# EDGAR Filing Document

**Accession Number:** 0001491978
**File Stem:** 0001752724-25-152751
**Filing Date:** 2025-6
**Character Count:** 152528
**Document Hash:** 39e2bcb9c62a51cb35529c88e129c7f1
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-152751.hdr.sgml**: 20250624

**ACCESSION NUMBER**: 0001752724-25-152751

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250624

**DATE AS OF CHANGE**: 20250624

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FLEXSHARES TRUST
- **CENTRAL INDEX KEY:** 0001491978

**ORGANIZATION NAME:**
- **EIN:** 272560399
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22555
- **FILM NUMBER:** 251067542

**BUSINESS ADDRESS:**
- **STREET 1:** 50 SOUTH LASALLE STREET
- **CITY:** CHICAGO
- **STATE:** IL
- **ZIP:** 60603
- **BUSINESS PHONE:** (855) 353-9383

**MAIL ADDRESS:**
- **STREET 1:** 50 SOUTH LASALLE STREET
- **CITY:** CHICAGO
- **STATE:** IL
- **ZIP:** 60603

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FlexShares Trust
- **DATE OF NAME CHANGE:** 20110414

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** NT ETF Trust
- **DATE OF NAME CHANGE:** 20100513

## Series and Classes Contracts Data

### FlexShares Disciplined Duration MBS Index Fund (Series ID: S000046193)

| Class ID   | Class Name                                     | Ticker Symbol   |
|:---|:---|:---|
| C000144481 | FlexShares Disciplined Duration MBS Index Fund | MBSD            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

- **b. Investment Company Act file number:** 811-22555

- **c. CIK number of Registrant:** 0001491978

- **d. LEI of Registrant:** 5493007FU2RQX77I4604

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

  - **Street Address 1:** 50 South LaSalle Street

  - **City:** Chicago

  - **State:** IL

  - **Foreign country:** US

  - **Zip / Postal Code:** 60603

  - **Telephone number:** 855-353-9383

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

- **a. Name of Series:** FlexShares Disciplined Duration MBS Index Fund

- **b. EDGAR series identifier (if any):** S000046193

- **c. LEI of Series:** 549300PAH536BT2V8S59

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

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

- **b. Date as of which information is reported:** 2025-04-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $83670219.33

**Total Liabilities:** $28508.55

**Net Assets:** $83641710.78

**Cash Not Reported:** $372563.44

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 0.00000000 | **1-Year:** 421.00000000 | **5-Year:** 1951.00000000 | **10-Year:** 14316.00000000 | **30-Year:** 16376.00000000

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000144481 | 1.83%                | 0.12%                | 0.46%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-37678.82               | $1347856.59                                |
| Month 2  | $0.00                    | $-198486.40                                |
| Month 3  | $-261541.16              | $363706.81                                 |

**Designated Index Information**

- **Index Name:** ICE BofA Constrained Duration US Mortgage Backed Securities Index

- **Index Identifier:** MLCDUSMBS

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FHLMC      | FHLMC   | CUSIP: 3128M9LU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29636 | PA      | $27077.15     | 0.03%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128M4NK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38143 | PA      | $39962.26     | 0.05%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140J54S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55721 | PA      | $54435.94     | 0.07%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179TXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105374 | PA      | $104977.51    | 0.13%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179VVY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1048455 | PA      | $895031.93    | 1.07%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179Y2N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    487305 | PA      | $498802.96    | 0.60%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31416XJR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9157 | PA      | $8575.74      | 0.01%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417BHU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21409 | PA      | $19531.37     | 0.02%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132A5ER2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    268739 | PA      | $262430.08    | 0.31%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 312941NS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32542 | PA      | $32872.16     | 0.04%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 31329MEB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.00         | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418DKV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    517523 | PA      | $487636.33    | 0.58%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3131X7HZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24064 | PA      | $23774.83     | 0.03%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WBEH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13470 | PA      | $13490.23     | 0.02%             | 2044-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128M7QY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14610 | PA      | $14791.63     | 0.02%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138ERJB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    428449 | PA      | $424289.89    | 0.51%             | 2031-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132ADUA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29340 | PA      | $27477.51     | 0.03%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132DWMC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    504667 | PA      | $519723.82    | 0.62%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WGAX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    961415 | PA      | $940988.21    | 1.13%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140X6KQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390879 | PA      | $381627.48    | 0.46%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138W4AY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8067 | PA      | $7077.90      | 0.01%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 31335ANN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10044 | PA      | $9552.84      | 0.01%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3132WHXB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19183 | PA      | $17192.35     | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138MQTK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195112 | PA      | $172086.41    | 0.21%             | 2042-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132DM6K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    198395 | PA      | $190923.83    | 0.23%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138ELWE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75734 | PA      | $73145.23     | 0.09%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WDBZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6924 | PA      | $6771.32      | 0.01%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132A5DA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10620 | PA      | $10370.37     | 0.01%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3133KYSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95009 | PA      | $88352.61     | 0.11%             | 2039-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138AWB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14188 | PA      | $13718.26     | 0.02%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MMQT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    266990 | PA      | $261553.48    | 0.31%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EHKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42656 | PA      | $41197.89     | 0.05%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3132L7F95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16264 | PA      | $15370.97     | 0.02%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138ERDM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16792 | PA      | $16480.62     | 0.02%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179YHP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $0.00         | 0.00%             | 2053-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132A5GT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    359035 | PA      | $350235.23    | 0.42%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417AXK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21167 | PA      | $20913.32     | 0.03%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3131XCJX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10495 | PA      | $9974.38      | 0.01%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138ET4U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.00         | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1191093 | PA      | $971873.48    | 1.16%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417BSN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40741 | PA      | $37172.33     | 0.04%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EPKL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    416057 | PA      | $412081.35    | 0.49%             | 2030-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3132GLKV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49663 | PA      | $46570.25     | 0.06%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417EZB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26170 | PA      | $23780.30     | 0.03%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179RVD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    204959 | PA      | $200346.51    | 0.24%             | 2045-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417NBY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33293 | PA      | $33592.75     | 0.04%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140J8MA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60410 | PA      | $59393.75     | 0.07%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36202EHF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48668 | PA      | $49866.60     | 0.06%             | 2036-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36241L4P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37463 | PA      | $37721.21     | 0.05%             | 2041-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132A5EF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32263 | PA      | $30646.50     | 0.04%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140J7YE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26893 | PA      | $26461.23     | 0.03%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 31329LBH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37213 | PA      | $36737.39     | 0.04%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132AAXZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35995 | PA      | $36315.25     | 0.04%             | 2042-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418ADR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2032-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128M9LK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16846 | PA      | $15378.72     | 0.02%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132A9Q67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    592165 | PA      | $573016.26    | 0.69%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138W0F53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6845 | PA      | $6037.56      | 0.01%             | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179QR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97455 | PA      | $95301.71     | 0.11%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 31335AZ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42951 | PA      | $39023.44     | 0.05%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128M6KB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34341 | PA      | $34746.00     | 0.04%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1159126 | PA      | $945974.71    | 1.13%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128M8N26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24282 | PA      | $25440.12     | 0.03%             | 2039-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417AQE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14477 | PA      | $13981.64     | 0.02%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417EMZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111938 | PA      | $101854.99    | 0.12%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140J5RK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    361818 | PA      | $351426.03    | 0.42%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EPLC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127016 | PA      | $125841.99    | 0.15%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140EVZB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31495 | PA      | $31891.40     | 0.04%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132A3NC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34364 | PA      | $32183.00     | 0.04%             | 2040-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WEAR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22235 | PA      | $21180.14     | 0.03%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36241LSS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14285 | PA      | $14566.83     | 0.02%             | 2040-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179SCB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    284953 | PA      | $287040.61    | 0.34%             | 2046-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3131XLT98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21252 | PA      | $19902.69     | 0.02%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128M7QZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27199 | PA      | $27524.42     | 0.03%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3131WRNG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25607 | PA      | $25362.88     | 0.03%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418EUS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    715843 | PA      | $710925.16    | 0.85%             | 2038-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417FZ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27822 | PA      | $27249.36     | 0.03%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418EYE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    301178 | PA      | $318808.22    | 0.38%             | 2053-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140J74Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    357874 | PA      | $351931.59    | 0.42%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140XHSK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1072298 | PA      | $897796.03    | 1.07%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31368HMT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31714 | PA      | $33187.52     | 0.04%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3131WM6M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56734 | PA      | $57238.22     | 0.07%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417ARL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31622 | PA      | $31251.55     | 0.04%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138W92S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17072 | PA      | $16448.93     | 0.02%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138ARGQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18249 | PA      | $17625.49     | 0.02%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WJEZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38898 | PA      | $37026.65     | 0.04%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132A22K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36861 | PA      | $37324.20     | 0.04%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EKAT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37656 | PA      | $37145.26     | 0.04%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128K8GL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12420 | PA      | $12584.14     | 0.02%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418CDX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276936 | PA      | $257321.35    | 0.31%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3131X8T63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156249 | PA      | $153034.78    | 0.18%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132DWJ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    417302 | PA      | $435970.16    | 0.52%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132DWBT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    769339 | PA      | $614513.75    | 0.73%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36295DNC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    808480 | PA      | $794796.13    | 0.95%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EPTE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12512 | PA      | $12623.55     | 0.02%             | 2044-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179XTH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    167097 | PA      | $172767.46    | 0.21%             | 2053-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MJW71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11469 | PA      | $10915.29     | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138ETWD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70049 | PA      | $68491.60     | 0.08%             | 2046-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418DWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    649476 | PA      | $489529.08    | 0.59%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31410LC42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73360 | PA      | $72659.44     | 0.09%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138ETDZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6309 | PA      | $6034.91      | 0.01%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138XDTR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25480 | PA      | $24550.75     | 0.03%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WQCF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120482 | PA      | $117076.30    | 0.14%             | 2028-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MMWV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    514084 | PA      | $501445.82    | 0.60%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MAD63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61311 | PA      | $58729.74     | 0.07%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WJU22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21960 | PA      | $21421.75     | 0.03%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31402QVH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108507 | PA      | $112925.26    | 0.14%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31416BTB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34211 | PA      | $34577.00     | 0.04%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418MXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13210 | PA      | $13744.39     | 0.02%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138ETMS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9004 | PA      | $8573.10      | 0.01%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EQU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57200 | PA      | $55244.98     | 0.07%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138ERRX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29228 | PA      | $28598.52     | 0.03%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WAAL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69971 | PA      | $68818.98     | 0.08%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31416YWR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19506 | PA      | $19679.95     | 0.02%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36295WJR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    187742 | PA      | $179128.67    | 0.21%             | 2040-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31368HNG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19885 | PA      | $20810.17     | 0.02%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128LXCR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60118 | PA      | $60799.68     | 0.07%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36202DY21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19071 | PA      | $19683.97     | 0.02%             | 2033-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179UK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    241044 | PA      | $244135.19    | 0.29%             | 2049-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3131X62L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11962 | PA      | $11839.04     | 0.01%             | 2026-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140J5MF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    662423 | PA      | $614678.80    | 0.73%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WQAT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10331 | PA      | $9073.38      | 0.01%             | 2043-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417FMN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39119 | PA      | $34141.09     | 0.04%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132AAVR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34945 | PA      | $31324.91     | 0.04%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EPTS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89449 | PA      | $89350.29     | 0.11%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3133L7X51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    867456 | PA      | $794138.50    | 0.95%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138MDYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62710 | PA      | $57211.45     | 0.07%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WAYY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14699 | PA      | $14420.71     | 0.02%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 3622AAXB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1486639 | PA      | $1386031.61   | 1.66%             | 2046-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3131WN3Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30441 | PA      | $30711.61     | 0.04%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MAEB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12431 | PA      | $11348.64     | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140J7MF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    583950 | PA      | $574326.41    | 0.69%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179YHU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    813502 | PA      | $833129.97    | 1.00%             | 2053-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36296Q6W4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    850644 | PA      | $846982.28    | 1.01%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128LXBH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8385 | PA      | $8479.81      | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EL5N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10959 | PA      | $10559.29     | 0.01%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36225B5Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14169 | PA      | $14515.80     | 0.02%             | 2034-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3132FCBN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5653 | PA      | $5719.34      | 0.01%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 31329KPG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.00         | 0.00%             | 2032-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31416YXY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7802 | PA      | $7727.61      | 0.01%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36241LM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    243242 | PA      | $232408.57    | 0.28%             | 2040-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179RGC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118413 | PA      | $119280.83    | 0.14%             | 2045-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 31329KPX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.00         | 0.00%             | 2032-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138ETHT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33166 | PA      | $32510.70     | 0.04%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WVFG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12212 | PA      | $11961.10     | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132A7H20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53677 | PA      | $53032.53     | 0.06%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WHWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16426 | PA      | $15635.22     | 0.02%             | 2031-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418BFU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12753 | PA      | $12816.76     | 0.02%             | 2044-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138MQVM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74166 | PA      | $72705.33     | 0.09%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418ACN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    489017 | PA      | $480496.64    | 0.57%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132DWDQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1287260 | PA      | $1021879.65   | 1.22%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417DJ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35969 | PA      | $35457.41     | 0.04%             | 2027-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31410LHR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51726 | PA      | $51022.93     | 0.06%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3131X8YD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    225765 | PA      | $221118.93    | 0.26%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138X3EZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11689 | PA      | $11270.15     | 0.01%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138ASSD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57668 | PA      | $57117.05     | 0.07%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3132L7F79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103710 | PA      | $98679.09     | 0.12%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MACV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66789 | PA      | $69937.90     | 0.08%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417YUG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2030-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418ENM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210973 | PA      | $217986.40    | 0.26%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3132J6Z98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16769 | PA      | $15342.03     | 0.02%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138MDZN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44122 | PA      | $40276.81     | 0.05%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140XHBP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    399038 | PA      | $394510.10    | 0.47%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3132QVMX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15812 | PA      | $15042.16     | 0.02%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EKA88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104159 | PA      | $105085.90    | 0.13%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MJSK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16570 | PA      | $15106.43     | 0.02%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MMSC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    377541 | PA      | $371102.66    | 0.44%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WJB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23674 | PA      | $23073.89     | 0.03%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179YHV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149986 | PA      | $155078.58    | 0.19%             | 2053-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179X5K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    580346 | PA      | $594818.08    | 0.71%             | 2053-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132ACQ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.02         | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MMQY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300807 | PA      | $294558.45    | 0.35%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31419AZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10450 | PA      | $11003.72     | 0.01%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MJYW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19350 | PA      | $16552.45     | 0.02%             | 2046-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31405ML62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22708 | PA      | $23701.25     | 0.03%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31415P4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4968 | PA      | $5155.21      | 0.01%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EKGF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31889 | PA      | $29864.43     | 0.04%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36180AAJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1197732 | PA      | $1234338.68   | 1.48%             | 2054-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140XJCA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    660324 | PA      | $644111.46    | 0.77%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EJHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71274 | PA      | $70710.38     | 0.08%             | 2042-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418EBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    727961 | PA      | $642629.88    | 0.77%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418E3G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    608484 | PA      | $635697.68    | 0.76%             | 2054-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132CWZJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2033-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138LTKF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19578 | PA      | $18335.37     | 0.02%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138MSC49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219264 | PA      | $192776.76    | 0.23%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132A4Q84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12262 | PA      | $11731.28     | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140XNC36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    769022 | PA      | $784869.02    | 0.94%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EKVL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67684 | PA      | $63387.88     | 0.08%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138NYQR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26331 | PA      | $24659.51     | 0.03%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 312938Z97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10975 | PA      | $11086.77     | 0.01%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179Y2P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1050361 | PA      | $1083428.16   | 1.30%             | 2054-07-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3133KYR84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24230 | PA      | $22540.56     | 0.03%             | 2039-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36202FPJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14688 | PA      | $15050.39     | 0.02%             | 2041-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132A9S57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68675 | PA      | $65061.24     | 0.08%             | 2032-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31416XJM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18485 | PA      | $17312.72     | 0.02%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138NYGK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25188 | PA      | $22966.45     | 0.03%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MJXF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24252 | PA      | $23065.13     | 0.03%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418D4W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1248906 | PA      | $941318.94    | 1.13%             | 2051-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132A44X3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14472 | PA      | $14336.60     | 0.02%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138NYES0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234694 | PA      | $230070.73    | 0.28%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36241K3U0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37816 | PA      | $38748.83     | 0.05%             | 2039-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417CKM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103323 | PA      | $96764.22     | 0.12%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31410LL83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9101 | PA      | $9018.40      | 0.01%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138X6P58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72762 | PA      | $70100.14     | 0.08%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 31335BEE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50013 | PA      | $50525.12     | 0.06%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140X4ZP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.00         | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EMLK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18395 | PA      | $19251.69     | 0.02%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138LUSX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13615 | PA      | $12751.02     | 0.02%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132AAUN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52404 | PA      | $51347.07     | 0.06%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3132GD6Q0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40284 | PA      | $40692.87     | 0.05%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 31296YNP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28909 | PA      | $29131.55     | 0.03%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36209FDN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    268476 | PA      | $254829.47    | 0.30%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 31335BQT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24530 | PA      | $24844.70     | 0.03%             | 2044-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WCPE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1109187 | PA      | $1088430.98   | 1.30%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WBRB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115497 | PA      | $113262.20    | 0.14%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140XCBQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    745196 | PA      | $681204.19    | 0.81%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138XEJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15960 | PA      | $15617.39     | 0.02%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132A9SG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19553 | PA      | $18622.38     | 0.02%             | 2031-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140J87F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22419 | PA      | $22641.73     | 0.03%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128M9D25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3594 | PA      | $3636.30      | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138ENMJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66053 | PA      | $63733.25     | 0.08%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3133KYU56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    621799 | PA      | $515950.40    | 0.62%             | 2041-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31414LB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37785 | PA      | $38206.06     | 0.05%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140EA3X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52742 | PA      | $50054.91     | 0.06%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3131WNLY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19324 | PA      | $19503.90     | 0.02%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 31335A3Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42510 | PA      | $43018.31     | 0.05%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132CWGG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    787155 | PA      | $775428.35    | 0.93%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138ANNB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240426 | PA      | $242565.57    | 0.29%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 31329LEW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10215 | PA      | $10038.46     | 0.01%             | 2027-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3133KYSC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87100 | PA      | $81089.49     | 0.10%             | 2039-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 3620A2UF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    829690 | PA      | $812736.08    | 0.97%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132D6CX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    778491 | PA      | $773051.94    | 0.92%             | 2037-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418EXW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    711346 | PA      | $732622.95    | 0.88%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132D56Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    565546 | PA      | $500710.41    | 0.60%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138Y64A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14559 | PA      | $14422.62     | 0.02%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138AYV30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47623 | PA      | $47065.37     | 0.06%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418AAW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2031-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 31329KQA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.00         | 0.00%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 3622A22C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    725910 | PA      | $689255.28    | 0.82%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3133KYUU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145016 | PA      | $125128.47    | 0.15%             | 2041-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3129325Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39515 | PA      | $39936.37     | 0.05%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    684289 | PA      | $568017.90    | 0.68%             | 2041-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417ACQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102221 | PA      | $95733.26     | 0.11%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3131XH4A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44370 | PA      | $42853.46     | 0.05%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418DYG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    372502 | PA      | $309206.21    | 0.37%             | 2041-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36297F3D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $0.01         | 0.00%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WTRL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5653 | PA      | $4991.23      | 0.01%             | 2043-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3133GCVZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    253355 | PA      | $224243.31    | 0.27%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36202F4A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10007 | PA      | $10253.60     | 0.01%             | 2042-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417CBP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99461 | PA      | $98169.35     | 0.12%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MJWW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70291 | PA      | $66910.18     | 0.08%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132A4E95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    332856 | PA      | $292956.80    | 0.35%             | 2043-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140J9W64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61703 | PA      | $54249.82     | 0.06%             | 2046-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418AAV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    363719 | PA      | $357987.74    | 0.43%             | 2031-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140QRFX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    845969 | PA      | $831053.40    | 0.99%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418CE42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17090 | PA      | $14600.14     | 0.02%             | 2046-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179TSH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    768540 | PA      | $722938.90    | 0.86%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WFKD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    331775 | PA      | $321053.74    | 0.38%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 31335AQL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28540 | PA      | $29902.82     | 0.04%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140XHKH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1291303 | PA      | $1326390.18   | 1.59%             | 2049-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417ARG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18892 | PA      | $18670.44     | 0.02%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WAWU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21639 | PA      | $20826.92     | 0.02%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EKG74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33575 | PA      | $31443.77     | 0.04%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36241LLA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    243279 | PA      | $232472.89    | 0.28%             | 2040-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418DC83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    393348 | PA      | $381354.98    | 0.46%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132DPWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71092 | PA      | $73850.85     | 0.09%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138AFEH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11921 | PA      | $12027.40     | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    445351 | PA      | $382280.87    | 0.46%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3133KYUG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    473326 | PA      | $404717.86    | 0.48%             | 2040-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MMVV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    780782 | PA      | $761896.69    | 0.91%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EGE75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85675 | PA      | $89393.23     | 0.11%             | 2040-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138AG3P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10001 | PA      | $9910.80      | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140J5NB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51182 | PA      | $49980.31     | 0.06%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140X4GD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62524 | PA      | $65564.06     | 0.08%             | 2049-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128M9TQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    554455 | PA      | $519900.03    | 0.62%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140XAXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    314351 | PA      | $293859.44    | 0.35%             | 2040-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132ABA44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    161345 | PA      | $158223.81    | 0.19%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MJFQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42746 | PA      | $44793.56     | 0.05%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EMWZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    703736 | PA      | $672341.54    | 0.80%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418FBQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340319 | PA      | $350489.75    | 0.42%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140XMGG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251201 | PA      | $221895.54    | 0.27%             | 2037-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MDTW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    778796 | PA      | $765013.81    | 0.91%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132AA4B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28070 | PA      | $26744.42     | 0.03%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138X6UF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8850 | PA      | $8512.39      | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138W9HL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4440 | PA      | $4263.75      | 0.01%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MMVZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    959885 | PA      | $924565.50    | 1.11%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31368HMH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15396 | PA      | $15551.46     | 0.02%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132A3GX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43870 | PA      | $44260.27     | 0.05%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31416YLR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14304 | PA      | $14431.71     | 0.02%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138Y63W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102289 | PA      | $97453.93     | 0.12%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132CWZ31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    648891 | PA      | $604159.99    | 0.72%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138MC3M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20545 | PA      | $19240.75     | 0.02%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EKSG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14530 | PA      | $13607.78     | 0.02%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132AAKK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2036-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179N5Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39780 | PA      | $40760.61     | 0.05%             | 2044-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31402DM56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36141 | PA      | $37700.43     | 0.05%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418E5G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    465757 | PA      | $493303.23    | 0.59%             | 2054-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132A5CQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10041 | PA      | $9568.77      | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140QQWS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70061 | PA      | $73034.12     | 0.09%             | 2052-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132D56J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    512249 | PA      | $454849.62    | 0.54%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140J56Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11342 | PA      | $10776.23     | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31410F4V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15009 | PA      | $15169.76     | 0.02%             | 2036-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132A5B38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14077 | PA      | $13787.07     | 0.02%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132AEGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    278825 | PA      | $265033.42    | 0.32%             | 2032-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132A5CF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3366 | PA      | $3210.28      | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132A9AD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19352 | PA      | $18880.35     | 0.02%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417YTS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2030-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179TJX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    327329 | PA      | $300547.02    | 0.36%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418DTL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127239 | PA      | $112903.84    | 0.13%             | 2035-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138W9HB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15724 | PA      | $15150.02     | 0.02%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138AFFK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17644 | PA      | $17491.59     | 0.02%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140XKME7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1033069 | PA      | $1005347.32   | 1.20%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WEGT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18881 | PA      | $17958.03     | 0.02%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 31335AYK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15987 | PA      | $15251.06     | 0.02%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138XBBW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172152 | PA      | $165872.75    | 0.20%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 31292SAD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    492190 | PA      | $461522.93    | 0.55%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138XBAY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12418 | PA      | $11941.46     | 0.01%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31410GZ48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13287 | PA      | $13906.66     | 0.02%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132ACEV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16187 | PA      | $15472.69     | 0.02%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418DKC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30402 | PA      | $28248.77     | 0.03%             | 2040-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3133KYVB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    511100 | PA      | $423776.24    | 0.51%             | 2041-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3133KYUZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    453694 | PA      | $391143.24    | 0.47%             | 2041-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140XPUS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1503516 | PA      | $1482281.67   | 1.77%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179XVX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    290880 | PA      | $300630.89    | 0.36%             | 2053-03-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 312940NN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10908 | PA      | $11018.68     | 0.01%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128M4E90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36853 | PA      | $37301.83     | 0.04%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3131X7KE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14782 | PA      | $14600.79     | 0.02%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417C5E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52533 | PA      | $50715.57     | 0.06%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MJU32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9293 | PA      | $8866.40      | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132DWJM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    367919 | PA      | $373588.68    | 0.45%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3131XKV48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63165 | PA      | $59154.21     | 0.07%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138M6JS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112954 | PA      | $111452.65    | 0.13%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128LXBE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66295 | PA      | $67046.60     | 0.08%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31403DWK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31678 | PA      | $33149.35     | 0.04%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 312941D20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34821 | PA      | $35174.15     | 0.04%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179YDN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    549956 | PA      | $568628.91    | 0.68%             | 2053-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138ASW32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42271 | PA      | $40730.24     | 0.05%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132DWLB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    221716 | PA      | $228839.64    | 0.27%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EHBB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49541 | PA      | $49982.17     | 0.06%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3129397H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13609 | PA      | $13747.09     | 0.02%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140X4TN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21968 | PA      | $21548.29     | 0.03%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 312944K59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9437 | PA      | $9133.17      | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179Y5N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    459994 | PA      | $470444.08    | 0.56%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418D2W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    501317 | PA      | $439186.60    | 0.53%             | 2041-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179WP85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $0.00         | 0.00%             | 2051-10-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138ENU64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37090 | PA      | $36514.50     | 0.04%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31410GE90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8427 | PA      | $8764.11      | 0.01%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138ETDN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23253 | PA      | $22707.56     | 0.03%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140J56K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110095 | PA      | $107829.30    | 0.13%             | 2029-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 31329KPB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.00         | 0.00%             | 2031-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138E2NC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14417 | PA      | $14248.71     | 0.02%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140XA7M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    441393 | PA      | $432910.41    | 0.52%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140EUKQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57993 | PA      | $56756.16     | 0.07%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179QWC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30988 | PA      | $27051.40     | 0.03%             | 2044-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 31329M4J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9646 | PA      | $9284.32      | 0.01%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140J87H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20588 | PA      | $21544.63     | 0.03%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 31335ABB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    321149 | PA      | $312452.49    | 0.37%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179WT32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    343892 | PA      | $322642.21    | 0.39%             | 2051-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MEYU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    535816 | PA      | $529671.94    | 0.63%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36202E2B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12243 | PA      | $12635.11     | 0.02%             | 2039-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140XKJA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    409572 | PA      | $379432.09    | 0.45%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417ECJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33046 | PA      | $30130.77     | 0.04%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179M5K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32825 | PA      | $28654.87     | 0.03%             | 2043-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36176XUX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    386774 | PA      | $360298.20    | 0.43%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128M7MC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23060 | PA      | $23335.76     | 0.03%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140X43D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213767 | PA      | $208807.22    | 0.25%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140J5FG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13002 | PA      | $12344.85     | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128M9CN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60625 | PA      | $55390.19     | 0.07%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WAWV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28047 | PA      | $27021.17     | 0.03%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3133GCJU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    325008 | PA      | $298286.12    | 0.36%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138AFCY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13993 | PA      | $13861.26     | 0.02%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 3620AY6G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    461388 | PA      | $436351.12    | 0.52%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418AM39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11077 | PA      | $10863.88     | 0.01%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36176XJ59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    831328 | PA      | $754566.52    | 0.90%             | 2042-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3133D3L94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93065 | PA      | $82149.86     | 0.10%             | 2040-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3131WRR98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19807 | PA      | $19601.05     | 0.02%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WANW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.00         | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140X7M48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    626528 | PA      | $588990.21    | 0.70%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140J8JK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121542 | PA      | $117262.92    | 0.14%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EQAG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9538 | PA      | $9070.04      | 0.01%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128M7HB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11838 | PA      | $11980.01     | 0.01%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138W9TL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10434 | PA      | $10266.26     | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132DUD87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    849914 | PA      | $899063.72    | 1.07%             | 2054-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138NXLD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236284 | PA      | $230685.23    | 0.28%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132DNWQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    680062 | PA      | $717496.63    | 0.86%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3132HQ3K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15557 | PA      | $14192.89     | 0.02%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179Y5Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    511517 | PA      | $527602.51    | 0.63%             | 2054-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138E7TW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26903 | PA      | $26572.39     | 0.03%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138AYV22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162812 | PA      | $160958.34    | 0.19%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WHMS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13741 | PA      | $13412.84     | 0.02%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31410KJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10867 | PA      | $11372.25     | 0.01%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140X5FF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    580550 | PA      | $561970.76    | 0.67%             | 2032-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3133KYVG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    406331 | PA      | $358731.37    | 0.43%             | 2041-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3133KYU64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    525960 | PA      | $453227.03    | 0.54%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132DNDW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146385 | PA      | $138972.44    | 0.17%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138ENAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17377 | PA      | $17214.98     | 0.02%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128M74Z6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26880 | PA      | $28018.72     | 0.03%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31410KFX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25365 | PA      | $26581.99     | 0.03%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128M6VZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31175 | PA      | $31542.77     | 0.04%             | 2038-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179UWC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6520 | PA      | $6644.24      | 0.01%             | 2049-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418CKW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    363101 | PA      | $350931.83    | 0.42%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179R7L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    234572 | PA      | $229292.44    | 0.27%             | 2046-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3131WNX25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17852 | PA      | $18075.81     | 0.02%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418CCT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51256 | PA      | $43788.52     | 0.05%             | 2046-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EPSH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27249 | PA      | $26812.01     | 0.03%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179XNH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    373916 | PA      | $378512.24    | 0.45%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31371LVB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24614 | PA      | $25943.74     | 0.03%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138MB5T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10875 | PA      | $10184.44     | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138ENVZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28088 | PA      | $27075.07     | 0.03%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418MG30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4875 | PA      | $5068.36      | 0.01%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EHFH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97662 | PA      | $101727.55    | 0.12%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418UEK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10861 | PA      | $10957.61     | 0.01%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140X5VB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38207 | PA      | $37503.57     | 0.04%             | 2029-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138NY4Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16868 | PA      | $15797.18     | 0.02%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31419A4N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18475 | PA      | $17303.11     | 0.02%             | 2041-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132A9NH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1161453 | PA      | $1135614.81   | 1.36%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140X4H58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101293 | PA      | $99181.60     | 0.12%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140X7FP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    834752 | PA      | $769618.03    | 0.92%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 31329LFE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14432 | PA      | $14135.01     | 0.02%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3133KYVF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    708481 | PA      | $609623.27    | 0.73%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140XGHE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418MZ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29817 | PA      | $30376.96     | 0.04%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36202EAK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6451 | PA      | $6609.86      | 0.01%             | 2034-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418MKZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29113 | PA      | $29406.86     | 0.04%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179YRM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    376520 | PA      | $388860.43    | 0.46%             | 2054-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132A9SR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20976 | PA      | $19966.56     | 0.02%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138ERT91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10864 | PA      | $10629.44     | 0.01%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138LTN46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20174 | PA      | $18892.97     | 0.02%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179NDP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47255 | PA      | $41250.88     | 0.05%             | 2043-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138MALJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56969 | PA      | $51961.70     | 0.06%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132ADZX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27165 | PA      | $26729.59     | 0.03%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132ACHG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25047 | PA      | $24645.43     | 0.03%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MJVS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28691 | PA      | $27352.42     | 0.03%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1050702 | PA      | $895585.72    | 1.07%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36241KU30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30499 | PA      | $31251.93     | 0.04%             | 2038-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138APRG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118919 | PA      | $114853.99    | 0.14%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EGBP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6509 | PA      | $6791.56      | 0.01%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138E3AV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21755 | PA      | $20997.90     | 0.03%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132A8SY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63876 | PA      | $60728.85     | 0.07%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36202D2E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18001 | PA      | $18584.35     | 0.02%             | 2033-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132AAEX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417EHC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77031 | PA      | $70244.48     | 0.08%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128M4RD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23273 | PA      | $24385.35     | 0.03%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3131XTF54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8295 | PA      | $8131.39      | 0.01%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 312934HF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36103 | PA      | $36469.56     | 0.04%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132AAB52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EQAM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119894 | PA      | $116514.82    | 0.14%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EBP25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64422 | PA      | $62543.42     | 0.07%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138M0U24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10235 | PA      | $9884.69      | 0.01%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140J5PN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50231 | PA      | $52575.47     | 0.06%             | 2042-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132A4SQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16335 | PA      | $15991.78     | 0.02%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140XBW55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.00         | 0.00%             | 2040-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MJRE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7936 | PA      | $7251.72      | 0.01%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MJRT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51763 | PA      | $47271.35     | 0.06%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31410LNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29724 | PA      | $30009.47     | 0.04%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WBQU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34906 | PA      | $34288.64     | 0.04%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140XNKZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    423003 | PA      | $441920.27    | 0.53%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128M8H98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20172 | PA      | $20400.45     | 0.02%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36202D4P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22271 | PA      | $23014.12     | 0.03%             | 2034-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132A4M70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29390 | PA      | $29069.86     | 0.03%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3131XGLC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13972 | PA      | $13855.62     | 0.02%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417EWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97508 | PA      | $88845.98     | 0.11%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 31335AUT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72833 | PA      | $76308.31     | 0.09%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 31292SAX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16361 | PA      | $14916.11     | 0.02%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MJSS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21353 | PA      | $19427.34     | 0.02%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 312939RG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28621 | PA      | $28911.56     | 0.03%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EPAH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91385 | PA      | $89918.26     | 0.11%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3132HLM34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29047 | PA      | $26532.47     | 0.03%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140XALK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355843 | PA      | $332665.77    | 0.40%             | 2040-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140XRJA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    940225 | PA      | $930939.35    | 1.11%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-05-30

**Name of Applicant:** FlexShares Trust

**Signature:** Randal Rein

**Name of Signer:** Randal Rein

**Title:** Treasurer and PFO