01%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179MX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    886194 | PA      | $818136.02    | 0.01%             | 2043-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101420 | PA      | $95549.99     | 0.00%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179NNC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    175964 | PA      | $175775.99    | 0.00%             | 2043-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179NQ50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61237 | PA      | $59572.82     | 0.00%             | 2043-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179Q6N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1138547 | PA      | $1042402.95   | 0.02%             | 2045-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179QWE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    175701 | PA      | $165482.95    | 0.00%             | 2044-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2190222 | PA      | $2045233.14   | 0.04%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179R4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    519705 | PA      | $502468.90    | 0.01%             | 2046-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179R7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    832005 | PA      | $758281.54    | 0.01%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1866812 | PA      | $1743272.76   | 0.03%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    803627 | PA      | $750428.56    | 0.01%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179RD55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    188738 | PA      | $166217.45    | 0.00%             | 2045-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179RD63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1613513 | PA      | $1477260.49   | 0.03%             | 2045-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179RF87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    331750 | PA      | $303735.53    | 0.01%             | 2045-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179RF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    585719 | PA      | $546945.48    | 0.01%             | 2045-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179RJD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1670460 | PA      | $1529397.99   | 0.03%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179RJE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2284337 | PA      | $2133118.22   | 0.04%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    242672 | PA      | $234623.80    | 0.00%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179RQ28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62629 | PA      | $58482.98     | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179RQ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    622711 | PA      | $602058.85    | 0.01%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179RQZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    323052 | PA      | $295771.70    | 0.01%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179RS83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139324 | PA      | $127558.63    | 0.00%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179RS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    939344 | PA      | $877161.22    | 0.02%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179RTB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    155825 | PA      | $155580.19    | 0.00%             | 2045-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179RVA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    242228 | PA      | $221580.05    | 0.00%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    181934 | PA      | $169890.71    | 0.00%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34383 | PA      | $33243.07     | 0.00%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179S2P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    411506 | PA      | $385022.35    | 0.01%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179S2Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3281353 | PA      | $3160393.21   | 0.05%             | 2047-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179S5L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3371008 | PA      | $3154054.87   | 0.05%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    849004 | PA      | $773775.01    | 0.01%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179SEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    971842 | PA      | $885728.21    | 0.02%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3173227 | PA      | $2963233.91   | 0.05%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1444570 | PA      | $1316568.06   | 0.02%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179SGM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38535 | PA      | $37192.68     | 0.00%             | 2046-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8312618 | PA      | $7576044.73   | 0.13%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179SJV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    174016 | PA      | $173830.70    | 0.00%             | 2046-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1868190 | PA      | $1702651.34   | 0.03%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179SLT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13963 | PA      | $13477.13     | 0.00%             | 2046-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179SLU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26738 | PA      | $26754.52     | 0.00%             | 2046-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179SNX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128785 | PA      | $128647.95    | 0.00%             | 2046-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    767134 | PA      | $699159.23    | 0.01%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179SQX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    203697 | PA      | $196603.25    | 0.00%             | 2046-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179SQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36057 | PA      | $36018.13     | 0.00%             | 2046-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179SSN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1146628 | PA      | $1009713.41   | 0.02%             | 2046-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2484613 | PA      | $2264454.32   | 0.04%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179SSQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1203212 | PA      | $1123587.33   | 0.02%             | 2046-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179SUT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    657759 | PA      | $579218.70    | 0.01%             | 2047-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179SUV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    250667 | PA      | $234078.90    | 0.00%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179SWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    858272 | PA      | $782221.69    | 0.01%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179SWX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2446890 | PA      | $2284963.33   | 0.04%             | 2047-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179SYR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1146547 | PA      | $1044952.92   | 0.02%             | 2047-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179SYS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2093091 | PA      | $1958383.06   | 0.03%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179T4Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    858966 | PA      | $852193.40    | 0.01%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179T7J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    499861 | PA      | $465707.57    | 0.01%             | 2048-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179T7K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2330924 | PA      | $2241496.51   | 0.04%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1167353 | PA      | $1158149.28   | 0.02%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179TAJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    737574 | PA      | $673080.47    | 0.01%             | 2047-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179TAK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    273042 | PA      | $255469.34    | 0.00%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102306 | PA      | $98534.89     | 0.00%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179TCW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54293 | PA      | $49431.04     | 0.00%             | 2047-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3257550 | PA      | $3047898.93   | 0.05%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179TCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4241058 | PA      | $4084720.03   | 0.07%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179TCZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1790766 | PA      | $1784114.49   | 0.03%             | 2047-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179TE27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96097 | PA      | $92598.09     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179TEZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    847971 | PA      | $793396.42    | 0.01%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5790122 | PA      | $5417478.26   | 0.09%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179TJZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40455 | PA      | $40211.73     | 0.00%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179TLR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1586397 | PA      | $1445473.97   | 0.02%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1743216 | PA      | $1631025.00   | 0.03%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1754606 | PA      | $1689926.43   | 0.03%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    401907 | PA      | $376040.94    | 0.01%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179TQP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    524666 | PA      | $490899.46    | 0.01%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    510145 | PA      | $464460.46    | 0.01%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179TSG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2056668 | PA      | $1924303.56   | 0.03%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1360533 | PA      | $1310380.10   | 0.02%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179TUD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    230293 | PA      | $234419.13    | 0.00%             | 2048-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    345275 | PA      | $332028.69    | 0.01%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    426399 | PA      | $423835.10    | 0.01%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179TV85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    556097 | PA      | $566060.00    | 0.01%             | 2048-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179TV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48309 | PA      | $50122.27     | 0.00%             | 2048-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179TXU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1975810 | PA      | $1848649.87   | 0.03%             | 2048-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1948771 | PA      | $1874005.31   | 0.03%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179TXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    171569 | PA      | $173854.43    | 0.00%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    933770 | PA      | $926408.19    | 0.02%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179U4B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1884437 | PA      | $1704649.02   | 0.03%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179UCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    206327 | PA      | $193047.93    | 0.00%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179UCB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1172256 | PA      | $1127282.01   | 0.02%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179UD90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    953399 | PA      | $916821.13    | 0.02%             | 2048-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179UGC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1077031 | PA      | $1035709.53   | 0.02%             | 2048-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179UGE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    341210 | PA      | $345259.33    | 0.01%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179UH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    652995 | PA      | $660744.13    | 0.01%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179UKW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    251248 | PA      | $235077.58    | 0.00%             | 2049-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179UKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    428866 | PA      | $433955.55    | 0.01%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179UML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1787117 | PA      | $1718553.30   | 0.03%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6241408 | PA      | $6192199.34   | 0.11%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179UQ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2284533 | PA      | $2311643.91   | 0.04%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179USW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82335 | PA      | $83312.16     | 0.00%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179UUL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1002222 | PA      | $994319.87    | 0.02%             | 2049-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179UUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    614358 | PA      | $621648.62    | 0.01%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179UV74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    992702 | PA      | $898321.90    | 0.02%             | 2049-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179UWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    891200 | PA      | $884174.04    | 0.02%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179UXV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    276944 | PA      | $274760.31    | 0.00%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179UZT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4187149 | PA      | $3884570.88   | 0.07%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9029668 | PA      | $7513462.26   | 0.13%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179V4V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10026302 | PA      | $8697196.63   | 0.15%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27732094 | PA      | $23074337.94  | 0.40%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179V7E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25121583 | PA      | $21771929.80  | 0.38%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179VBF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10555357 | PA      | $9537552.08   | 0.16%             | 2049-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179VBG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2562449 | PA      | $2377277.67   | 0.04%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179VDN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11068010 | PA      | $9998635.60   | 0.17%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179VDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31442 | PA      | $29169.79     | 0.00%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179VDQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7495522 | PA      | $7194222.13   | 0.12%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179VFP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6015230 | PA      | $5432885.80   | 0.09%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179VFR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1496192 | PA      | $1436049.35   | 0.02%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179VHT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1087031 | PA      | $1008478.26   | 0.02%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179VME7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1668555 | PA      | $1547979.71   | 0.03%             | 2050-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179VQR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    922643 | PA      | $768146.28    | 0.01%             | 2050-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179VQT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1068965 | PA      | $965555.73    | 0.02%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17257820 | PA      | $14366667.12  | 0.25%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179VSH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1426481 | PA      | $1289691.78   | 0.02%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179VSJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3014494 | PA      | $2802975.67   | 0.05%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179VTV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18957703 | PA      | $15780307.95  | 0.27%             | 2050-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5919655 | PA      | $4926579.29   | 0.09%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14939670 | PA      | $12432249.41  | 0.21%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179W2T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17100463 | PA      | $14221870.20  | 0.25%             | 2052-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11028629 | PA      | $9553085.04   | 0.17%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3194430 | PA      | $2767040.58   | 0.05%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179W5C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9843369 | PA      | $8857419.87   | 0.15%             | 2052-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179W5D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3281096 | PA      | $3040020.73   | 0.05%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179W7H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4097517 | PA      | $3407764.40   | 0.06%             | 2052-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7894723 | PA      | $7103957.72   | 0.12%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179WFG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  44332176 | PA      | $38414859.83  | 0.66%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26905490 | PA      | $23311736.19  | 0.40%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5844621 | PA      | $4862291.21   | 0.08%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  31256798 | PA      | $27080392.60  | 0.47%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1767944 | PA      | $1592691.31   | 0.03%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1545821 | PA      | $1339202.92   | 0.02%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7272076 | PA      | $6550649.43   | 0.11%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179WP85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    676600 | PA      | $535674.80    | 0.01%             | 2051-10-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179WP93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18676594 | PA      | $15536802.34  | 0.27%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8212303 | PA      | $7396966.96   | 0.13%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3021165 | PA      | $2617069.17   | 0.05%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6332702 | PA      | $5703487.89   | 0.10%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29001407 | PA      | $24124724.19  | 0.42%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10971017 | PA      | $9503588.05   | 0.16%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5289857 | PA      | $4763851.22   | 0.08%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  37629810 | PA      | $31301488.57  | 0.54%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179WVU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    843314 | PA      | $730477.78    | 0.01%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179WVW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5326204 | PA      | $4937615.12   | 0.09%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7996083 | PA      | $6650068.59   | 0.11%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179WXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12868703 | PA      | $11587093.95  | 0.20%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179WXL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2869478 | PA      | $2660126.67   | 0.05%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23736299 | PA      | $19740668.13  | 0.34%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21822215 | PA      | $18902574.15  | 0.33%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179WZA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13787552 | PA      | $12406538.99  | 0.21%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179X2G0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4038270 | PA      | $3746450.35   | 0.06%             | 2053-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179X2J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6209587 | PA      | $6091600.86   | 0.11%             | 2053-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179X2K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16943540 | PA      | $16987316.22  | 0.29%             | 2053-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179X2N5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1261975 | PA      | $1307232.18   | 0.02%             | 2053-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179X5D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2457150 | PA      | $2284738.33   | 0.04%             | 2053-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179X5F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8943770 | PA      | $8771757.04   | 0.15%             | 2053-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179X5H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5687420 | PA      | $5764063.61   | 0.10%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179XBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1022169 | PA      | $885411.22    | 0.02%             | 2052-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179XBR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3732249 | PA      | $3361306.13   | 0.06%             | 2052-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179XBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7543358 | PA      | $6987951.84   | 0.12%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179XDA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5381165 | PA      | $4661207.26   | 0.08%             | 2052-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179XDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1427152 | PA      | $1322183.36   | 0.02%             | 2052-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179XDE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5424337 | PA      | $5331666.58   | 0.09%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179XFD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2197620 | PA      | $1903595.41   | 0.03%             | 2052-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179XFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2769443 | PA      | $2492045.09   | 0.04%             | 2052-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16614668 | PA      | $15860554.42  | 0.27%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4060684 | PA      | $3990683.35   | 0.07%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179XHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5512844 | PA      | $5105665.15   | 0.09%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11871496 | PA      | $11332667.37  | 0.20%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6463945 | PA      | $6351518.95   | 0.11%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179XLH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1438245 | PA      | $1442335.62   | 0.02%             | 2052-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179XNG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7263899 | PA      | $7371550.20   | 0.13%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179XQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8341678 | PA      | $7726848.83   | 0.13%             | 2053-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179XQW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2152665 | PA      | $2160015.17   | 0.04%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179XQX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8842250 | PA      | $8972151.24   | 0.16%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179XTE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1243117 | PA      | $1276889.07   | 0.02%             | 2053-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179XVQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1769494 | PA      | $1689179.27   | 0.03%             | 2053-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179XVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1466128 | PA      | $1518707.05   | 0.03%             | 2053-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179XX43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11112728 | PA      | $10904159.16  | 0.19%             | 2053-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179XX50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7651143 | PA      | $7672409.92   | 0.13%             | 2053-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179XX68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    652215 | PA      | $661165.26    | 0.01%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179Y2M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8410307 | PA      | $8588668.14   | 0.15%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179Y2N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6925874 | PA      | $7142973.00   | 0.12%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179Y5L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10796335 | PA      | $10903740.12  | 0.19%             | 2054-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179Y5M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19987134 | PA      | $20394753.02  | 0.35%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179YAN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5567497 | PA      | $5176841.92   | 0.09%             | 2053-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179YAR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13949204 | PA      | $13980479.82  | 0.24%             | 2053-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179YAS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5671587 | PA      | $5747317.22   | 0.10%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179YFL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26390728 | PA      | $26736606.41  | 0.46%             | 2053-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179YFM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3708160 | PA      | $3797728.26   | 0.07%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179YHP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1329221 | PA      | $1270687.85   | 0.02%             | 2053-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179YHT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5711011 | PA      | $5848956.00   | 0.10%             | 2053-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179YKR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4633621 | PA      | $4638812.18   | 0.08%             | 2053-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179YPG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13083636 | PA      | $13248658.16  | 0.23%             | 2054-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179YRF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8740121 | PA      | $8557821.69   | 0.15%             | 2054-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179YRG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6865416 | PA      | $6870572.28   | 0.12%             | 2054-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179YU44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3512846 | PA      | $3433532.71   | 0.06%             | 2054-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179YU69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2763143 | PA      | $2796400.02   | 0.05%             | 2054-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179YYX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5903107 | PA      | $6023494.94   | 0.10%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36179YYY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2140304 | PA      | $2207554.94   | 0.04%             | 2054-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3617A1GG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    155108 | PA      | $144823.23    | 0.00%             | 2045-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3617A1GL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    297758 | PA      | $278014.07    | 0.00%             | 2045-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3617B5CZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    729077 | PA      | $682073.77    | 0.01%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae I Pool                                                 | CUSIP: 3617BKN98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1161602 | PA      | $1045509.35   | 0.02%             | 2049-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3617BKPT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    190397 | PA      | $182900.93    | 0.00%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3617J3E56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73347 | PA      | $72768.30     | 0.00%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3617NWHH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4199463 | PA      | $3620392.06   | 0.06%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3617NWHS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5886843 | PA      | $5075096.12   | 0.09%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3617NX3P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    533210 | PA      | $459684.51    | 0.01%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3617QG2H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    557019 | PA      | $480167.75    | 0.01%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3617QG3N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2718705 | PA      | $2343607.99   | 0.04%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36180AAE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3112943 | PA      | $3106164.54   | 0.05%             | 2054-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36180AAG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7907773 | PA      | $8069044.53   | 0.14%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36180AB85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12188561 | PA      | $11900118.15  | 0.21%             | 2054-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36180AB93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8028696 | PA      | $8009699.17   | 0.14%             | 2054-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36180ACA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22299931 | PA      | $22511370.51  | 0.39%             | 2054-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae I Pool                                                 | CUSIP: 36180DQF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3283 | PA      | $3093.91      | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae I Pool                                                 | CUSIP: 36180DVC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52801 | PA      | $49761.05     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae I Pool                                                 | CUSIP: 36180MXS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91554 | PA      | $86282.64     | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36181GDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    133901 | PA      | $126151.71    | 0.00%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36183FLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    126393 | PA      | $119029.20    | 0.00%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36184Q2N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    232449 | PA      | $215009.15    | 0.00%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3618N5A25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7182556 | PA      | $7017822.56   | 0.12%             | 2054-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3618N5A33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15349577 | PA      | $15314601.99  | 0.26%             | 2054-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3618N5A41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8509086 | PA      | $8588946.91   | 0.15%             | 2054-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3618N5C56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27182663 | PA      | $27112297.83  | 0.47%             | 2054-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3618N5C64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3696628 | PA      | $3730966.35   | 0.06%             | 2054-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3618N5GP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5224320 | PA      | $5270797.20   | 0.09%             | 2055-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3618N5KX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9615830 | PA      | $9816612.09   | 0.17%             | 2055-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3618N5PJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1792394 | PA      | $1808339.33   | 0.03%             | 2055-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3618N5PL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10994495 | PA      | $11365256.48  | 0.20%             | 2055-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3618N5RG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3732895 | PA      | $3810838.72   | 0.07%             | 2055-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3618N5RH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7047550 | PA      | $7287330.97   | 0.13%             | 2055-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3618N5TQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7729419 | PA      | $7994725.30   | 0.14%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3618N5VS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6616624 | PA      | $6756953.90   | 0.12%             | 2055-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3618N5VT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6121312 | PA      | $6337856.41   | 0.11%             | 2055-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36197EFP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    556380 | PA      | $520510.87    | 0.01%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae I Pool                                                 | CUSIP: 36200AJD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12348 | PA      | $12737.25     | 0.00%             | 2032-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36202EW54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33418 | PA      | $35363.47     | 0.00%             | 2038-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36202FHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30817 | PA      | $31601.37     | 0.00%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36202FJQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29058 | PA      | $29134.59     | 0.00%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33804 | PA      | $33897.07     | 0.00%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae I Pool                                                 | CUSIP: 3620ADSK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43800 | PA      | $44857.32     | 0.00%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae I Pool                                                 | CUSIP: 3620AQMP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    231906 | PA      | $232436.05    | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae I Pool                                                 | CUSIP: 3620ASAG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59341 | PA      | $57741.51     | 0.00%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3622A23R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    527485 | PA      | $484741.28    | 0.01%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3622A24E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    987352 | PA      | $904923.32    | 0.02%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae I Pool                                                 | CUSIP: 3622A25U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47749 | PA      | $43521.56     | 0.00%             | 2046-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3622A26G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2694714 | PA      | $2516387.04   | 0.04%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3622A26Q0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    539383 | PA      | $502528.87    | 0.01%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3622A26R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    729984 | PA      | $680106.97    | 0.01%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3622A26S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1624769 | PA      | $1511951.76   | 0.03%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae I Pool                                                 | CUSIP: 3622A27M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    264940 | PA      | $241344.55    | 0.00%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae I Pool                                                 | CUSIP: 3622A2FW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    889021 | PA      | $827201.98    | 0.01%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae I Pool                                                 | CUSIP: 3622A2NA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    496668 | PA      | $508653.67    | 0.01%             | 2042-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3622A2SG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1151478 | PA      | $1054241.55   | 0.02%             | 2046-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3622A2TM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    673791 | PA      | $651444.63    | 0.01%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae I Pool                                                 | CUSIP: 3622A2XW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    959548 | PA      | $863257.35    | 0.01%             | 2046-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae I Pool                                                 | CUSIP: 3622A2ZU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71428 | PA      | $68915.75     | 0.00%             | 2046-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae I Pool                                                 | CUSIP: 3622AABE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    510891 | PA      | $497253.91    | 0.01%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3622AABZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    315245 | PA      | $312759.07    | 0.01%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae I Pool                                                 | CUSIP: 3622AADS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107664 | PA      | $98131.64     | 0.00%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae I Pool                                                 | CUSIP: 3622AADU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98251 | PA      | $94497.29     | 0.00%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae I Pool                                                 | CUSIP: 3622AAEU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    240858 | PA      | $231366.69    | 0.00%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae I Pool                                                 | CUSIP: 3622AAQ23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    331710 | PA      | $319037.53    | 0.01%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3622ACNP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4456203 | PA      | $4543236.97   | 0.08%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3622ACP46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4902852 | PA      | $4376839.40   | 0.08%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 3622ACSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3333472 | PA      | $2982379.11   | 0.05%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae I Pool                                                 | CUSIP: 36241KC22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8101 | PA      | $8527.46      | 0.00%             | 2035-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae II Pool                                                | CUSIP: 36241LLT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63021 | PA      | $65936.63     | 0.00%             | 2040-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                       | GS Mortgage Securities Trust 2018-GS10                            | CUSIP: 36250SAE9<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |   2489000 | PA      | $2451360.10   | 0.04%             | 2051-07-10      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                       | GS Mortgage Securities Trust 2019-GC38                            | CUSIP: 36252SAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $978966.38    | 0.02%             | 2052-02-10      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                       | GS Mortgage Securities Trust 2021-GSA3                            | CUSIP: 36263UAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $791460.97    | 0.01%             | 2054-12-15      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust | GM Financial Consumer Automobile Receivables Trust 2024-1         | CUSIP: 36268GAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1015898.97   | 0.02%             | 2029-08-16      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasing Trust              | GM Financial Automobile Leasing Trust 2025-1                      | CUSIP: 36271VAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $604307.90    | 0.01%             | 2028-02-21      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae I Pool                                                 | CUSIP: 36290TVJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29960 | PA      | $32360.97     | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust | GM Financial Consumer Automobile Receivables Trust 2025-1         | CUSIP: 362955AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $504343.07    | 0.01%             | 2029-12-17      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae I Pool                                                 | CUSIP: 36296Q2T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38252 | PA      | $38361.04     | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae I Pool                                                 | CUSIP: 36297FSM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67026 | PA      | $67192.95     | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust | GM Financial Consumer Automobile Receivables Trust 2024-2         | CUSIP: 379931AF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $865265.77    | 0.01%             | 2029-10-16      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust | Gm Financial Consumer Automobile Receivables Trust 2025-3         | CUSIP: 379957AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1004570.71   | 0.02%             | 2030-08-16      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust | Gm Financial Consumer Automobile Receivables Trust 2025-3         | CUSIP: 379957AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $504261.25    | 0.01%             | 2031-09-16      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust | GM Financial Consumer Automobile Receivables Trust 2024-4         | CUSIP: 38014AAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1005477.38   | 0.02%             | 2029-08-16      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                     | Hyundai Auto Receivables Trust 2022-B                             | CUSIP: 44918MAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       871 | PA      | $871.21       | 0.00%             | 2026-11-16      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                     | Hyundai Auto Receivables Trust 2024-B                             | CUSIP: 44934QAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    560000 | PA      | $568973.35    | 0.01%             | 2030-09-16      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                     | Hyundai Auto Receivables Trust 2025-C                             | CUSIP: 44935JAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3250000 | PA      | $3244320.79   | 0.06%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust      | JPMCC Commercial Mortgage Securities Trust 2017-JP7               | CUSIP: 465968AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2903000 | PA      | $2858131.03   | 0.05%             | 2050-09-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust         | JPMDB Commercial Mortgage Securities Trust 2017-C7                | CUSIP: 46648KAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4979000 | PA      | $4891240.74   | 0.08%             | 2050-10-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| John Deere Owner Trust                             | John Deere Owner Trust 2024                                       | CUSIP: 47800RAD5<br>LEI: 549300MS3JZB0OWONQ39 | Long             | ABS-O            | CORP              | US        |    650000 | PA      | $655176.85    | 0.01%             | 2028-11-15      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| John Deere Owner Trust                             | John Deere Owner Trust 2024                                       | CUSIP: 47800RAE3<br>LEI: 549300MS3JZB0OWONQ39 | Long             | ABS-O            | CORP              | US        |    610000 | PA      | $620616.10    | 0.01%             | 2031-02-18      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust      | JPMCC Commercial Mortgage Securities Trust 2019-COR4              | CUSIP: 48128YAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $965910.06    | 0.02%             | 2052-03-10      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust                     | MSWF Commercial Mortgage Trust 2023-2                             | CUSIP: 55361AAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    501618 | PA      | $543987.95    | 0.01%             | 2056-12-15      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO RECEIVABLES TRUST               | Mercedes-Benz Auto Receivables Trust 2025-1                       | CUSIP: 58773DAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3030894.96   | 0.05%             | 2029-12-17      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                     | Morgan Stanley Capital I Trust 2019-L3                            | CUSIP: 61691UBH1<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |    628000 | PA      | $591483.07    | 0.01%             | 2052-11-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                     | Morgan Stanley Capital I Trust 2019-L3                            | CUSIP: 61691UBJ7<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $229837.48    | 0.00%             | 2052-11-15      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                     | Morgan Stanley Capital I Trust 2020-HR8                           | CUSIP: 61692BCB4<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |     62500 | PA      | $52814.07     | 0.00%             | 2053-07-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                     | Morgan Stanley Capital I Trust 2021-L6                            | CUSIP: 61692CBM9<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |   1634000 | PA      | $1434886.25   | 0.02%             | 2054-06-15      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                     | Morgan Stanley Capital I Trust 2021-L6                            | CUSIP: 61692CBX5<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $207475.85    | 0.00%             | 2054-06-15      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                     | Morgan Stanley Capital I Trust 2018-H3                            | CUSIP: 61767YAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1868290 | PA      | $1847244.54   | 0.03%             | 2051-07-15      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                          | Morgan Stanley Bank of America Merrill Lynch Trust 2025-5C2       | CUSIP: 61779RBK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $153866.08    | 0.00%             | 2058-11-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Nissan Auto Receivables Owner Trust                | Nissan Auto Receivables 2024-B Owner Trust                        | CUSIP: 65479WAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $503909.69    | 0.01%             | 2031-09-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Nissan Auto Receivables Owner Trust                | Nissan Auto Receivables 2025-A Owner Trust                        | CUSIP: 65481GAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1010344.23   | 0.02%             | 2029-12-17      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Nissan Auto Receivables Owner Trust                | Nissan Auto Receivables 2025-A Owner Trust                        | CUSIP: 65481GAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $508188.89    | 0.01%             | 2030-11-15      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| NYSEG STORM FUNDING LLC                            | NYSEG Storm Funding LLC                                           | CUSIP: 67122QAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $513028.55    | 0.01%             | 2032-05-01      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY                             | PG&E Wildfire Recovery Funding LLC                                | CUSIP: 693342AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $963765.46    | 0.02%             | 2036-06-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY                             | PG&E Wildfire Recovery Funding LLC                                | CUSIP: 693342AC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1060000 | PA      | $1011692.52   | 0.02%             | 2039-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY                             | PG&E Wildfire Recovery Funding LLC                                | CUSIP: 693342AD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $451298.10    | 0.01%             | 2047-12-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY                             | PG&E Wildfire Recovery Funding LLC                                | CUSIP: 693342AE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $452481.18    | 0.01%             | 2051-12-01      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY                             | PG&E Wildfire Recovery Funding LLC                                | CUSIP: 693342AG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $497576.46    | 0.01%             | 2037-06-01      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY                             | PG&E Wildfire Recovery Funding LLC                                | CUSIP: 693342AH0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $496921.63    | 0.01%             | 2041-06-01      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| PG&E ENERGY RECOVERY FND                           | PG&E Energy Recovery Funding LLC                                  | CUSIP: 71710TAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     79000 | PA      | $58025.10     | 0.00%             | 2046-07-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| PG&E RECOVERY FND LLC                              | PG&E Recovery Funding LLC                                         | CUSIP: 71710TAH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1235000 | PA      | $1266878.25   | 0.02%             | 2042-06-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| PG&E RECOVERY FND LLC                              | PG&E Recovery Funding LLC                                         | CUSIP: 71710TAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $913871.65    | 0.02%             | 2049-06-01      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| SCE RECOVERY FUNDING LLC                           | SCE Recovery Funding LLC                                          | CUSIP: 78433LAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    280000 | PA      | $273158.58    | 0.00%             | 2047-12-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust             | Santander Drive Auto Receivables Trust 2025-2                     | CUSIP: 80287NAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $502601.16    | 0.01%             | 2029-08-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust             | Santander Drive Auto Receivables Trust 2024-4                     | CUSIP: 802919AF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $505892.58    | 0.01%             | 2031-12-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Synchrony Card Issuance Trust                      | Synchrony Card Funding LLC                                        | CUSIP: 87166PAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1740000 | PA      | $1763120.69   | 0.03%             | 2030-03-15      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Synchrony Card Issuance Trust                      | Synchrony Card Funding LLC                                        | CUSIP: 87166PAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2025395.88   | 0.04%             | 2031-05-15      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                | Toyota Auto Receivables 2025-B Owner Trust                        | CUSIP: 89231HAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $201473.53    | 0.00%             | 2029-11-15      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                      | UBS Commercial Mortgage Trust 2018-C14                            | CUSIP: 90278KBD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $494507.12    | 0.01%             | 2051-12-15      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                      | UBS Commercial Mortgage Trust 2018-C14                            | CUSIP: 90278KBE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $241665.54    | 0.00%             | 2051-12-15      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                      | UBS Commercial Mortgage Trust 2018-C15                            | CUSIP: 90278LBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $246508.31    | 0.00%             | 2051-12-15      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Verizon Master Trust                               | Verizon Master Trust                                              | CUSIP: 92348KCQ4<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $7135495.92   | 0.12%             | 2030-04-22      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| Verizon Master Trust                               | Verizon Master Trust                                              | CUSIP: 92348KEN9<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $799230.57    | 0.01%             | 2031-08-20      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| VIRGINIA POWER FUEL SEC                            | Virginia Power Fuel Securitization LLC                            | CUSIP: 92808VAB8<br>LEI: 254900BELJ95ONW6U791 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2051946.40   | 0.04%             | 2031-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Card issuance Trust                    | WF Card Issuance Trust                                            | CUSIP: 92970QAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $705590.08    | 0.01%             | 2029-10-15      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| BLACKROCK CASH FUNDS                               | BlackRock Cash Funds: Treasury, SL Agency Shares                  | CUSIP: 066922477<br>LEI: N/A                  | Long             | STIV             | RF                | US        | 609611456 | NS      | $609916261.62 | 10.55%            |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust              | Wells Fargo Commercial Mortgage Trust 2017-C41                    | CUSIP: 95001ABJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    155000 | PA      | $142014.45    | 0.00%             | 2050-11-15      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust              | Wells Fargo Commercial Mortgage Trust 2018-C44                    | CUSIP: 95001JAV9<br>LEI: 549300AGZIS1CJS4RM30 | Long             | ABS-MBS          | CORP              | US        |    496214 | PA      | $495055.37    | 0.01%             | 2051-05-15      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust              | Wells Fargo Commercial Mortgage Trust 2018-C43                    | CUSIP: 95001LAS1<br>LEI: 549300RVQJTKIK3XGD11 | Long             | ABS-MBS          | CORP              | US        |    468483 | PA      | $466553.94    | 0.01%             | 2051-03-15      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust              | Wells Fargo Commercial Mortgage Trust 2018-C43                    | CUSIP: 95001LAX0<br>LEI: 549300RVQJTKIK3XGD11 | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $735974.36    | 0.01%             | 2051-03-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust              | Wells Fargo Commercial Mortgage Trust 2018-C46                    | CUSIP: 95001QAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $493464.50    | 0.01%             | 2051-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust              | Wells Fargo Commercial Mortgage Trust 2019-C49                    | CUSIP: 95001WBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3195000 | PA      | $3161940.28   | 0.05%             | 2052-03-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust              | Wells Fargo Commercial Mortgage Trust 2018-C47                    | CUSIP: 95002DBG3<br>LEI: 549300VHRKFNCWVN9Y77 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1003099.21   | 0.02%             | 2061-09-15      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust              | Wells Fargo Commercial Mortgage Trust 2018-C47                    | CUSIP: 95002DBR9<br>LEI: 549300VHRKFNCWVN9Y77 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1976050.72   | 0.03%             | 2061-09-15      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust              | Wells Fargo Commercial Mortgage Trust 2020-C56                    | CUSIP: 95002RAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2580000 | PA      | $2383914.07   | 0.04%             | 2053-06-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust              | Wells Fargo Commercial Mortgage Trust 2020-C58                    | CUSIP: 95002UAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2349000 | PA      | $2100602.93   | 0.04%             | 2053-07-15      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust              | Wells Fargo Commercial Mortgage Trust 2021-C59                    | CUSIP: 95003CAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    830000 | PA      | $795763.12    | 0.01%             | 2054-04-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust              | Wells Fargo Commercial Mortgage Trust 2021-C61                    | CUSIP: 95003QCC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $425748.15    | 0.01%             | 2054-11-15      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust              | Wells Fargo Commercial Mortgage Trust 2025-C64                    | CUSIP: 95004BAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $530984.89    | 0.01%             | 2058-02-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust              | Wells Fargo Commercial Mortgage Trust 2025-5C3                    | CUSIP: 95004JAH7<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $509668.51    | 0.01%             | 2058-01-15      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust              | Wells Fargo Commercial Mortgage Trust 2025-5C5                    | CUSIP: 95004MAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $209142.29    | 0.00%             | 2058-07-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust              | Wells Fargo Commercial Mortgage Trust 2025-5C5                    | CUSIP: 95004MAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $520135.42    | 0.01%             | 2058-07-15      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust              | Wells Fargo Commercial Mortgage Trust 2025-5C6                    | CUSIP: 95004TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1029434.53   | 0.02%             | 2058-10-15      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                  | World Omni Auto Receivables Trust 2022-A                          | CUSIP: 98164GAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $992981.44    | 0.02%             | 2028-03-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| World Omni Automobile Lease Securitization Trust   | World Omni Automobile Lease Securitization Trust 2025-A           | CUSIP: 98164PAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $402266.21    | 0.01%             | 2028-04-17      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                  | World Omni Auto Receivables Trust 2025-B                          | CUSIP: 98164TAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $504280.26    | 0.01%             | 2030-09-16      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                  | World Omni Auto Receivables Trust 2025-A                          | CUSIP: 98164YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $504297.97    | 0.01%             | 2030-03-15      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                  | World Omni Auto Receivables Trust 2025-A                          | CUSIP: 98164YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $511665.47    | 0.01%             | 2030-11-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-26

**Name of Applicant:** BlackRock Funds

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer