# EDGAR Filing Document

**Accession Number:** 0001491978
**File Stem:** 0002071691-25-002074
**Filing Date:** 2025-9
**Character Count:** 150323
**Document Hash:** 87e303952dd7c2eaa03d589667c8d186
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-25-002074.hdr.sgml**: 20250925

**ACCESSION NUMBER**: 0002071691-25-002074

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250731

**FILED AS OF DATE**: 20250925

**DATE AS OF CHANGE**: 20250925

**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:** 251342655

**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:** 2025-07-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $83271911.07

**Total Liabilities:** $28123.45

**Net Assets:** $83243787.62

**Cash Not Reported:** $268481.57

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 0.00000000 | **1-Year:** 506.00000000 | **5-Year:** 1605.00000000 | **10-Year:** 14541.00000000 | **30-Year:** 16302.00000000

**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 | -0.65%               | 1.40%                | -0.27%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $14439.36                | $-801792.72                                |
| Month 2  | $0.00                    | $886749.26                                 |
| Month 3  | $-11895.93               | $-471490.59                                |

**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        |     28705 | PA      | $25764.77     | 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        |     36478 | PA      | $38186.19     | 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        |     54312 | PA      | $52750.12     | 0.06%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179TXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102115 | PA      | $101274.79    | 0.12%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179VVY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1022026 | PA      | $860950.40    | 1.03%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179Y2N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    397550 | PA      | $408409.95    | 0.49%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31416XJR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8835 | PA      | $8240.70      | 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        |     20472 | PA      | $18342.76     | 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        |    266614 | PA      | $258942.59    | 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        |     31774 | PA      | $31994.29     | 0.04%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418DKV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    498603 | PA      | $465509.86    | 0.56%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3131X7HZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19332 | PA      | $19098.37     | 0.02%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WBEH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13266 | PA      | $13204.56     | 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        |     14249 | PA      | $14380.18     | 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        |    383459 | PA      | $378039.29    | 0.45%             | 2031-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132ADUA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28386 | PA      | $26378.63     | 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        |    461776 | PA      | $476237.72    | 0.57%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WGAX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    902957 | PA      | $878296.34    | 1.06%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140X6KQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    378918 | PA      | $368021.85    | 0.44%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138W4AY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7730 | PA      | $6716.86      | 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        |      9942 | PA      | $9365.47      | 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        |     18161 | PA      | $16099.90     | 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        |    190766 | PA      | $166690.03    | 0.20%             | 2042-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132DM6K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194139 | PA      | $185212.21    | 0.22%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138ELWE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73300 | PA      | $70204.83     | 0.08%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WDBZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6462 | PA      | $6276.20      | 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        |     10537 | PA      | $10233.84     | 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        |     92041 | PA      | $85350.86     | 0.10%             | 2039-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138AWB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13846 | PA      | $13281.04     | 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        |    234924 | PA      | $229561.05    | 0.28%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EHKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41546 | PA      | $39791.92     | 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        |     15616 | PA      | $14616.22     | 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        |     16392 | PA      | $15960.71     | 0.02%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132A5GT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    343952 | PA      | $334056.32    | 0.40%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417AXK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16594 | PA      | $16393.77     | 0.02%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3131XCJX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9770 | PA      | $9232.35      | 0.01%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1163280 | PA      | $939422.76    | 1.13%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417BSN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39885 | PA      | $35737.58     | 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        |    387471 | PA      | $381472.12    | 0.46%             | 2030-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3132GLKV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48862 | PA      | $45570.37     | 0.05%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417EZB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25638 | PA      | $22924.22     | 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        |    200522 | PA      | $194350.82    | 0.23%             | 2045-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417NBY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32784 | PA      | $32973.17     | 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        |     53625 | PA      | $52519.05     | 0.06%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36202EHF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46338 | PA      | $47370.12     | 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        |     35985 | PA      | $36149.90     | 0.04%             | 2041-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132A5EF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31511 | PA      | $29647.11     | 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        |     26316 | PA      | $25689.53     | 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        |     30427 | PA      | $30015.99     | 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        |     34765 | PA      | $34961.56     | 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        |     16483 | PA      | $14766.90     | 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        |    548866 | PA      | $528211.73    | 0.63%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138W0F53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6685 | PA      | $5840.93      | 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        |     94840 | PA      | $91959.64     | 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        |     42221 | PA      | $37774.60     | 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        |     33696 | PA      | $33984.70     | 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        |   1130769 | PA      | $913027.22    | 1.10%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128M8N26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23417 | PA      | $24513.90     | 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        |     14247 | PA      | $13643.70     | 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        |    109124 | PA      | $97616.87     | 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        |    324939 | PA      | $314153.18    | 0.38%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EPLC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123399 | PA      | $121653.42    | 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        |     30692 | PA      | $30978.07     | 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        |     33820 | PA      | $31522.48     | 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        |     21333 | PA      | $20117.17     | 0.02%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36241LSS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13840 | PA      | $14080.60     | 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        |    275568 | PA      | $276183.86    | 0.33%             | 2046-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3131XLT98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20761 | PA      | $19258.47     | 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        |     26057 | PA      | $26284.88     | 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        |     25258 | PA      | $24890.12     | 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        |    681074 | PA      | $673731.53    | 0.81%             | 2038-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417FZ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23919 | PA      | $23375.95     | 0.03%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140J74Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316755 | PA      | $310342.90    | 0.37%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140XHSK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1056513 | PA      | $871639.29    | 1.05%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31368HMT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30334 | PA      | $31714.60     | 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        |     55824 | PA      | $56140.14     | 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        |     24673 | PA      | $24386.96     | 0.03%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138W92S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16850 | PA      | $16096.79     | 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        |     16883 | PA      | $16175.19     | 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        |     36479 | PA      | $34505.08     | 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        |     35912 | PA      | $36246.95     | 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        |     31591 | PA      | $31112.97     | 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        |     12175 | PA      | $12296.74     | 0.01%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418CDX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267596 | PA      | $246301.40    | 0.30%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3131X8T63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135079 | PA      | $132090.66    | 0.16%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132DWJ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    365323 | PA      | $383888.15    | 0.46%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132DWBT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    755178 | PA      | $593757.19    | 0.71%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36295DNC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    793198 | PA      | $773250.30    | 0.93%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EPTE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12282 | PA      | $12351.65     | 0.01%             | 2044-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179XTH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139628 | PA      | $145127.88    | 0.17%             | 2053-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MJW71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11214 | PA      | $10567.40     | 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        |     67839 | PA      | $65888.24     | 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        |    638965 | PA      | $474778.32    | 0.57%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31410LC42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69921 | PA      | $68903.44     | 0.08%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138ETDZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6163 | PA      | $5842.01      | 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        |     24748 | PA      | $23641.56     | 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        |    105517 | PA      | $102415.50    | 0.12%             | 2028-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MMWV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    482276 | PA      | $466989.52    | 0.56%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MAD63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59659 | PA      | $56674.00     | 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        |     21278 | PA      | $20666.06     | 0.02%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31402QVH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104517 | PA      | $107297.80    | 0.13%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31416BTB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33051 | PA      | $33297.94     | 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        |     12732 | PA      | $13062.06     | 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        |      8743 | PA      | $8240.37      | 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        |     54815 | PA      | $52506.87     | 0.06%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138ERRX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28613 | PA      | $27859.02     | 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        |     67144 | PA      | $65517.36     | 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        |     18064 | PA      | $18166.36     | 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        |    183673 | PA      | $173419.98    | 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        |     19442 | PA      | $20328.57     | 0.02%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140W0ZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1504689 | PA      | $1545914.45   | 1.86%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128LXCR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36202DY21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17967 | PA      | $18262.54     | 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        |    231029 | PA      | $233929.01    | 0.28%             | 2049-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3131X62L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8580 | PA      | $8490.09      | 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        |    637640 | PA      | $587513.71    | 0.71%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WQAT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10124 | PA      | $8804.54      | 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        |     38300 | PA      | $33104.51     | 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        |     33956 | PA      | $30130.17     | 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        |     88467 | PA      | $87679.98     | 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        |    833409 | PA      | $761251.43    | 0.91%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138MDYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60702 | PA      | $54389.43     | 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        |     14186 | PA      | $13807.10     | 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        |   1461967 | PA      | $1348431.86   | 1.62%             | 2046-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3131WN3Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28844 | PA      | $29007.52     | 0.03%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MAEB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12021 | PA      | $10772.15     | 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        |    510855 | PA      | $500909.16    | 0.60%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179YHU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    734591 | PA      | $755826.86    | 0.91%             | 2053-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36296Q6W4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    823819 | PA      | $822174.82    | 0.99%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128LXBH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7966 | PA      | $8030.56      | 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        |     10522 | PA      | $10050.10     | 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        |     13521 | PA      | $13851.15     | 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        |      5489 | PA      | $5535.54      | 0.01%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31416YXY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7699 | PA      | $7587.06      | 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        |    237619 | PA      | $224769.36    | 0.27%             | 2040-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179RGC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114927 | PA      | $115184.36    | 0.14%             | 2045-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138ETHT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31092 | PA      | $30249.46     | 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        |     12109 | PA      | $11765.89     | 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        |     41609 | PA      | $41085.61     | 0.05%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WHWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15492 | PA      | $14662.15     | 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        |     12574 | PA      | $12564.87     | 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        |     64397 | PA      | $63046.82     | 0.08%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418ACN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    460586 | PA      | $449364.81    | 0.54%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132DWDQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1263055 | PA      | $990584.87    | 1.19%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417DJ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31084 | PA      | $30598.73     | 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        |     49534 | PA      | $48638.41     | 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        |    197913 | PA      | $193533.27    | 0.23%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138X3EZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10845 | PA      | $10367.00     | 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        |     56591 | PA      | $55767.67     | 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        |    101063 | PA      | $95228.20     | 0.11%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MACV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65005 | PA      | $68025.81     | 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        |    196758 | PA      | $203387.29    | 0.24%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3132J6Z98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16083 | PA      | $14477.45     | 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        |     43522 | PA      | $39041.72     | 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        |    359937 | PA      | $354059.15    | 0.43%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3132QVMX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15346 | PA      | $14458.10     | 0.02%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418FL54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    986114 | PA      | $1012585.26   | 1.22%             | 2040-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EKA88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100541 | PA      | $101110.35    | 0.12%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MJSK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16129 | PA      | $14446.53     | 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        |    344292 | PA      | $336850.96    | 0.40%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WJB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22941 | PA      | $22281.20     | 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        |    129144 | PA      | $133971.90    | 0.16%             | 2053-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179X5K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    518425 | PA      | $533779.81    | 0.64%             | 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        |    265733 | PA      | $259516.10    | 0.31%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31419AZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9879 | PA      | $10299.12     | 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        |     18906 | PA      | $15990.28     | 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        |     22148 | PA      | $23027.70     | 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        |      4823 | PA      | $4933.23      | 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        |     31118 | PA      | $28849.10     | 0.03%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36180AAJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    822919 | PA      | $850493.40    | 1.02%             | 2054-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140XJCA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    613245 | PA      | $594554.86    | 0.71%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EJHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69532 | PA      | $68648.61     | 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        |    707195 | PA      | $624539.06    | 0.75%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418E3G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    545119 | PA      | $572821.25    | 0.69%             | 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        |     19072 | PA      | $17718.78     | 0.02%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 3618N5MT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    891883 | PA      | $921966.31    | 1.11%             | 2055-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138MSC49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216052 | PA      | $188115.50    | 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        |     11932 | PA      | $11320.34     | 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        |    723194 | PA      | $738422.10    | 0.89%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418FKQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    671731 | PA      | $692766.96    | 0.83%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EKVL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65712 | PA      | $61091.53     | 0.07%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138NYQR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25977 | PA      | $24102.06     | 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        |     10558 | PA      | $10631.35     | 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        |    833302 | PA      | $861223.84    | 1.03%             | 2054-07-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3133KYR84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23390 | PA      | $21461.61     | 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        |     14314 | PA      | $14633.14     | 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        |     64948 | PA      | $61153.53     | 0.07%             | 2032-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31416XJM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17631 | PA      | $16469.87     | 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        |     24329 | PA      | $21774.33     | 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        |     23516 | PA      | $22153.02     | 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        |   1229955 | PA      | $913205.13    | 1.10%             | 2051-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132A44X3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14052 | PA      | $13853.16     | 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        |    193263 | PA      | $189209.02    | 0.23%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36241K3U0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36626 | PA      | $37443.08     | 0.04%             | 2039-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417CKM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97133 | PA      | $90222.38     | 0.11%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31410LL83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8669 | PA      | $8552.11      | 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        |     69988 | PA      | $66844.03     | 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        |     48289 | PA      | $48628.41     | 0.06%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EMLK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17809 | PA      | $18620.76     | 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        |     13164 | PA      | $12233.34     | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132AAUN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51270 | PA      | $49837.83     | 0.06%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140HJJT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1028046 | PA      | $1020768.40   | 1.23%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3132GD6Q0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39531 | PA      | $39804.83     | 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        |     26835 | PA      | $26808.89     | 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        |    265304 | PA      | $250224.12    | 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        |     23795 | PA      | $24023.00     | 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        |   1033172 | PA      | $1008993.75   | 1.21%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WBRB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114084 | PA      | $111038.05    | 0.13%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140XCBQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    713472 | PA      | $651636.90    | 0.78%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138XEJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15795 | PA      | $15333.20     | 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        |     18550 | PA      | $17566.93     | 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        |     21703 | PA      | $21847.60     | 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        |      3486 | PA      | $3515.83      | 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        |     63982 | PA      | $61200.45     | 0.07%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3133KYU56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    608618 | PA      | $498766.37    | 0.60%             | 2041-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31414LB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37134 | PA      | $37420.20     | 0.04%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138ELKP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    710368 | PA      | $701233.57    | 0.84%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140EA3X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52324 | PA      | $49206.93     | 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        |     18438 | PA      | $18547.62     | 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        |     40690 | PA      | $41045.46     | 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        |    693343 | PA      | $679864.33    | 0.82%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138ANNB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217375 | PA      | $218605.45    | 0.26%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 31329LEW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8665 | PA      | $8509.33      | 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        |     83508 | PA      | $77516.12     | 0.09%             | 2039-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 3620A2UF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    801498 | PA      | $778529.00    | 0.94%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132D6CX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    739245 | PA      | $730610.11    | 0.88%             | 2037-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418EXW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    663517 | PA      | $684296.39    | 0.82%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132D56Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    546249 | PA      | $483777.49    | 0.58%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138Y64A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14206 | PA      | $14004.83     | 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        |     38216 | PA      | $37772.80     | 0.05%             | 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      |
| GNMA       | GNMA    | CUSIP: 3622A22C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    717568 | PA      | $674358.90    | 0.81%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3133KYUU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141516 | PA      | $120839.05    | 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        |     36941 | PA      | $37215.87     | 0.04%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    668065 | PA      | $547698.23    | 0.66%             | 2041-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417ACQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99382 | PA      | $92445.78     | 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        |     43135 | PA      | $41331.82     | 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        |    363469 | PA      | $298092.99    | 0.36%             | 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        |      5542 | PA      | $4848.20      | 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        |    245325 | PA      | $217206.02    | 0.26%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36202F4A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9803 | PA      | $10021.20     | 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        |     83075 | PA      | $81881.66     | 0.10%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MJWW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68076 | PA      | $64159.56     | 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        |    317633 | PA      | $276889.96    | 0.33%             | 2043-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140J9W64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60338 | PA      | $52541.82     | 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        |    341387 | PA      | $333135.42    | 0.40%             | 2031-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140QRFX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    829363 | PA      | $811248.11    | 0.97%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418CE42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16703 | PA      | $14087.15     | 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        |    746434 | PA      | $695955.42    | 0.84%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WFKD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    308685 | PA      | $297076.60    | 0.36%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 31335AQL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27830 | PA      | $29134.31     | 0.03%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140XHKH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1244638 | PA      | $1277751.71   | 1.53%             | 2049-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417ARG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15250 | PA      | $15072.97     | 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        |     20914 | PA      | $19952.49     | 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        |     32331 | PA      | $30004.06     | 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        |    235438 | PA      | $222741.00    | 0.27%             | 2040-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418DC83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    366220 | PA      | $352365.80    | 0.42%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132DPWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70819 | PA      | $73658.62     | 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        |     11576 | PA      | $11641.95     | 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        |    434580 | PA      | $369770.98    | 0.44%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3133KYUG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    464029 | PA      | $388590.84    | 0.47%             | 2040-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MMVV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    738760 | PA      | $715691.95    | 0.86%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EGE75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83752 | PA      | $87305.33     | 0.10%             | 2040-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138AG3P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9829 | PA      | $9696.23      | 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        |     50154 | PA      | $48711.16     | 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        |     60081 | PA      | $62948.25     | 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        |    537946 | PA      | $499137.12    | 0.60%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140XAXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    305397 | PA      | $281224.39    | 0.34%             | 2040-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132ABA44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156558 | PA      | $152314.04    | 0.18%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MJFQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41413 | PA      | $43352.56     | 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        |    686153 | PA      | $649402.23    | 0.78%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418FBQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318318 | PA      | $328287.16    | 0.39%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140XMGG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244147 | PA      | $215757.45    | 0.26%             | 2037-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MDTW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    658418 | PA      | $645761.83    | 0.78%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132AA4B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27336 | PA      | $25789.65     | 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        |      8756 | PA      | $8348.38      | 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        |      4355 | PA      | $4143.71      | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MMVZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    905253 | PA      | $865999.05    | 1.04%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31368HMH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14813 | PA      | $14914.22     | 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        |     41766 | PA      | $42002.00     | 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        |     14098 | PA      | $14178.13     | 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        |     97539 | PA      | $92357.18     | 0.11%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132CWZ31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    623188 | PA      | $578527.36    | 0.69%             | 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        |     19890 | PA      | $18462.86     | 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        |     13914 | PA      | $12916.00     | 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        |     38882 | PA      | $39748.66     | 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        |     35038 | PA      | $36135.64     | 0.04%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132A5CQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9805 | PA      | $9242.16      | 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        |     69297 | PA      | $72387.49     | 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        |    494326 | PA      | $439028.38    | 0.53%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140J56Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11060 | PA      | $10444.13     | 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        |     14399 | PA      | $14506.46     | 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        |     13939 | PA      | $13543.40     | 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        |    262185 | PA      | $247470.86    | 0.30%             | 2032-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132A5CF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3272 | PA      | $3090.66      | 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        |     17169 | PA      | $16691.23     | 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        |    318793 | PA      | $291120.52    | 0.35%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418DTL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122723 | PA      | $109373.34    | 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        |     15523 | PA      | $14826.87     | 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        |     17371 | PA      | $17149.83     | 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        |   1005177 | PA      | $970384.17    | 1.17%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WEGT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18345 | PA      | $17273.18     | 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        |     15569 | PA      | $14707.03     | 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        |    168818 | PA      | $161233.39    | 0.19%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 31292SAD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    480974 | PA      | $446925.03    | 0.54%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138XBAY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11595 | PA      | $11029.90     | 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        |     12984 | PA      | $13575.10     | 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        |     15914 | PA      | $15049.42     | 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        |     29398 | PA      | $27240.61     | 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        |    499617 | PA      | $409127.22    | 0.49%             | 2041-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3133KYUZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    442694 | PA      | $377964.06    | 0.45%             | 2041-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140XPUS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1442649 | PA      | $1402246.60   | 1.68%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179XVX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    242337 | PA      | $251822.52    | 0.30%             | 2053-03-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 312940NN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10714 | PA      | $10788.22     | 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        |     35542 | PA      | $35860.05     | 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        |     11902 | PA      | $11752.69     | 0.01%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417C5E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51397 | PA      | $49189.68     | 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        |      9074 | PA      | $8564.04      | 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        |    354443 | PA      | $359791.81    | 0.43%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3131XKV48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62377 | PA      | $57828.38     | 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        |     97275 | PA      | $95800.49     | 0.12%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31403DWK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30670 | PA      | $32066.62     | 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        |     33627 | PA      | $33859.78     | 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        |    470745 | PA      | $488113.52    | 0.59%             | 2053-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138ASW32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41726 | PA      | $39854.11     | 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        |    204303 | PA      | $211147.97    | 0.25%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EHBB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48484 | PA      | $48758.53     | 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        |     13173 | PA      | $13264.75     | 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        |     18926 | PA      | $18542.46     | 0.02%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 312944K59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9274 | PA      | $8905.93      | 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        |    342292 | PA      | $351642.46    | 0.42%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418D2W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    487139 | PA      | $427744.59    | 0.51%             | 2041-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138ENU64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36530 | PA      | $35686.64     | 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        |      8047 | PA      | $8255.43      | 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        |     21807 | PA      | $21179.48     | 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        |     96241 | PA      | $94056.85     | 0.11%             | 2029-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138E2NC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11144 | PA      | $11014.37     | 0.01%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140XA7M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    404314 | PA      | $394162.79    | 0.47%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140EUKQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57420 | PA      | $55906.61     | 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        |     30531 | PA      | $26301.10     | 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        |      9534 | PA      | $9095.42      | 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        |     19806 | PA      | $20708.50     | 0.02%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 31335ABB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    314077 | PA      | $303143.63    | 0.36%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179WT32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    333127 | PA      | $309422.21    | 0.37%             | 2051-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MEYU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    439050 | PA      | $433798.98    | 0.52%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36202E2B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11836 | PA      | $12187.25     | 0.01%             | 2039-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140XKJA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    398255 | PA      | $367477.74    | 0.44%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31417ECJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31879 | PA      | $28530.89     | 0.03%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179M5K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32087 | PA      | $27640.54     | 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        |    370810 | PA      | $341745.25    | 0.41%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128M7MC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21646 | PA      | $21835.57     | 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        |    189635 | PA      | $184591.59    | 0.22%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140J5FG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12691 | PA      | $11937.91     | 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        |     59651 | PA      | $53541.20     | 0.06%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WAWV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27620 | PA      | $26379.25     | 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        |    314498 | PA      | $288392.25    | 0.35%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138AFCY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13646 | PA      | $13449.67     | 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        |    454833 | PA      | $425621.00    | 0.51%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418AM39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9554 | PA      | $9359.26      | 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        |    815277 | PA      | $730462.11    | 0.88%             | 2042-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31418FH34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1094807 | PA      | $1150443.28   | 1.38%             | 2055-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3133D3L94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91002 | PA      | $78779.54     | 0.09%             | 2040-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3131WRR98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19108 | PA      | $18803.90     | 0.02%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140X7M48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    610073 | PA      | $568060.09    | 0.68%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140J8JK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116358 | PA      | $111288.31    | 0.13%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EQAG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9452 | PA      | $8897.63      | 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        |     11383 | PA      | $11482.54     | 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        |     10264 | PA      | $10019.66     | 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        |         0 | PA      | $0.02         | 0.00%             | 2054-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138NXLD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195482 | PA      | $190598.41    | 0.23%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132DNWQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    656869 | PA      | $692423.50    | 0.83%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3132HQ3K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14717 | PA      | $13185.22     | 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        |    251496 | PA      | $260601.05    | 0.31%             | 2054-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138E7TW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21620 | PA      | $21347.77     | 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        |    123256 | PA      | $121890.36    | 0.15%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WHMS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13379 | PA      | $12994.31     | 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        |     10466 | PA      | $10943.38     | 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        |    516760 | PA      | $498831.34    | 0.60%             | 2032-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3133KYVG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    394829 | PA      | $349434.72    | 0.42%             | 2041-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3133KYU64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    513590 | PA      | $437065.26    | 0.53%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132DNDW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140881 | PA      | $133028.53    | 0.16%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138ENAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16909 | PA      | $16669.57     | 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        |     26350 | PA      | $27472.93     | 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        |     24642 | PA      | $25860.44     | 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        |     30246 | PA      | $30504.83     | 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        |      6317 | PA      | $6422.43      | 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        |    357289 | PA      | $344239.58    | 0.41%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179R7L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    229088 | PA      | $222041.57    | 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        |     16850 | PA      | $17006.73     | 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        |     50109 | PA      | $42345.11     | 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        |     26697 | PA      | $26061.25     | 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        |    349694 | PA      | $357027.99    | 0.43%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31371LVB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22928 | PA      | $23926.91     | 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        |     10702 | PA      | $9940.84      | 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        |     27362 | PA      | $26146.92     | 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        |      4628 | PA      | $4745.23      | 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        |     93905 | PA      | $96442.79     | 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        |     10305 | PA      | $10363.57     | 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        |     32936 | PA      | $32279.26     | 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        |     16203 | PA      | $15050.10     | 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        |     17951 | PA      | $16761.76     | 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        |   1033738 | PA      | $1007886.76   | 1.21%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140X4H58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87883 | PA      | $85890.02     | 0.10%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140X7FP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    817251 | PA      | $749466.73    | 0.90%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 31329LFE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12581 | PA      | $12302.48     | 0.01%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3133KYVF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    691529 | PA      | $590120.39    | 0.71%             | 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        |     28562 | PA      | $29002.67     | 0.03%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36202EAK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6086 | PA      | $6220.91      | 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        |     28004 | PA      | $28195.65     | 0.03%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36179YRM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    313937 | PA      | $326131.62    | 0.39%             | 2054-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132A9SR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19754 | PA      | $18696.09     | 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        |     10573 | PA      | $10269.22     | 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        |     19284 | PA      | $17900.25     | 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        |     45805 | PA      | $39456.82     | 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        |     54487 | PA      | $48798.25     | 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        |     22166 | PA      | $21714.27     | 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        |     24530 | PA      | $23946.04     | 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        |     27977 | PA      | $26410.52     | 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        |   1021441 | PA      | $859443.13    | 1.03%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA       | GNMA    | CUSIP: 36241KU30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29489 | PA      | $30147.44     | 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        |    116797 | PA      | $111877.21    | 0.13%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EGBP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6167 | PA      | $6319.26      | 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        |     21488 | PA      | $20557.98     | 0.02%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool | UMBS    | CUSIP: 3132A8SY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60028 | PA      | $56732.58     | 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        |     17026 | PA      | $17312.98     | 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        |     74276 | PA      | $66474.26     | 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        |     22702 | PA      | $23765.72     | 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        |      8222 | PA      | $7996.01      | 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        |     35525 | PA      | $35770.69     | 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        |    115116 | PA      | $111105.76    | 0.13%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138EBP25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62522 | PA      | $60182.58     | 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        |     10097 | PA      | $9668.64      | 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        |     48506 | PA      | $50717.48     | 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        |     15246 | PA      | $14807.90     | 0.02%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128MJRE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7817 | PA      | $7017.97      | 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        |     50690 | PA      | $45455.75     | 0.05%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 31410LNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28548 | PA      | $28729.92     | 0.03%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3138WBQU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33198 | PA      | $32352.65     | 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        |    391301 | PA      | $411186.47    | 0.49%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3128M8H98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19257 | PA      | $19413.53     | 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        |     21116 | PA      | $21486.56     | 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        |     28795 | PA      | $28316.86     | 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        |     13002 | PA      | $12836.38     | 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        |     94835 | PA      | $84855.92     | 0.10%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 31335AUT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69672 | PA      | $72935.66     | 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        |     15917 | PA      | $14257.02     | 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        |     20781 | PA      | $18600.69     | 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        |     28219 | PA      | $28414.96     | 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        |     87833 | PA      | $85740.81     | 0.10%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC      | FHLMC   | CUSIP: 3132HLM34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28164 | PA      | $25267.76     | 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        |    345333 | PA      | $317986.98    | 0.38%             | 2040-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA       | UMBS    | CUSIP: 3140XRJA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    909961 | PA      | $896133.99    | 1.08%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-09-02

**Name of Applicant:** FlexShares Trust

**Signature:** Randal Rein

**Name of Signer:** Randal Rein

**Title:** Treasurer and PFO