# EDGAR Filing Document

**Accession Number:** 0002041175
**File Stem:** 0001193125-26-096699
**Filing Date:** 2026-3
**Character Count:** 4479035
**Document Hash:** 845d7431635fa899b74a8efa74fc985e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-26-096699.hdr.sgml**: 20260306

**ACCESSION NUMBER**: 0001193125-26-096699

**CONFORMED SUBMISSION TYPE**: NPORT-P/A

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260306

**DATE AS OF CHANGE**: 20260306

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** NB Asset-Based Credit Fund
- **CENTRAL INDEX KEY:** 0002041175

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P/A
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-24037
- **FILM NUMBER:** 26731581

**BUSINESS ADDRESS:**
- **STREET 1:** 1290 AVENUE OF THE AMERICAS
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10104
- **BUSINESS PHONE:** 212-476-9000

**MAIL ADDRESS:**
- **STREET 1:** 1290 AVENUE OF THE AMERICAS
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10104

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** NB Asset-Based Credit Fund

- **b. Investment Company Act file number:** 811-24037

- **c. CIK number of Registrant:** 0002041175

- **d. LEI of Registrant:** 2549008CTBM9TNCE7549

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

  - **Street Address 1:** 1290 Avenue of the Americas

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10104

  - **Telephone number:** 212-476-8800

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

- **a. Name of Series:** NB Asset-Based Credit Fund

- **c. LEI of Series:** 2549008CTBM9TNCE7549

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $117473165.66

**Total Liabilities:** $44846434.07

**Net Assets:** $72626731.59

**Delayed Delivery Securities:** $3900000.00

**Cash Not Reported:** $4605407.22

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 0.000000000000 | **1-Year:** 0.000000000000 | **5-Year:** 0.000000000000 | **10-Year:** 0.000000000000 | **30-Year:** 0.000000000000

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

- **3-Month:** -268.060000000000 | **1-Year:** -7804.740000000000 | **5-Year:** -6506.350000000000 | **10-Year:** -409.950000000000 | **30-Year:** 0.000000000000

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 0.99%                | 0.59%                | 0.62%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-30912.44               | $-144782.64                                |
| Month 2  | $-211268.53              | $-198298.06                                |
| Month 3  | $280779.96               | $-652023.26                                |

**Designated Index Information**

- **Index Name:** Securities Portfolio VaR

- **Index Identifier:** Designated Reference Portfolio is the Fund's Securities Portfolio

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| SFS HOLDCO 1L TL 9/25                 | SFS HOLDCO 1L TL 9/25                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |  15000000 | PA      | $14790922.80  | 20.37%            | 2028-09-18      | Floating      | 10.79%                | No            |                  3 | On Loan: No      |
| SFS HOLDCO 1L REVOLVER 9/25           | SFS HOLDCO 1L REVOLVER 9/25                    | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    268293 | PA      | $264553.09    | 0.36%             | 2028-09-18      | Floating      | 10.79%                | No            |                  3 | On Loan: No      |
| RRP CCAS_24-1A TERM                   | RRP CCAS_24-1A TERM                            | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |   -309634 | PA      | $-309633.75   | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| ALCAR INC                             | ALCAR Inc                                      | CUSIP: 013733AG5<br>LEI: 549300AZKZO2EAB2BU10 | Long             | DBT              | CORP              | US        |   9000000 | PA      | $9021545.55   | 12.42%            | 2027-09-01      | Fixed         | 11.00%                | No            |                  3 | On Loan: No      |
| CCAS LLC                              | CCAS 2024-1 LLC                                | CUSIP: 12516NAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    408000 | PA      | $413685.03    | 0.57%             | 2031-06-16      | Fixed         | 13.07%                | No            |                  2 | On Loan: No      |
| First American Government Obli        | First American Government Obligations Fund     | CUSIP: 31846V443<br>LEI: 549300R5MYM6VZF1RM44 | Long             | STIV             | RF                | US        |   4679334 | NS      | $4679334.12   | 6.44%             |  |  |  | No            |                  1 | On Loan: No      |
| Monroe Capital ABS Funding LTD        | Monroe Capital ABS Funding II LP               | CUSIP: 609936AE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3900000 | PA      | $3900000.00   | 5.37%             | 2036-01-07      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| Pagaya AI Debt Selection Trust        | Pagaya Ai Debt Grantor Trust 2025-6            | CUSIP: 69549CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5012065.50   | 6.90%             | 2033-04-15      | Fixed         | 8.48%                 | No            |                  2 | On Loan: No      |
| D. Miller & Associates T/L B          | D. Miller & Associates T/L B                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   5655303 | PA      | $5655303.12   | 7.79%             | 2026-06-23      | Floating      | 22.93%                | No            |                  3 | On Loan: No      |
| D. Miller & Associates T/L C          | D. Miller & Associates T/L C                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1684027 | PA      | $1684026.99   | 2.32%             | 2026-06-23      | Floating      | 20.93%                | No            |                  3 | On Loan: No      |
| D. Miller & Associates T/L D          | D. Miller & Associates T/L D                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   1073055 | PA      | $1073055.03   | 1.48%             | 2026-06-23      | Floating      | 20.93%                | No            |                  3 | On Loan: No      |
| Alloy Merchant Finance LLC            | Alloy Merchant Finance LLC                     | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | CORP              | US        |   6450000 | PA      | $6465318.43   | 8.90%             | 2029-01-16      | Floating      | 10.36%                | No            |                  3 | On Loan: No      |
| P.A. Addi-Victoria Delayed Draw T/L B | P.A. Addi-Victoria Delayed Draw T/L B          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |  10000000 | PA      | $10055789.30  | 13.85%            | 2027-10-17      | Floating      | 12.00%                | No            |                  3 | On Loan: No      |
| PAID 2025-6 E                         | PAID 2025-6 E                                  | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -3503500 | PA      | $-3503500.00  | -4.82%            |  |  |  | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust        | Upgrade Master Pass-Thru Trust Series 2025-ST6 | CUSIP: 91533QAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12200000 | PA      | $9924100.86   | 13.66%            | 2032-10-15      | Fixed         | 15.11%                | No            |                  3 | On Loan: No      |
| UPGRADE PREFERRED EQUITY              | UPGRADE PREFERRED EQUITY                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EP               | CORP              | US        |    340275 | NS      | $2004364.03   | 2.76%             |  |  |  | No            |                  3 | On Loan: No      |
| UMPT_25-ST6 PROTECTION                | UMPT_25-ST6 PROTECTION                         | CUSIP: N/A<br>LEI: N/A                        | Long             |  |  | US        |         1 | NS      | $156254.91    | 0.22%             |  |  |  | Yes           |                  3 | On Loan: No      |
| UMPT 2025-ST6 CERT                    | UMPT 2025-ST6 CERT                             | CUSIP: N/A<br>LEI: N/A                        | Short            | RA               | CORP              | US        |  -7415312 | PA      | $-7415312.50  | -10.21%           |  |  |  | No            |                  2 | On Loan: No      |
| L5867279.UP.NBM                       | L5867279.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16518 | PA      | $15881.40     | 0.02%             | 2030-08-25      | Fixed         | 20.41%                | Yes           |                  3 | On Loan: No      |
| L5867289.UP.NBM                       | L5867289.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     34545 | PA      | $33440.79     | 0.05%             | 2030-08-25      | Fixed         | 21.00%                | Yes           |                  3 | On Loan: No      |
| L5867297.UP.NBM                       | L5867297.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     47679 | PA      | $46593.82     | 0.06%             | 2030-08-25      | Fixed         | 16.96%                | Yes           |                  3 | On Loan: No      |
| L5867314.UP.NBM                       | L5867314.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17096 | PA      | $17716.85     | 0.02%             | 2030-08-25      | Fixed         | 20.49%                | Yes           |                  3 | On Loan: No      |
| L5867650.UP.NBM                       | L5867650.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6435 | PA      | $6197.97      | 0.01%             | 2030-08-25      | Fixed         | 20.52%                | Yes           |                  3 | On Loan: No      |
| L5867668.UP.NBM                       | L5867668.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       717 | PA      | $710.18       | 0.00%             | 2030-08-25      | Fixed         | 22.37%                | Yes           |                  3 | On Loan: No      |
| L5867672.UP.NBM                       | L5867672.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2207 | PA      | $2094.08      | 0.00%             | 2030-08-25      | Fixed         | 19.59%                | Yes           |                  3 | On Loan: No      |
| L5867705.UP.NBM                       | L5867705.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1871 | PA      | $1766.11      | 0.00%             | 2030-08-25      | Fixed         | 25.41%                | Yes           |                  3 | On Loan: No      |
| L5873282.UP.NBM                       | L5873282.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5273 | PA      | $5333.14      | 0.01%             | 2030-08-26      | Fixed         | 18.97%                | Yes           |                  3 | On Loan: No      |
| L5873302.UP.NBM                       | L5873302.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3400 | PA      | $438.36       | 0.00%             | 2028-08-26      | Fixed         | 19.37%                | Yes           |                  3 | On Loan: No      |
| L5873400.UP.NBM                       | L5873400.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1907 | PA      | $1929.88      | 0.00%             | 2030-08-26      | Fixed         | 19.09%                | Yes           |                  3 | On Loan: No      |
| L5873401.UP.NBM                       | L5873401.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9383 | PA      | $8629.50      | 0.01%             | 2030-08-26      | Fixed         | 20.49%                | Yes           |                  3 | On Loan: No      |
| 10115199.SQ.NBM                       | 10115199.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7915 | PA      | $7234.26      | 0.01%             | 2027-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10115423.SQ.NBM                       | 10115423.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4979 | PA      | $4710.19      | 0.01%             | 2027-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10115662.SQ.NBM                       | 10115662.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8258 | PA      | $7800.29      | 0.01%             | 2027-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10118197.SQ.NBM                       | 10118197.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8225 | PA      | $7847.44      | 0.01%             | 2027-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10118525.SQ.NBM                       | 10118525.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2352 | PA      | $2206.75      | 0.00%             | 2027-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10118581.SQ.NBM                       | 10118581.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9966 | PA      | $9300.59      | 0.01%             | 2027-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10118781.SQ.NBM                       | 10118781.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2178 | PA      | $2013.76      | 0.00%             | 2027-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10118831.SQ.NBM                       | 10118831.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3199 | PA      | $2999.43      | 0.00%             | 2027-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10118951.SQ.NBM                       | 10118951.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2698 | PA      | $2519.22      | 0.00%             | 2027-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10119068.SQ.NBM                       | 10119068.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13409 | PA      | $12604.83     | 0.02%             | 2027-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10119617.SQ.NBM                       | 10119617.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18288 | PA      | $17159.60     | 0.02%             | 2027-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10120210.SQ.NBM                       | 10120210.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2072 | PA      | $1956.37      | 0.00%             | 2027-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10120250.SQ.NBM                       | 10120250.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6242 | PA      | $5894.44      | 0.01%             | 2027-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10120417.SQ.NBM                       | 10120417.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9510 | PA      | $8853.20      | 0.01%             | 2027-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10120700.SQ.NBM                       | 10120700.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2746 | PA      | $2573.97      | 0.00%             | 2027-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10120769.SQ.NBM                       | 10120769.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12358 | PA      | $11657.99     | 0.02%             | 2027-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10121130.SQ.NBM                       | 10121130.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14312 | PA      | $13500.84     | 0.02%             | 2027-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10121407.SQ.NBM                       | 10121407.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6767 | PA      | $6344.98      | 0.01%             | 2027-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10122538.SQ.NBM                       | 10122538.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2684 | PA      | $2210.66      | 0.00%             | 2027-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10122596.SQ.NBM                       | 10122596.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5958 | PA      | $5630.16      | 0.01%             | 2027-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10122663.SQ.NBM                       | 10122663.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4417 | PA      | $3324.30      | 0.00%             | 2027-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10122732.SQ.NBM                       | 10122732.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21773 | PA      | $20113.41     | 0.03%             | 2027-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10123090.SQ.NBM                       | 10123090.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6071 | PA      | $5453.79      | 0.01%             | 2027-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10123203.SQ.NBM                       | 10123203.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2917 | PA      | $2584.11      | 0.00%             | 2027-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10123246.SQ.NBM                       | 10123246.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8252 | PA      | $7693.98      | 0.01%             | 2027-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10127064.SQ.NBM                       | 10127064.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8533 | PA      | $8070.91      | 0.01%             | 2027-05-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10127347.SQ.NBM                       | 10127347.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15276 | PA      | $14392.03     | 0.02%             | 2027-05-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10128411.SQ.NBM                       | 10128411.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2698 | PA      | $2501.66      | 0.00%             | 2027-05-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10128677.SQ.NBM                       | 10128677.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     25010 | PA      | $21126.90     | 0.03%             | 2027-05-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10129871.SQ.NBM                       | 10129871.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     75510 | PA      | $69985.09     | 0.10%             | 2027-05-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10132672.SQ.NBM                       | 10132672.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10054 | PA      | $9560.30      | 0.01%             | 2027-05-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10132982.SQ.NBM                       | 10132982.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1080 | PA      | $997.90       | 0.00%             | 2027-05-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341115205.UL.NBM                      | 341115205.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1424 | PA      | $1407.56      | 0.00%             | 2026-07-18      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341118402.UL.NBM                      | 341118402.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       750 | PA      | $707.90       | 0.00%             | 2026-02-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341119075.UL.NBM                      | 341119075.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        75 | PA      | $74.09        | 0.00%             | 2026-02-18      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341121410.UL.NBM                      | 341121410.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        72 | PA      | $71.32        | 0.00%             | 2026-02-18      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341125506.UL.NBM                      | 341125506.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       342 | PA      | $338.90       | 0.00%             | 2026-05-18      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341129503.UL.NBM                      | 341129503.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       278 | PA      | $274.83       | 0.00%             | 2026-05-18      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341132023.UL.NBM                      | 341132023.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       194 | PA      | $195.13       | 0.00%             | 2026-02-18      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341132379.UL.NBM                      | 341132379.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       172 | PA      | $170.85       | 0.00%             | 2026-02-18      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341138018.UL.NBM                      | 341138018.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       323 | PA      | $319.24       | 0.00%             | 2026-05-18      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341142728.UL.NBM                      | 341142728.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1298 | PA      | $1288.18      | 0.00%             | 2026-07-18      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341143334.UL.NBM                      | 341143334.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       907 | PA      | $836.31       | 0.00%             | 2026-07-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341144483.UL.NBM                      | 341144483.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       883 | PA      | $871.37       | 0.00%             | 2026-07-18      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341144716.UL.NBM                      | 341144716.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1483 | PA      | $1374.32      | 0.00%             | 2026-07-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341145362.UL.NBM                      | 341145362.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       248 | PA      | $246.93       | 0.00%             | 2026-02-18      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341147222.UL.NBM                      | 341147222.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       208 | PA      | $197.93       | 0.00%             | 2026-02-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341149941.UL.NBM                      | 341149941.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       333 | PA      | $317.40       | 0.00%             | 2026-02-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341150278.UL.NBM                      | 341150278.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       659 | PA      | $654.25       | 0.00%             | 2026-02-18      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341151270.UL.NBM                      | 341151270.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       270 | PA      | $267.00       | 0.00%             | 2026-05-18      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341151299.UL.NBM                      | 341151299.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        50 | PA      | $49.80        | 0.00%             | 2026-02-18      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341203380.UL.NBM                      | 341203380.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       916 | PA      | $857.86       | 0.00%             | 2026-05-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341204879.UL.NBM                      | 341204879.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       719 | PA      | $673.29       | 0.00%             | 2026-07-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341205670.UL.NBM                      | 341205670.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       305 | PA      | $302.99       | 0.00%             | 2026-02-19      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341206095.UL.NBM                      | 341206095.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       353 | PA      | $352.18       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341206235.UL.NBM                      | 341206235.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1517 | PA      | $1491.85      | 0.00%             | 2027-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341206277.UL.NBM                      | 341206277.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       400 | PA      | $377.65       | 0.00%             | 2026-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341206760.UL.NBM                      | 341206760.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        87 | PA      | $86.76        | 0.00%             | 2026-02-19      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341207230.UL.NBM                      | 341207230.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       122 | PA      | $121.91       | 0.00%             | 2026-02-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341207268.UL.NBM                      | 341207268.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       227 | PA      | $224.36       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341207841.UL.NBM                      | 341207841.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1088 | PA      | $1074.48      | 0.00%             | 2026-07-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341207968.UL.NBM                      | 341207968.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        59 | PA      | $58.43        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341208838.UL.NBM                      | 341208838.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       273 | PA      | $271.90       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341209201.UL.NBM                      | 341209201.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       121 | PA      | $119.70       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341209960.UL.NBM                      | 341209960.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       681 | PA      | $175.55       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341210064.UL.NBM                      | 341210064.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        65 | PA      | $64.52        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341212435.UL.NBM                      | 341212435.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1430 | PA      | $1413.39      | 0.00%             | 2026-07-19      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341213505.UL.NBM                      | 341213505.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       592 | PA      | $133.34       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341213562.UL.NBM                      | 341213562.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        99 | PA      | $98.58        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341214731.UL.NBM                      | 341214731.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       765 | PA      | $756.22       | 0.00%             | 2026-07-19      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341365361.UL.NBM                      | 341365361.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        73 | PA      | $72.09        | 0.00%             | 2026-02-19      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341365439.UL.NBM                      | 341365439.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1167 | PA      | $1153.44      | 0.00%             | 2026-07-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341365555.UL.NBM                      | 341365555.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       132 | PA      | $19.58        | 0.00%             | 2035-11-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341365592.UL.NBM                      | 341365592.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       304 | PA      | $289.02       | 0.00%             | 2026-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341367567.UL.NBM                      | 341367567.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       258 | PA      | $255.89       | 0.00%             | 2026-02-19      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341367753.UL.NBM                      | 341367753.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1423 | PA      | $1338.44      | 0.00%             | 2026-05-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341368017.UL.NBM                      | 341368017.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        37 | PA      | $36.46        | 0.00%             | 2026-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341368049.UL.NBM                      | 341368049.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       970 | PA      | $962.94       | 0.00%             | 2026-07-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341368106.UL.NBM                      | 341368106.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       101 | PA      | $100.12       | 0.00%             | 2026-02-19      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341368157.UL.NBM                      | 341368157.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       108 | PA      | $107.68       | 0.00%             | 2026-02-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341368350.UL.NBM                      | 341368350.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       267 | PA      | $254.11       | 0.00%             | 2026-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341368464.UL.NBM                      | 341368464.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       782 | PA      | $749.07       | 0.00%             | 2026-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341368558.UL.NBM                      | 341368558.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       400 | PA      | $396.23       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341369015.UL.NBM                      | 341369015.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1087 | PA      | $1004.21      | 0.00%             | 2026-07-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341370169.UL.NBM                      | 341370169.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       431 | PA      | $426.35       | 0.00%             | 2026-05-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341370660.UL.NBM                      | 341370660.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       123 | PA      | $122.26       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341371022.UL.NBM                      | 341371022.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       381 | PA      | $376.79       | 0.00%             | 2026-07-19      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341371180.UL.NBM                      | 341371180.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       145 | PA      | $144.26       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341372333.UL.NBM                      | 341372333.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        99 | PA      | $97.80        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341372335.UL.NBM                      | 341372335.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        29 | PA      | $29.14        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341372458.UL.NBM                      | 341372458.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       730 | PA      | $721.76       | 0.00%             | 2026-07-19      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341372568.UL.NBM                      | 341372568.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       324 | PA      | $323.29       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341372595.UL.NBM                      | 341372595.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $66.88        | 0.00%             | 2026-02-19      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341372837.UL.NBM                      | 341372837.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       128 | PA      | $126.77       | 0.00%             | 2026-02-19      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341373032.UL.NBM                      | 341373032.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       822 | PA      | $197.52       | 0.00%             | 2026-07-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341373120.UL.NBM                      | 341373120.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       320 | PA      | $297.70       | 0.00%             | 2026-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341373343.UL.NBM                      | 341373343.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       247 | PA      | $244.59       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341373951.UL.NBM                      | 341373951.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       724 | PA      | $668.59       | 0.00%             | 2026-07-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341374043.UL.NBM                      | 341374043.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        83 | PA      | $80.18        | 0.00%             | 2026-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341374178.UL.NBM                      | 341374178.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        98 | PA      | $97.74        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341374335.UL.NBM                      | 341374335.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       199 | PA      | $198.11       | 0.00%             | 2026-02-19      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341374393.UL.NBM                      | 341374393.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       462 | PA      | $199.82       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341374577.UL.NBM                      | 341374577.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       429 | PA      | $425.65       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341375994.UL.NBM                      | 341375994.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        99 | PA      | $98.14        | 0.00%             | 2026-02-19      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341409542.UL.NBM                      | 341409542.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       567 | PA      | $561.69       | 0.00%             | 2026-05-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341409602.UL.NBM                      | 341409602.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1667 | PA      | $1641.29      | 0.00%             | 2027-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341409729.UL.NBM                      | 341409729.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       122 | PA      | $121.06       | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341413629.UL.NBM                      | 341413629.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        80 | PA      | $79.69        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341413880.UL.NBM                      | 341413880.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2050 | PA      | $2029.06      | 0.00%             | 2026-05-20      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 341413884.UL.NBM                      | 341413884.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2634 | PA      | $2589.80      | 0.00%             | 2027-08-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341414023.UL.NBM                      | 341414023.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       190 | PA      | $188.39       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341490577.UL.NBM                      | 341490577.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1735 | PA      | $1608.94      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341490745.UL.NBM                      | 341490745.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        46 | PA      | $45.79        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341490931.UL.NBM                      | 341490931.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1563 | PA      | $1417.60      | 0.00%             | 2027-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341491076.UL.NBM                      | 341491076.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2190 | PA      | $2154.44      | 0.00%             | 2027-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341491104.UL.NBM                      | 341491104.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       931 | PA      | $441.74       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341491201.UL.NBM                      | 341491201.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        89 | PA      | $88.86        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341491220.UL.NBM                      | 341491220.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        87 | PA      | $86.80        | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341491289.UL.NBM                      | 341491289.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       116 | PA      | $115.23       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341491295.UL.NBM                      | 341491295.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        53 | PA      | $52.78        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341491327.UL.NBM                      | 341491327.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       896 | PA      | $825.50       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341491543.UL.NBM                      | 341491543.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       149 | PA      | $72.33        | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341492054.UL.NBM                      | 341492054.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        64 | PA      | $64.09        | 0.00%             | 2026-02-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341492210.UL.NBM                      | 341492210.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       347 | PA      | $27.69        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341492329.UL.NBM                      | 341492329.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       288 | PA      | $289.62       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341492429.UL.NBM                      | 341492429.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       433 | PA      | $413.31       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341492498.UL.NBM                      | 341492498.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       213 | PA      | $210.74       | 0.00%             | 2026-05-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341492628.UL.NBM                      | 341492628.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       229 | PA      | $226.16       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341492762.UL.NBM                      | 341492762.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       209 | PA      | $197.77       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341492775.UL.NBM                      | 341492775.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        85 | PA      | $84.40        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341493573.UL.NBM                      | 341493573.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       402 | PA      | $399.01       | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341493791.UL.NBM                      | 341493791.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       173 | PA      | $172.21       | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341493970.UL.NBM                      | 341493970.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       115 | PA      | $114.48       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341494377.UL.NBM                      | 341494377.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       302 | PA      | $299.09       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341494399.UL.NBM                      | 341494399.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       143 | PA      | $142.59       | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341494459.UL.NBM                      | 341494459.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        17 | PA      | $16.73        | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341495043.UL.NBM                      | 341495043.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       335 | PA      | $319.67       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341495047.UL.NBM                      | 341495047.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       110 | PA      | $109.41       | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341495173.UL.NBM                      | 341495173.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       107 | PA      | $103.32       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341551144.UL.NBM                      | 341551144.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       254 | PA      | $250.99       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341551161.UL.NBM                      | 341551161.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3021 | PA      | $2975.22      | 0.00%             | 2027-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341551163.UL.NBM                      | 341551163.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       388 | PA      | $385.29       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341551384.UL.NBM                      | 341551384.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       284 | PA      | $281.50       | 0.00%             | 2026-05-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341551461.UL.NBM                      | 341551461.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1278 | PA      | $1266.76      | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341551504.UL.NBM                      | 341551504.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       113 | PA      | $112.57       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341551732.UL.NBM                      | 341551732.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       221 | PA      | $219.13       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341551791.UL.NBM                      | 341551791.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       271 | PA      | $268.65       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341551993.UL.NBM                      | 341551993.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1218 | PA      | $1199.24      | 0.00%             | 2026-12-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341552007.UL.NBM                      | 341552007.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1094 | PA      | $1081.29      | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341552043.UL.NBM                      | 341552043.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       288 | PA      | $285.50       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342281957.UL.NBM                      | 342281957.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       177 | PA      | $166.71       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342282001.UL.NBM                      | 342282001.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        74 | PA      | $73.18        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342282031.UL.NBM                      | 342282031.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       126 | PA      | $126.90       | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342282089.UL.NBM                      | 342282089.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       506 | PA      | $111.95       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342284941.UL.NBM                      | 342284941.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       255 | PA      | $252.47       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342285190.UL.NBM                      | 342285190.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2424 | PA      | $2225.63      | 0.00%             | 2027-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342711182.UL.NBM                      | 342711182.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       160 | PA      | $159.17       | 0.00%             | 2026-02-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342711658.UL.NBM                      | 342711658.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        59 | PA      | $57.05        | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342713571.UL.NBM                      | 342713571.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1759 | PA      | $1639.84      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342714031.UL.NBM                      | 342714031.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        59 | PA      | $58.54        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342715284.UL.NBM                      | 342715284.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       381 | PA      | $362.02       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342715307.UL.NBM                      | 342715307.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        68 | PA      | $65.35        | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342716168.UL.NBM                      | 342716168.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       498 | PA      | $493.73       | 0.00%             | 2026-05-24      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342716532.UL.NBM                      | 342716532.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        40 | PA      | $39.35        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342717165.UL.NBM                      | 342717165.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       355 | PA      | $352.13       | 0.00%             | 2026-07-24      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342717886.UL.NBM                      | 342717886.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2975 | PA      | $2941.50      | 0.00%             | 2027-08-24      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342717902.UL.NBM                      | 342717902.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       147 | PA      | $146.27       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342718873.UL.NBM                      | 342718873.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        76 | PA      | $75.92        | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342718910.UL.NBM                      | 342718910.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       772 | PA      | $767.33       | 0.00%             | 2026-07-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342719429.UL.NBM                      | 342719429.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1200 | PA      | $505.86       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342721557.UL.NBM                      | 342721557.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       276 | PA      | $273.56       | 0.00%             | 2026-05-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342721808.UL.NBM                      | 342721808.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       836 | PA      | $788.57       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342722563.UL.NBM                      | 342722563.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        55 | PA      | $55.00        | 0.00%             | 2026-02-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342722596.UL.NBM                      | 342722596.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        43 | PA      | $42.82        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342723229.UL.NBM                      | 342723229.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       396 | PA      | $393.63       | 0.00%             | 2026-02-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343006219.UL.NBM                      | 343006219.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       418 | PA      | $413.74       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343016096.UL.NBM                      | 343016096.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        58 | PA      | $57.71        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343016270.UL.NBM                      | 343016270.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1034 | PA      | $1021.63      | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343016376.UL.NBM                      | 343016376.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       287 | PA      | $284.89       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343016947.UL.NBM                      | 343016947.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1527 | PA      | $1435.51      | 0.00%             | 2026-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343017083.UL.NBM                      | 343017083.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       121 | PA      | $120.63       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343018204.UL.NBM                      | 343018204.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        83 | PA      | $82.40        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343018376.UL.NBM                      | 343018376.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1153 | PA      | $1070.73      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343019046.UL.NBM                      | 343019046.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       966 | PA      | $959.84       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343019050.UL.NBM                      | 343019050.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       318 | PA      | $25.23        | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343019106.UL.NBM                      | 343019106.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       108 | PA      | $107.28       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343019276.UL.NBM                      | 343019276.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       464 | PA      | $460.18       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343019697.UL.NBM                      | 343019697.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        52 | PA      | $51.87        | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343019840.UL.NBM                      | 343019840.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1621 | PA      | $1595.41      | 0.00%             | 2027-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343019933.UL.NBM                      | 343019933.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       167 | PA      | $156.86       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343020782.UL.NBM                      | 343020782.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       257 | PA      | $254.70       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343020880.UL.NBM                      | 343020880.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1589 | PA      | $1566.70      | 0.00%             | 2027-02-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343020888.UL.NBM                      | 343020888.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       409 | PA      | $406.83       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343021534.UL.NBM                      | 343021534.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       364 | PA      | $361.03       | 0.00%             | 2026-05-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343021589.UL.NBM                      | 343021589.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       114 | PA      | $113.43       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343022372.UL.NBM                      | 343022372.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       697 | PA      | $688.23       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341287227.UL.NBM                      | 341287227.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        79 | PA      | $78.96        | 0.00%             | 2026-02-19      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341288388.UL.NBM                      | 341288388.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        89 | PA      | $88.80        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343200514.UL.NBM                      | 343200514.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       753 | PA      | $87.25        | 0.00%             | 2026-05-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343200518.UL.NBM                      | 343200518.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1030 | PA      | $1017.93      | 0.00%             | 2026-07-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343200654.UL.NBM                      | 343200654.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       111 | PA      | $112.20       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343200658.UL.NBM                      | 343200658.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        77 | PA      | $76.30        | 0.00%             | 2026-02-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341289431.UL.NBM                      | 341289431.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       196 | PA      | $193.56       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341289726.UL.NBM                      | 341289726.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       435 | PA      | $433.39       | 0.00%             | 2026-05-19      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 343200979.UL.NBM                      | 343200979.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       731 | PA      | $722.92       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343201089.UL.NBM                      | 343201089.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       115 | PA      | $114.68       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341289841.UL.NBM                      | 341289841.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       105 | PA      | $104.10       | 0.00%             | 2026-02-19      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341289997.UL.NBM                      | 341289997.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       862 | PA      | $797.66       | 0.00%             | 2026-07-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343202109.UL.NBM                      | 343202109.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       596 | PA      | $591.94       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343202116.UL.NBM                      | 343202116.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        27 | PA      | $27.10        | 0.00%             | 2026-02-26      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341290346.UL.NBM                      | 341290346.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1335 | PA      | $348.82       | 0.00%             | 2026-07-19      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341290888.UL.NBM                      | 341290888.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       225 | PA      | $223.25       | 0.00%             | 2026-02-19      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343202154.UL.NBM                      | 343202154.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       692 | PA      | $689.09       | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343202183.UL.NBM                      | 343202183.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       357 | PA      | $356.06       | 0.00%             | 2026-05-26      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341291015.UL.NBM                      | 341291015.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       107 | PA      | $106.23       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341291236.UL.NBM                      | 341291236.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       104 | PA      | $103.42       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5860486.UP.NBM                       | L5860486.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7640 | PA      | $7262.52      | 0.01%             | 2030-08-22      | Fixed         | 19.88%                | Yes           |                  3 | On Loan: No      |
| L5860513.UP.NBM                       | L5860513.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       960 | PA      | $993.26       | 0.00%             | 2030-08-22      | Fixed         | 20.41%                | Yes           |                  3 | On Loan: No      |
| 341293035.UL.NBM                      | 341293035.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       895 | PA      | $884.04       | 0.00%             | 2026-07-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341293370.UL.NBM                      | 341293370.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        43 | PA      | $42.89        | 0.00%             | 2026-02-19      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| L5860516.UP.NBM                       | L5860516.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7546 | PA      | $7047.57      | 0.01%             | 2030-08-22      | Fixed         | 18.74%                | Yes           |                  3 | On Loan: No      |
| L5860526.UP.NBM                       | L5860526.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18829 | PA      | $18013.89     | 0.02%             | 2030-08-22      | Fixed         | 26.31%                | Yes           |                  3 | On Loan: No      |
| 341294238.UL.NBM                      | 341294238.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        93 | PA      | $92.83        | 0.00%             | 2026-02-19      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341297470.UL.NBM                      | 341297470.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        66 | PA      | $65.42        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341297604.UL.NBM                      | 341297604.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        87 | PA      | $87.64        | 0.00%             | 2026-02-19      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341297634.UL.NBM                      | 341297634.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        55 | PA      | $54.37        | 0.00%             | 2026-02-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341298175.UL.NBM                      | 341298175.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       194 | PA      | $192.85       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341302041.UL.NBM                      | 341302041.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       318 | PA      | $314.88       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341302072.UL.NBM                      | 341302072.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       279 | PA      | $276.95       | 0.00%             | 2026-02-19      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341302082.UL.NBM                      | 341302082.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        51 | PA      | $50.93        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341302594.UL.NBM                      | 341302594.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       300 | PA      | $286.46       | 0.00%             | 2026-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341303324.UL.NBM                      | 341303324.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       291 | PA      | $288.15       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341303330.UL.NBM                      | 341303330.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       545 | PA      | $540.30       | 0.00%             | 2026-05-19      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341304140.UL.NBM                      | 341304140.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       202 | PA      | $36.97        | 0.00%             | 2035-11-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341304264.UL.NBM                      | 341304264.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       500 | PA      | $495.08       | 0.00%             | 2026-05-19      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341304280.UL.NBM                      | 341304280.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       236 | PA      | $233.01       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341304460.UL.NBM                      | 341304460.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       670 | PA      | $662.02       | 0.00%             | 2026-07-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341304726.UL.NBM                      | 341304726.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       293 | PA      | $290.12       | 0.00%             | 2026-05-19      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341305159.UL.NBM                      | 341305159.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       333 | PA      | $332.12       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341306331.UL.NBM                      | 341306331.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       241 | PA      | $238.52       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341306337.UL.NBM                      | 341306337.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       293 | PA      | $289.88       | 0.00%             | 2026-05-19      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341306894.UL.NBM                      | 341306894.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       222 | PA      | $220.87       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341402413.UL.NBM                      | 341402413.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       109 | PA      | $108.23       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341402436.UL.NBM                      | 341402436.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1467 | PA      | $1454.72      | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341402626.UL.NBM                      | 341402626.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       343 | PA      | $327.40       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341402722.UL.NBM                      | 341402722.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        94 | PA      | $93.08        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341453335.UL.NBM                      | 341453335.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       101 | PA      | $100.66       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341453337.UL.NBM                      | 341453337.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        54 | PA      | $11.57        | 0.00%             | 2035-11-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341453343.UL.NBM                      | 341453343.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       200 | PA      | $198.62       | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341453405.UL.NBM                      | 341453405.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       212 | PA      | $80.15        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341456962.UL.NBM                      | 341456962.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       637 | PA      | $628.92       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341457682.UL.NBM                      | 341457682.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       176 | PA      | $174.65       | 0.00%             | 2026-05-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341458079.UL.NBM                      | 341458079.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        63 | PA      | $62.20        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341458228.UL.NBM                      | 341458228.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        44 | PA      | $43.56        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341458232.UL.NBM                      | 341458232.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       951 | PA      | $943.88       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341462927.UL.NBM                      | 341462927.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       216 | PA      | $214.37       | 0.00%             | 2026-05-20      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341462959.UL.NBM                      | 341462959.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        76 | PA      | $76.01        | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341463028.UL.NBM                      | 341463028.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       245 | PA      | $243.05       | 0.00%             | 2026-05-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341463121.UL.NBM                      | 341463121.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        49 | PA      | $48.83        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341479001.UL.NBM                      | 341479001.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       229 | PA      | $227.28       | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341479074.UL.NBM                      | 341479074.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       238 | PA      | $235.79       | 0.00%             | 2026-05-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341479178.UL.NBM                      | 341479178.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       326 | PA      | $310.05       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341479244.UL.NBM                      | 341479244.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        53 | PA      | $51.30        | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341484834.UL.NBM                      | 341484834.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       176 | PA      | $175.22       | 0.00%             | 2026-05-30      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341485130.UL.NBM                      | 341485130.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       205 | PA      | $203.74       | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341485157.UL.NBM                      | 341485157.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       181 | PA      | $179.35       | 0.00%             | 2026-05-20      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341485274.UL.NBM                      | 341485274.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       238 | PA      | $237.31       | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341485701.UL.NBM                      | 341485701.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        78 | PA      | $77.30        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341485714.UL.NBM                      | 341485714.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       649 | PA      | $638.92       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341486151.UL.NBM                      | 341486151.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       263 | PA      | $261.62       | 0.00%             | 2026-02-20      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341486274.UL.NBM                      | 341486274.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       152 | PA      | $152.02       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341511523.UL.NBM                      | 341511523.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       958 | PA      | $889.64       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341511526.UL.NBM                      | 341511526.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       107 | PA      | $106.36       | 0.00%             | 2026-02-20      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 341511779.UL.NBM                      | 341511779.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       262 | PA      | $248.46       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341511943.UL.NBM                      | 341511943.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2542 | PA      | $2512.51      | 0.00%             | 2027-08-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341513004.UL.NBM                      | 341513004.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       319 | PA      | $317.37       | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341513010.UL.NBM                      | 341513010.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       175 | PA      | $172.96       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341513053.UL.NBM                      | 341513053.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       101 | PA      | $100.42       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341513169.UL.NBM                      | 341513169.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3370 | PA      | $3339.36      | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341513256.UL.NBM                      | 341513256.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       152 | PA      | $151.00       | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341513485.UL.NBM                      | 341513485.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       703 | PA      | $694.96       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341514666.UL.NBM                      | 341514666.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       153 | PA      | $151.78       | 0.00%             | 2026-02-20      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341514866.UL.NBM                      | 341514866.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       778 | PA      | $768.33       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341515015.UL.NBM                      | 341515015.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        79 | PA      | $78.80        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341515076.UL.NBM                      | 341515076.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        81 | PA      | $80.84        | 0.00%             | 2026-02-20      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341515264.UL.NBM                      | 341515264.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       356 | PA      | $351.65       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341515565.UL.NBM                      | 341515565.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        79 | PA      | $78.27        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341516237.UL.NBM                      | 341516237.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        76 | PA      | $75.63        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341516246.UL.NBM                      | 341516246.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       287 | PA      | $285.36       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341516304.UL.NBM                      | 341516304.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       781 | PA      | $771.49       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341516401.UL.NBM                      | 341516401.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       110 | PA      | $109.38       | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341516403.UL.NBM                      | 341516403.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       184 | PA      | $183.28       | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341516561.UL.NBM                      | 341516561.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1004 | PA      | $945.70       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341516888.UL.NBM                      | 341516888.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       607 | PA      | $601.21       | 0.00%             | 2026-05-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341516940.UL.NBM                      | 341516940.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       263 | PA      | $259.91       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341517041.UL.NBM                      | 341517041.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       999 | PA      | $515.03       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341517078.UL.NBM                      | 341517078.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        96 | PA      | $95.82        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341517551.UL.NBM                      | 341517551.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        37 | PA      | $36.71        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341517639.UL.NBM                      | 341517639.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       155 | PA      | $154.20       | 0.00%             | 2026-02-20      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341517845.UL.NBM                      | 341517845.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        91 | PA      | $90.80        | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341518784.UL.NBM                      | 341518784.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       512 | PA      | $507.12       | 0.00%             | 2026-05-20      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 341518921.UL.NBM                      | 341518921.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1745 | PA      | $1634.02      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341519111.UL.NBM                      | 341519111.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       330 | PA      | $326.65       | 0.00%             | 2026-05-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341519188.UL.NBM                      | 341519188.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1260 | PA      | $1165.52      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341519222.UL.NBM                      | 341519222.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       146 | PA      | $145.44       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341519261.UL.NBM                      | 341519261.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        32 | PA      | $31.91        | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341541906.UL.NBM                      | 341541906.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        53 | PA      | $52.28        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341542003.UL.NBM                      | 341542003.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $66.30        | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341542033.UL.NBM                      | 341542033.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       749 | PA      | $740.06       | 0.00%             | 2026-07-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341542228.UL.NBM                      | 341542228.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       371 | PA      | $366.94       | 0.00%             | 2026-05-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341570491.UL.NBM                      | 341570491.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       653 | PA      | $651.41       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341570511.UL.NBM                      | 341570511.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1565 | PA      | $1549.48      | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341570599.UL.NBM                      | 341570599.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       406 | PA      | $386.86       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341570752.UL.NBM                      | 341570752.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       456 | PA      | $453.10       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341570788.UL.NBM                      | 341570788.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       102 | PA      | $101.00       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341571244.UL.NBM                      | 341571244.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       801 | PA      | $791.48       | 0.00%             | 2026-07-21      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341571277.UL.NBM                      | 341571277.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       331 | PA      | $330.37       | 0.00%             | 2026-02-21      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341571289.UL.NBM                      | 341571289.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2792 | PA      | $2760.01      | 0.00%             | 2026-07-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341571359.UL.NBM                      | 341571359.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        71 | PA      | $70.85        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341571364.UL.NBM                      | 341571364.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       681 | PA      | $627.67       | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341571401.UL.NBM                      | 341571401.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       924 | PA      | $851.60       | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341571417.UL.NBM                      | 341571417.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       132 | PA      | $130.33       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341571435.UL.NBM                      | 341571435.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       122 | PA      | $121.31       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341581455.UL.NBM                      | 341581455.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        75 | PA      | $72.11        | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341581626.UL.NBM                      | 341581626.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       544 | PA      | $538.38       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341582138.UL.NBM                      | 341582138.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       601 | PA      | $599.93       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341582231.UL.NBM                      | 341582231.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       191 | PA      | $189.57       | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341582260.UL.NBM                      | 341582260.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       882 | PA      | $884.23       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341582355.UL.NBM                      | 341582355.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       300 | PA      | $298.78       | 0.00%             | 2026-02-21      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341582420.UL.NBM                      | 341582420.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       277 | PA      | $275.99       | 0.00%             | 2026-05-21      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341582667.UL.NBM                      | 341582667.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1212 | PA      | $1198.79      | 0.00%             | 2026-07-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341582739.UL.NBM                      | 341582739.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       372 | PA      | $368.38       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341582767.UL.NBM                      | 341582767.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1445 | PA      | $1428.65      | 0.00%             | 2026-07-21      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341582927.UL.NBM                      | 341582927.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        84 | PA      | $83.11        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341583287.UL.NBM                      | 341583287.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1056 | PA      | $1042.88      | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341583335.UL.NBM                      | 341583335.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       608 | PA      | $604.40       | 0.00%             | 2026-05-21      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341583344.UL.NBM                      | 341583344.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       349 | PA      | $347.83       | 0.00%             | 2026-02-21      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341583352.UL.NBM                      | 341583352.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2790 | PA      | $2778.45      | 0.00%             | 2026-05-21      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| FW5873342.UP.NBM                      | FW5873342.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9488 | PA      | $9885.42      | 0.01%             | 2030-08-26      | Fixed         | 28.22%                | Yes           |                  3 | On Loan: No      |
| FW5873387.UP.NBM                      | FW5873387.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3294 | PA      | $3297.87      | 0.00%             | 2030-08-26      | Fixed         | 29.04%                | Yes           |                  3 | On Loan: No      |
| FW5873449.UP.NBM                      | FW5873449.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8434 | PA      | $8521.70      | 0.01%             | 2030-08-26      | Fixed         | 29.65%                | Yes           |                  3 | On Loan: No      |
| FW5873457.UP.NBM                      | FW5873457.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3166 | PA      | $3244.60      | 0.00%             | 2030-08-26      | Fixed         | 30.73%                | Yes           |                  3 | On Loan: No      |
| FW5873461.UP.NBM                      | FW5873461.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3274 | PA      | $3258.46      | 0.00%             | 2030-08-26      | Fixed         | 28.79%                | Yes           |                  3 | On Loan: No      |
| FW5873473.UP.NBM                      | FW5873473.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1555 | PA      | $1629.03      | 0.00%             | 2030-08-26      | Fixed         | 32.09%                | Yes           |                  3 | On Loan: No      |
| FW5873475.UP.NBM                      | FW5873475.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5523 | PA      | $5512.14      | 0.01%             | 2030-08-26      | Fixed         | 28.84%                | Yes           |                  3 | On Loan: No      |
| FW5873489.UP.NBM                      | FW5873489.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5865 | PA      | $5986.65      | 0.01%             | 2030-08-26      | Fixed         | 30.26%                | Yes           |                  3 | On Loan: No      |
| FW5873494.UP.NBM                      | FW5873494.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1010 | PA      | $954.86       | 0.00%             | 2028-08-26      | Fixed         | 25.77%                | Yes           |                  3 | On Loan: No      |
| FW5873499.UP.NBM                      | FW5873499.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1067 | PA      | $1084.70      | 0.00%             | 2030-08-26      | Fixed         | 30.07%                | Yes           |                  3 | On Loan: No      |
| FW5873510.UP.NBM                      | FW5873510.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1649 | PA      | $1673.45      | 0.00%             | 2030-08-26      | Fixed         | 29.96%                | Yes           |                  3 | On Loan: No      |
| FW5873511.UP.NBM                      | FW5873511.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3965 | PA      | $3710.52      | 0.01%             | 2028-08-26      | Fixed         | 24.43%                | Yes           |                  3 | On Loan: No      |
| FW5873517.UP.NBM                      | FW5873517.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3687 | PA      | $3772.41      | 0.01%             | 2030-08-26      | Fixed         | 30.49%                | Yes           |                  3 | On Loan: No      |
| FW5873525.UP.NBM                      | FW5873525.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2662 | PA      | $2617.52      | 0.00%             | 2028-08-26      | Fixed         | 29.67%                | Yes           |                  3 | On Loan: No      |
| FW5873526.UP.NBM                      | FW5873526.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2132 | PA      | $1987.72      | 0.00%             | 2030-08-26      | Fixed         | 18.44%                | Yes           |                  3 | On Loan: No      |
| FW5873545.UP.NBM                      | FW5873545.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5564 | PA      | $5519.95      | 0.01%             | 2030-08-26      | Fixed         | 28.59%                | Yes           |                  3 | On Loan: No      |
| FW5873551.UP.NBM                      | FW5873551.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3384 | PA      | $3270.30      | 0.00%             | 2030-08-26      | Fixed         | 26.74%                | Yes           |                  3 | On Loan: No      |
| FW5873601.UP.NBM                      | FW5873601.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1063 | PA      | $1018.37      | 0.00%             | 2030-08-26      | Fixed         | 26.18%                | Yes           |                  3 | On Loan: No      |
| FW5873607.UP.NBM                      | FW5873607.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1153 | PA      | $1071.52      | 0.00%             | 2030-08-26      | Fixed         | 20.97%                | Yes           |                  3 | On Loan: No      |
| L5858342.UP.NBM                       | L5858342.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6077 | PA      | $5887.16      | 0.01%             | 2030-08-22      | Fixed         | 16.44%                | Yes           |                  3 | On Loan: No      |
| L5858356.UP.NBM                       | L5858356.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2376 | PA      | $2276.69      | 0.00%             | 2030-08-22      | Fixed         | 23.12%                | Yes           |                  3 | On Loan: No      |
| L5858368.UP.NBM                       | L5858368.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2408 | PA      | $2313.76      | 0.00%             | 2030-08-22      | Fixed         | 23.14%                | Yes           |                  3 | On Loan: No      |
| L5858373.UP.NBM                       | L5858373.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1002 | PA      | $950.87       | 0.00%             | 2028-08-22      | Fixed         | 16.06%                | Yes           |                  3 | On Loan: No      |
| L5858380.UP.NBM                       | L5858380.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11411 | PA      | $10342.17     | 0.01%             | 2030-08-22      | Fixed         | 12.40%                | Yes           |                  3 | On Loan: No      |
| L5858389.UP.NBM                       | L5858389.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1349 | PA      | $1295.69      | 0.00%             | 2030-08-22      | Fixed         | 23.14%                | Yes           |                  3 | On Loan: No      |
| L5858396.UP.NBM                       | L5858396.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2339 | PA      | $2340.65      | 0.00%             | 2030-08-22      | Fixed         | 25.98%                | Yes           |                  3 | On Loan: No      |
| L5858421.UP.NBM                       | L5858421.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3416 | PA      | $2689.73      | 0.00%             | 2030-08-22      | Fixed         | 22.92%                | Yes           |                  3 | On Loan: No      |
| L5858424.UP.NBM                       | L5858424.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21299 | PA      | $19815.84     | 0.03%             | 2030-08-22      | Fixed         | 21.32%                | Yes           |                  3 | On Loan: No      |
| L5858426.UP.NBM                       | L5858426.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     20282 | PA      | $20378.22     | 0.03%             | 2030-08-22      | Fixed         | 18.80%                | Yes           |                  3 | On Loan: No      |
| L5858440.UP.NBM                       | L5858440.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1736 | PA      | $1428.46      | 0.00%             | 2030-08-22      | Fixed         | 23.80%                | Yes           |                  3 | On Loan: No      |
| L5858448.UP.NBM                       | L5858448.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3786 | PA      | $3661.59      | 0.01%             | 2030-08-22      | Fixed         | 16.38%                | Yes           |                  3 | On Loan: No      |
| L5858449.UP.NBM                       | L5858449.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5297 | PA      | $5704.91      | 0.01%             | 2030-08-22      | Fixed         | 22.96%                | Yes           |                  3 | On Loan: No      |
| L5858470.UP.NBM                       | L5858470.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2993 | PA      | $2860.95      | 0.00%             | 2028-08-22      | Fixed         | 16.80%                | Yes           |                  3 | On Loan: No      |
| L5858485.UP.NBM                       | L5858485.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5051 | PA      | $4725.43      | 0.01%             | 2030-08-22      | Fixed         | 14.34%                | Yes           |                  3 | On Loan: No      |
| L5858498.UP.NBM                       | L5858498.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5736 | PA      | $5461.36      | 0.01%             | 2030-08-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| L5858501.UP.NBM                       | L5858501.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1680 | PA      | $1661.60      | 0.00%             | 2030-08-22      | Fixed         | 22.42%                | Yes           |                  3 | On Loan: No      |
| L5858535.UP.NBM                       | L5858535.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9618 | PA      | $9433.93      | 0.01%             | 2030-08-22      | Fixed         | 21.73%                | Yes           |                  3 | On Loan: No      |
| L5858542.UP.NBM                       | L5858542.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2874 | PA      | $2870.34      | 0.00%             | 2030-08-22      | Fixed         | 18.25%                | Yes           |                  3 | On Loan: No      |
| L5858558.UP.NBM                       | L5858558.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2463 | PA      | $2356.13      | 0.00%             | 2028-08-22      | Fixed         | 16.76%                | Yes           |                  3 | On Loan: No      |
| L5858571.UP.NBM                       | L5858571.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8509 | PA      | $8276.15      | 0.01%             | 2030-08-22      | Fixed         | 16.63%                | Yes           |                  3 | On Loan: No      |
| L5858584.UP.NBM                       | L5858584.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7400 | PA      | $7084.80      | 0.01%             | 2030-08-22      | Fixed         | 12.61%                | Yes           |                  3 | On Loan: No      |
| L5858599.UP.NBM                       | L5858599.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6256 | PA      | $5945.55      | 0.01%             | 2030-08-22      | Fixed         | 22.45%                | Yes           |                  3 | On Loan: No      |
| L5858609.UP.NBM                       | L5858609.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2201 | PA      | $2161.92      | 0.00%             | 2030-08-22      | Fixed         | 17.24%                | Yes           |                  3 | On Loan: No      |
| L5858610.UP.NBM                       | L5858610.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5131 | PA      | $5125.52      | 0.01%             | 2028-08-22      | Fixed         | 21.01%                | Yes           |                  3 | On Loan: No      |
| L5858614.UP.NBM                       | L5858614.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1623 | PA      | $1622.74      | 0.00%             | 2030-08-22      | Fixed         | 18.41%                | Yes           |                  3 | On Loan: No      |
| L5858646.UP.NBM                       | L5858646.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2887 | PA      | $2739.91      | 0.00%             | 2030-08-22      | Fixed         | 22.36%                | Yes           |                  3 | On Loan: No      |
| L5858655.UP.NBM                       | L5858655.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21952 | PA      | $20947.83     | 0.03%             | 2030-08-22      | Fixed         | 22.71%                | Yes           |                  3 | On Loan: No      |
| L5865791.UP.NBM                       | L5865791.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     28068 | PA      | $27269.63     | 0.04%             | 2030-08-25      | Fixed         | 20.94%                | Yes           |                  3 | On Loan: No      |
| L5865803.UP.NBM                       | L5865803.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4504 | PA      | $4257.65      | 0.01%             | 2030-08-25      | Fixed         | 25.49%                | Yes           |                  3 | On Loan: No      |
| L5865891.UP.NBM                       | L5865891.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1051 | PA      | $1016.66      | 0.00%             | 2030-08-25      | Fixed         | 16.32%                | Yes           |                  3 | On Loan: No      |
| L5865948.UP.NBM                       | L5865948.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1006 | PA      | $934.76       | 0.00%             | 2028-08-25      | Fixed         | 18.63%                | Yes           |                  3 | On Loan: No      |
| L5866762.UP.NBM                       | L5866762.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2554 | PA      | $2442.60      | 0.00%             | 2028-08-25      | Fixed         | 16.78%                | Yes           |                  3 | On Loan: No      |
| L5866775.UP.NBM                       | L5866775.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21868 | PA      | $20662.35     | 0.03%             | 2030-08-25      | Fixed         | 19.32%                | Yes           |                  3 | On Loan: No      |
| L5866788.UP.NBM                       | L5866788.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6461 | PA      | $6203.66      | 0.01%             | 2030-08-25      | Fixed         | 23.08%                | Yes           |                  3 | On Loan: No      |
| L5866802.UP.NBM                       | L5866802.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3192 | PA      | $3055.52      | 0.00%             | 2028-08-25      | Fixed         | 16.75%                | Yes           |                  3 | On Loan: No      |
| L5866806.UP.NBM                       | L5866806.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1637 | PA      | $1573.18      | 0.00%             | 2030-08-25      | Fixed         | 23.07%                | Yes           |                  3 | On Loan: No      |
| L5866880.UP.NBM                       | L5866880.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1712 | PA      | $1603.31      | 0.00%             | 2030-08-25      | Fixed         | 21.67%                | Yes           |                  3 | On Loan: No      |
| L5866882.UP.NBM                       | L5866882.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1056 | PA      | $1012.37      | 0.00%             | 2030-08-25      | Fixed         | 20.22%                | Yes           |                  3 | On Loan: No      |
| L5867897.UP.NBM                       | L5867897.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     31294 | PA      | $29737.35     | 0.04%             | 2030-08-25      | Fixed         | 19.84%                | Yes           |                  3 | On Loan: No      |
| L5867931.UP.NBM                       | L5867931.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4291 | PA      | $4036.68      | 0.01%             | 2030-08-25      | Fixed         | 14.59%                | Yes           |                  3 | On Loan: No      |
| L5867941.UP.NBM                       | L5867941.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1155 | PA      | $1235.89      | 0.00%             | 2030-08-25      | Fixed         | 22.49%                | Yes           |                  3 | On Loan: No      |
| L5868013.UP.NBM                       | L5868013.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2260 | PA      | $2170.25      | 0.00%             | 2030-08-25      | Fixed         | 23.22%                | Yes           |                  3 | On Loan: No      |
| L5868069.UP.NBM                       | L5868069.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16236 | PA      | $15581.61     | 0.02%             | 2030-08-25      | Fixed         | 15.79%                | Yes           |                  3 | On Loan: No      |
| L5868087.UP.NBM                       | L5868087.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17423 | PA      | $17262.06     | 0.02%             | 2030-08-25      | Fixed         | 17.72%                | Yes           |                  3 | On Loan: No      |
| L5868146.UP.NBM                       | L5868146.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     24168 | PA      | $24130.89     | 0.03%             | 2030-08-25      | Fixed         | 22.80%                | Yes           |                  3 | On Loan: No      |
| L5868234.UP.NBM                       | L5868234.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3123 | PA      | $3047.86      | 0.00%             | 2030-08-25      | Fixed         | 21.51%                | Yes           |                  3 | On Loan: No      |
| L5868475.UP.NBM                       | L5868475.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2881 | PA      | $2774.24      | 0.00%             | 2030-08-25      | Fixed         | 20.50%                | Yes           |                  3 | On Loan: No      |
| L5868660.UP.NBM                       | L5868660.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2687 | PA      | $2557.60      | 0.00%             | 2030-08-25      | Fixed         | 19.78%                | Yes           |                  3 | On Loan: No      |
| L5869095.UP.NBM                       | L5869095.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8961 | PA      | $8322.68      | 0.01%             | 2028-08-25      | Fixed         | 18.58%                | Yes           |                  3 | On Loan: No      |
| L5869275.UP.NBM                       | L5869275.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2560 | PA      | $2449.95      | 0.00%             | 2030-08-25      | Fixed         | 15.70%                | Yes           |                  3 | On Loan: No      |
| L5869460.UP.NBM                       | L5869460.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2878 | PA      | $2733.74      | 0.00%             | 2030-08-25      | Fixed         | 19.64%                | Yes           |                  3 | On Loan: No      |
| L5869574.UP.NBM                       | L5869574.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2397 | PA      | $2427.48      | 0.00%             | 2030-08-25      | Fixed         | 19.06%                | Yes           |                  3 | On Loan: No      |
| L5869918.UP.NBM                       | L5869918.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     40377 | PA      | $37750.22     | 0.05%             | 2030-08-26      | Fixed         | 21.35%                | Yes           |                  3 | On Loan: No      |
| L5870236.UP.NBM                       | L5870236.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3884 | PA      | $3590.82      | 0.00%             | 2030-08-25      | Fixed         | 20.62%                | Yes           |                  3 | On Loan: No      |
| L5870309.UP.NBM                       | L5870309.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10579 | PA      | $10385.18     | 0.01%             | 2030-08-25      | Fixed         | 21.72%                | Yes           |                  3 | On Loan: No      |
| L5870380.UP.NBM                       | L5870380.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4320 | PA      | $4133.07      | 0.01%             | 2030-08-25      | Fixed         | 20.10%                | Yes           |                  3 | On Loan: No      |
| L5870388.UP.NBM                       | L5870388.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4329 | PA      | $4091.66      | 0.01%             | 2030-08-25      | Fixed         | 22.04%                | Yes           |                  3 | On Loan: No      |
| L5870407.UP.NBM                       | L5870407.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1251 | PA      | $1236.01      | 0.00%             | 2030-08-25      | Fixed         | 22.13%                | Yes           |                  3 | On Loan: No      |
| L5870421.UP.NBM                       | L5870421.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     32332 | PA      | $30483.42     | 0.04%             | 2030-08-25      | Fixed         | 14.80%                | Yes           |                  3 | On Loan: No      |
| L5870427.UP.NBM                       | L5870427.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1003 | PA      | $955.78       | 0.00%             | 2028-08-25      | Fixed         | 16.36%                | Yes           |                  3 | On Loan: No      |
| L5870444.UP.NBM                       | L5870444.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5545 | PA      | $5348.95      | 0.01%             | 2030-08-25      | Fixed         | 16.06%                | Yes           |                  3 | On Loan: No      |
| L5870462.UP.NBM                       | L5870462.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3074 | PA      | $2940.54      | 0.00%             | 2028-08-25      | Fixed         | 13.53%                | Yes           |                  3 | On Loan: No      |
| 341418561.UL.NBM                      | 341418561.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       218 | PA      | $216.19       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341419257.UL.NBM                      | 341419257.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       286 | PA      | $283.05       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341419357.UL.NBM                      | 341419357.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       140 | PA      | $139.03       | 0.00%             | 2026-02-20      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341420581.UL.NBM                      | 341420581.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       263 | PA      | $260.65       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341421001.UL.NBM                      | 341421001.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        37 | PA      | $36.55        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341421089.UL.NBM                      | 341421089.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       110 | PA      | $109.14       | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341423213.UL.NBM                      | 341423213.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        86 | PA      | $85.43        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341425325.UL.NBM                      | 341425325.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       375 | PA      | $371.98       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341425607.UL.NBM                      | 341425607.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       217 | PA      | $205.67       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341425810.UL.NBM                      | 341425810.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1332 | PA      | $1319.82      | 0.00%             | 2026-05-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341425826.UL.NBM                      | 341425826.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       320 | PA      | $321.52       | 0.00%             | 2026-05-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341426707.UL.NBM                      | 341426707.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1690 | PA      | $1669.17      | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341427578.UL.NBM                      | 341427578.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       284 | PA      | $282.02       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341428504.UL.NBM                      | 341428504.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1076 | PA      | $1082.58      | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341429354.UL.NBM                      | 341429354.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       234 | PA      | $231.33       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341552115.UL.NBM                      | 341552115.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       296 | PA      | $292.58       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341552200.UL.NBM                      | 341552200.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       266 | PA      | $263.23       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341552245.UL.NBM                      | 341552245.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        58 | PA      | $57.99        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341552434.UL.NBM                      | 341552434.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1101 | PA      | $1088.48      | 0.00%             | 2026-07-20      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341552577.UL.NBM                      | 341552577.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2266 | PA      | $2121.86      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341552876.UL.NBM                      | 341552876.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        69 | PA      | $68.45        | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341552881.UL.NBM                      | 341552881.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       855 | PA      | $787.29       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341552952.UL.NBM                      | 341552952.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       299 | PA      | $296.99       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341553530.UL.NBM                      | 341553530.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       133 | PA      | $128.16       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341553557.UL.NBM                      | 341553557.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       125 | PA      | $124.74       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341553754.UL.NBM                      | 341553754.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       803 | PA      | $792.91       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341554082.UL.NBM                      | 341554082.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       500 | PA      | $473.17       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341554496.UL.NBM                      | 341554496.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       131 | PA      | $129.64       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341554536.UL.NBM                      | 341554536.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1065 | PA      | $988.83       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341554788.UL.NBM                      | 341554788.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       427 | PA      | $422.71       | 0.00%             | 2026-05-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341555062.UL.NBM                      | 341555062.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1543 | PA      | $1517.80      | 0.00%             | 2027-08-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341555147.UL.NBM                      | 341555147.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1029 | PA      | $1033.53      | 0.00%             | 2026-07-20      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341555189.UL.NBM                      | 341555189.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1924 | PA      | $1785.49      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341555271.UL.NBM                      | 341555271.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       101 | PA      | $100.18       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341555279.UL.NBM                      | 341555279.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       971 | PA      | $895.64       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10012120.SQ.NBM                       | 10012120.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16533 | PA      | $15599.17     | 0.02%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10012568.SQ.NBM                       | 10012568.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7479 | PA      | $7087.84      | 0.01%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10012871.SQ.NBM                       | 10012871.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4785 | PA      | $4533.92      | 0.01%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343072263.UL.NBM                      | 343072263.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       183 | PA      | $171.92       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343072298.UL.NBM                      | 343072298.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       288 | PA      | $285.85       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343072353.UL.NBM                      | 343072353.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $66.90        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343072414.UL.NBM                      | 343072414.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       205 | PA      | $203.75       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343093033.UL.NBM                      | 343093033.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        63 | PA      | $60.84        | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343093414.UL.NBM                      | 343093414.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       239 | PA      | $236.38       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343093618.UL.NBM                      | 343093618.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        47 | PA      | $46.69        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343093962.UL.NBM                      | 343093962.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1338 | PA      | $427.21       | 0.00%             | 2026-07-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343152647.UL.NBM                      | 343152647.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       253 | PA      | $60.74        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343153197.UL.NBM                      | 343153197.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       927 | PA      | $858.27       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343153617.UL.NBM                      | 343153617.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       862 | PA      | $797.31       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343153846.UL.NBM                      | 343153846.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       872 | PA      | $862.12       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343153891.UL.NBM                      | 343153891.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       272 | PA      | $270.59       | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343154015.UL.NBM                      | 343154015.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2137 | PA      | $1994.66      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343154228.UL.NBM                      | 343154228.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3904 | PA      | $3848.26      | 0.01%             | 2027-02-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343154512.UL.NBM                      | 343154512.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       604 | PA      | $559.97       | 0.00%             | 2026-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343154589.UL.NBM                      | 343154589.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       317 | PA      | $314.01       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343154624.UL.NBM                      | 343154624.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       232 | PA      | $230.04       | 0.00%             | 2026-05-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343154838.UL.NBM                      | 343154838.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       325 | PA      | $321.99       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343169600.UL.NBM                      | 343169600.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       305 | PA      | $302.22       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343169668.UL.NBM                      | 343169668.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       414 | PA      | $412.08       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343169761.UL.NBM                      | 343169761.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       725 | PA      | $720.74       | 0.00%             | 2026-05-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343171204.UL.NBM                      | 343171204.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       557 | PA      | $552.34       | 0.00%             | 2026-05-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343171209.UL.NBM                      | 343171209.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2878 | PA      | $2845.67      | 0.00%             | 2027-08-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343171479.UL.NBM                      | 343171479.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       253 | PA      | $250.82       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343171712.UL.NBM                      | 343171712.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       223 | PA      | $221.56       | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343172031.UL.NBM                      | 343172031.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       238 | PA      | $224.79       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343172594.UL.NBM                      | 343172594.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        65 | PA      | $62.76        | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343172649.UL.NBM                      | 343172649.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2740 | PA      | $2695.39      | 0.00%             | 2027-08-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343173251.UL.NBM                      | 343173251.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        60 | PA      | $59.96        | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343173327.UL.NBM                      | 343173327.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       267 | PA      | $265.16       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343173364.UL.NBM                      | 343173364.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       140 | PA      | $139.51       | 0.00%             | 2026-05-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343173375.UL.NBM                      | 343173375.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       181 | PA      | $181.27       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342648169.UL.NBM                      | 342648169.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       159 | PA      | $158.39       | 0.00%             | 2026-02-24      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 342648176.UL.NBM                      | 342648176.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       453 | PA      | $438.18       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343173985.UL.NBM                      | 343173985.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        74 | PA      | $73.70        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343174015.UL.NBM                      | 343174015.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       491 | PA      | $488.24       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343174030.UL.NBM                      | 343174030.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       419 | PA      | $417.00       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343174044.UL.NBM                      | 343174044.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       386 | PA      | $385.64       | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342648197.UL.NBM                      | 342648197.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       534 | PA      | $531.09       | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342648229.UL.NBM                      | 342648229.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       231 | PA      | $229.27       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343174251.UL.NBM                      | 343174251.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8726 | PA      | $8585.78      | 0.01%             | 2027-08-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343175008.UL.NBM                      | 343175008.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2738 | PA      | $2573.60      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342648288.UL.NBM                      | 342648288.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       274 | PA      | $271.29       | 0.00%             | 2026-05-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342648426.UL.NBM                      | 342648426.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       442 | PA      | $98.62        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343175027.UL.NBM                      | 343175027.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1179 | PA      | $1165.46      | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343175058.UL.NBM                      | 343175058.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        59 | PA      | $59.18        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342648615.UL.NBM                      | 342648615.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        53 | PA      | $52.32        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342648622.UL.NBM                      | 342648622.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2315 | PA      | $2282.38      | 0.00%             | 2027-02-24      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343175240.UL.NBM                      | 343175240.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1365 | PA      | $1350.85      | 0.00%             | 2026-07-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343177332.UL.NBM                      | 343177332.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       418 | PA      | $25.17        | 0.00%             | 2035-11-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342648658.UL.NBM                      | 342648658.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       171 | PA      | $169.62       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342648670.UL.NBM                      | 342648670.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       450 | PA      | $445.67       | 0.00%             | 2026-05-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343177420.UL.NBM                      | 343177420.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       989 | PA      | $994.38       | 0.00%             | 2026-07-26      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 343177425.UL.NBM                      | 343177425.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       364 | PA      | $362.88       | 0.00%             | 2026-02-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342648718.UL.NBM                      | 342648718.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       117 | PA      | $116.24       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342649009.UL.NBM                      | 342649009.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        82 | PA      | $81.56        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343177430.UL.NBM                      | 343177430.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2086 | PA      | $236.95       | 0.00%             | 2026-07-26      | Fixed         | 25.99%                | Yes           |                  3 | On Loan: No      |
| 343178960.UL.NBM                      | 343178960.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       188 | PA      | $186.23       | 0.00%             | 2026-05-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342649017.UL.NBM                      | 342649017.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       419 | PA      | $415.25       | 0.00%             | 2026-05-24      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342649102.UL.NBM                      | 342649102.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        83 | PA      | $82.75        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343179038.UL.NBM                      | 343179038.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1549 | PA      | $1524.61      | 0.00%             | 2027-02-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343179058.UL.NBM                      | 343179058.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       443 | PA      | $439.47       | 0.00%             | 2026-05-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343179106.UL.NBM                      | 343179106.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        81 | PA      | $80.34        | 0.00%             | 2026-02-26      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 343187481.UL.NBM                      | 343187481.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1751 | PA      | $1632.50      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342649118.UL.NBM                      | 342649118.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       373 | PA      | $370.23       | 0.00%             | 2026-05-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342649276.UL.NBM                      | 342649276.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       189 | PA      | $187.66       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343187538.UL.NBM                      | 343187538.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       717 | PA      | $112.12       | 0.00%             | 2035-11-30      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343187610.UL.NBM                      | 343187610.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1525 | PA      | $1509.33      | 0.00%             | 2027-02-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342649304.UL.NBM                      | 342649304.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        77 | PA      | $76.81        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342649406.UL.NBM                      | 342649406.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1284 | PA      | $1194.13      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343187622.UL.NBM                      | 343187622.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1730 | PA      | $1704.51      | 0.00%             | 2027-02-26      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343187956.UL.NBM                      | 343187956.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       208 | PA      | $207.72       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342649433.UL.NBM                      | 342649433.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        42 | PA      | $41.61        | 0.00%             | 2026-02-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342649471.UL.NBM                      | 342649471.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       499 | PA      | $496.38       | 0.00%             | 2026-02-24      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343187981.UL.NBM                      | 343187981.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       405 | PA      | $401.20       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343188055.UL.NBM                      | 343188055.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       174 | PA      | $172.90       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342649557.UL.NBM                      | 342649557.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2024 | PA      | $2006.10      | 0.00%             | 2026-05-24      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342649565.UL.NBM                      | 342649565.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        82 | PA      | $82.00        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343188074.UL.NBM                      | 343188074.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       914 | PA      | $905.72       | 0.00%             | 2026-07-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343188287.UL.NBM                      | 343188287.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       293 | PA      | $290.96       | 0.00%             | 2026-05-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342658045.UL.NBM                      | 342658045.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       446 | PA      | $443.09       | 0.00%             | 2026-02-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342658182.UL.NBM                      | 342658182.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        62 | PA      | $61.71        | 0.00%             | 2026-02-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343188297.UL.NBM                      | 343188297.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       139 | PA      | $138.55       | 0.00%             | 2026-02-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343188300.UL.NBM                      | 343188300.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       996 | PA      | $985.02       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342658251.UL.NBM                      | 342658251.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       281 | PA      | $276.69       | 0.00%             | 2026-06-01      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342658489.UL.NBM                      | 342658489.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        75 | PA      | $74.26        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343188308.UL.NBM                      | 343188308.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       401 | PA      | $397.55       | 0.00%             | 2026-05-26      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343188527.UL.NBM                      | 343188527.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       261 | PA      | $115.68       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342658512.UL.NBM                      | 342658512.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       531 | PA      | $526.06       | 0.00%             | 2026-05-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342658586.UL.NBM                      | 342658586.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       199 | PA      | $196.83       | 0.00%             | 2026-05-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343188614.UL.NBM                      | 343188614.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       441 | PA      | $422.28       | 0.00%             | 2026-05-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343188621.UL.NBM                      | 343188621.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       435 | PA      | $431.29       | 0.00%             | 2026-05-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342658620.UL.NBM                      | 342658620.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       109 | PA      | $108.64       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342658689.UL.NBM                      | 342658689.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       124 | PA      | $123.69       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343188624.UL.NBM                      | 343188624.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        95 | PA      | $94.83        | 0.00%             | 2026-02-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343188677.UL.NBM                      | 343188677.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       206 | PA      | $49.85        | 0.00%             | 2035-11-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343188734.UL.NBM                      | 343188734.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        44 | PA      | $43.35        | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343188861.UL.NBM                      | 343188861.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        99 | PA      | $98.75        | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342658744.UL.NBM                      | 342658744.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       332 | PA      | $329.91       | 0.00%             | 2026-02-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342659099.UL.NBM                      | 342659099.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1105 | PA      | $1088.08      | 0.00%             | 2027-08-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342659220.UL.NBM                      | 342659220.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       498 | PA      | $493.43       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342659326.UL.NBM                      | 342659326.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       124 | PA      | $123.14       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343188882.UL.NBM                      | 343188882.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       237 | PA      | $234.57       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343188913.UL.NBM                      | 343188913.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       556 | PA      | $551.22       | 0.00%             | 2026-05-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343188986.UL.NBM                      | 343188986.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       217 | PA      | $216.60       | 0.00%             | 2026-02-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343189053.UL.NBM                      | 343189053.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       714 | PA      | $708.91       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342659367.UL.NBM                      | 342659367.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       407 | PA      | $406.62       | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342659387.UL.NBM                      | 342659387.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       265 | PA      | $262.20       | 0.00%             | 2026-05-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341158874.UL.NBM                      | 341158874.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       443 | PA      | $439.86       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341280258.UL.NBM                      | 341280258.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       171 | PA      | $169.50       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343189133.UL.NBM                      | 343189133.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1804 | PA      | $1690.26      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343189217.UL.NBM                      | 343189217.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1447 | PA      | $1341.46      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342659591.UL.NBM                      | 342659591.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1477 | PA      | $846.14       | 0.00%             | 2026-03-08      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342659647.UL.NBM                      | 342659647.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       358 | PA      | $356.55       | 0.00%             | 2026-05-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343189288.UL.NBM                      | 343189288.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       545 | PA      | $538.37       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343189310.UL.NBM                      | 343189310.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        41 | PA      | $40.92        | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343189313.UL.NBM                      | 343189313.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       119 | PA      | $118.91       | 0.00%             | 2026-02-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343190642.UL.NBM                      | 343190642.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       423 | PA      | $419.63       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10063830.SQ.NBM                       | 10063830.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1650 | PA      | $1438.65      | 0.00%             | 2027-05-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10066750.SQ.NBM                       | 10066750.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1563 | PA      | $1490.19      | 0.00%             | 2027-05-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342659920.UL.NBM                      | 342659920.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       492 | PA      | $487.72       | 0.00%             | 2026-05-24      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342659978.UL.NBM                      | 342659978.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       708 | PA      | $657.49       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343190696.UL.NBM                      | 343190696.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1576 | PA      | $1510.94      | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343190759.UL.NBM                      | 343190759.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       810 | PA      | $801.68       | 0.00%             | 2026-07-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343190776.UL.NBM                      | 343190776.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        73 | PA      | $73.05        | 0.00%             | 2026-02-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343196514.UL.NBM                      | 343196514.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       854 | PA      | $844.78       | 0.00%             | 2026-07-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343196583.UL.NBM                      | 343196583.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       202 | PA      | $200.66       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343196734.UL.NBM                      | 343196734.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       979 | PA      | $925.58       | 0.00%             | 2026-05-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342660102.UL.NBM                      | 342660102.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       229 | PA      | $228.52       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342660448.UL.NBM                      | 342660448.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       239 | PA      | $236.88       | 0.00%             | 2026-05-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342287989.UL.NBM                      | 342287989.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       333 | PA      | $316.66       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342288037.UL.NBM                      | 342288037.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       355 | PA      | $352.39       | 0.00%             | 2026-05-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341353862.UL.NBM                      | 341353862.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       231 | PA      | $228.90       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341353984.UL.NBM                      | 341353984.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       258 | PA      | $254.80       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342288098.UL.NBM                      | 342288098.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       347 | PA      | $329.81       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342447433.UL.NBM                      | 342447433.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2697 | PA      | $2465.76      | 0.00%             | 2027-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10066848.SQ.NBM                       | 10066848.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4408 | PA      | $3926.10      | 0.01%             | 2027-05-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10066922.SQ.NBM                       | 10066922.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19732 | PA      | $18658.89     | 0.03%             | 2027-05-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342448050.UL.NBM                      | 342448050.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       253 | PA      | $239.74       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342448166.UL.NBM                      | 342448166.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2266 | PA      | $2243.54      | 0.00%             | 2026-05-23      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 10058483.SQ.NBM                       | 10058483.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6879 | PA      | $6462.35      | 0.01%             | 2027-05-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10058540.SQ.NBM                       | 10058540.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9054 | PA      | $8417.00      | 0.01%             | 2027-05-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342660460.UL.NBM                      | 342660460.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       823 | PA      | $765.64       | 0.00%             | 2026-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342660598.UL.NBM                      | 342660598.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       129 | PA      | $127.96       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342448320.UL.NBM                      | 342448320.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       157 | PA      | $155.87       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342448381.UL.NBM                      | 342448381.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       309 | PA      | $305.85       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342448382.UL.NBM                      | 342448382.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       224 | PA      | $221.29       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342448854.UL.NBM                      | 342448854.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5998 | PA      | $5963.43      | 0.01%             | 2027-02-28      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 343193917.UL.NBM                      | 343193917.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       194 | PA      | $193.74       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343193975.UL.NBM                      | 343193975.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       235 | PA      | $233.82       | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341478073.UL.NBM                      | 341478073.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       414 | PA      | $412.70       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341478116.UL.NBM                      | 341478116.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       115 | PA      | $110.95       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341280566.UL.NBM                      | 341280566.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1904 | PA      | $1876.01      | 0.00%             | 2027-02-19      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 341280757.UL.NBM                      | 341280757.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       212 | PA      | $34.70        | 0.00%             | 2035-11-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343193991.UL.NBM                      | 343193991.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1378 | PA      | $1275.65      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343194026.UL.NBM                      | 343194026.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       822 | PA      | $812.56       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343196764.UL.NBM                      | 343196764.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       448 | PA      | $443.56       | 0.00%             | 2026-07-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343196823.UL.NBM                      | 343196823.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        66 | PA      | $65.21        | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342449290.UL.NBM                      | 342449290.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       183 | PA      | $181.06       | 0.00%             | 2026-05-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342451056.UL.NBM                      | 342451056.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       110 | PA      | $109.04       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341478668.UL.NBM                      | 341478668.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1139 | PA      | $1131.74      | 0.00%             | 2026-07-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341479639.UL.NBM                      | 341479639.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1030 | PA      | $955.36       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341281030.UL.NBM                      | 341281030.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        32 | PA      | $31.71        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341359399.UL.NBM                      | 341359399.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       105 | PA      | $104.66       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341583364.UL.NBM                      | 341583364.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       293 | PA      | $289.93       | 0.00%             | 2026-07-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341584418.UL.NBM                      | 341584418.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |         8 | PA      | $7.56         | 0.00%             | 2035-11-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342451293.UL.NBM                      | 342451293.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       123 | PA      | $122.36       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342451966.UL.NBM                      | 342451966.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       155 | PA      | $154.12       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10067644.SQ.NBM                       | 10067644.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     29018 | PA      | $27470.79     | 0.04%             | 2027-05-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10068779.SQ.NBM                       | 10068779.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4994 | PA      | $4664.91      | 0.01%             | 2027-05-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343194105.UL.NBM                      | 343194105.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       879 | PA      | $843.50       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343194137.UL.NBM                      | 343194137.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        82 | PA      | $81.77        | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342782095.UL.NBM                      | 342782095.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        45 | PA      | $43.76        | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342782795.UL.NBM                      | 342782795.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2056 | PA      | $1876.00      | 0.00%             | 2027-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10058664.SQ.NBM                       | 10058664.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     55655 | PA      | $51754.45     | 0.07%             | 2027-05-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10060196.SQ.NBM                       | 10060196.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2158 | PA      | $2043.30      | 0.00%             | 2027-05-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10053892.SQ.NBM                       | 10053892.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     59545 | PA      | $56348.60     | 0.08%             | 2027-05-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10055366.SQ.NBM                       | 10055366.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12745 | PA      | $12079.77     | 0.02%             | 2027-05-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343194316.UL.NBM                      | 343194316.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        80 | PA      | $76.68        | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343194370.UL.NBM                      | 343194370.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        56 | PA      | $55.36        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341224065.UL.NBM                      | 341224065.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       392 | PA      | $390.23       | 0.00%             | 2026-05-19      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 341224240.UL.NBM                      | 341224240.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       229 | PA      | $227.09       | 0.00%             | 2026-02-19      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342451991.UL.NBM                      | 342451991.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       794 | PA      | $789.29       | 0.00%             | 2026-02-23      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342452075.UL.NBM                      | 342452075.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       688 | PA      | $681.58       | 0.00%             | 2026-05-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342452230.UL.NBM                      | 342452230.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        55 | PA      | $54.78        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342452234.UL.NBM                      | 342452234.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3165 | PA      | $3114.63      | 0.00%             | 2027-08-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 10068928.SQ.NBM                       | 10068928.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9151 | PA      | $8662.92      | 0.01%             | 2027-05-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10069244.SQ.NBM                       | 10069244.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     30271 | PA      | $28574.56     | 0.04%             | 2027-05-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342217139.UL.NBM                      | 342217139.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       225 | PA      | $222.97       | 0.00%             | 2026-05-22      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342217371.UL.NBM                      | 342217371.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        72 | PA      | $71.77        | 0.00%             | 2026-02-22      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341359512.UL.NBM                      | 341359512.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       574 | PA      | $567.70       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341388086.UL.NBM                      | 341388086.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        77 | PA      | $76.63        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10198655.SQ.NBM                       | 10198655.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21540 | PA      | $20190.06     | 0.03%             | 2027-06-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10199971.SQ.NBM                       | 10199971.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12994 | PA      | $11823.15     | 0.02%             | 2027-06-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9752595.SQ.NBM                        | 9752595.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6368 | PA      | $6034.36      | 0.01%             | 2027-03-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9752713.SQ.NBM                        | 9752713.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5087 | PA      | $4849.16      | 0.01%             | 2027-03-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342452494.UL.NBM                      | 342452494.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       178 | PA      | $176.79       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342452697.UL.NBM                      | 342452697.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       818 | PA      | $782.63       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343194410.UL.NBM                      | 343194410.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       174 | PA      | $172.84       | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343194432.UL.NBM                      | 343194432.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       450 | PA      | $448.57       | 0.00%             | 2026-05-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341307765.UL.NBM                      | 341307765.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       345 | PA      | $341.68       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341308083.UL.NBM                      | 341308083.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       231 | PA      | $228.47       | 0.00%             | 2026-05-19      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341584462.UL.NBM                      | 341584462.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       724 | PA      | $673.07       | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341584595.UL.NBM                      | 341584595.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       260 | PA      | $240.25       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341312726.UL.NBM                      | 341312726.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        91 | PA      | $89.97        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341312784.UL.NBM                      | 341312784.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       317 | PA      | $314.95       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341547264.UL.NBM                      | 341547264.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       419 | PA      | $415.60       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341547452.UL.NBM                      | 341547452.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       384 | PA      | $380.48       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342783072.UL.NBM                      | 342783072.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       497 | PA      | $492.97       | 0.00%             | 2026-05-24      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342783204.UL.NBM                      | 342783204.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       873 | PA      | $868.57       | 0.00%             | 2026-02-24      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341308283.UL.NBM                      | 341308283.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       257 | PA      | $253.92       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341308758.UL.NBM                      | 341308758.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       470 | PA      | $464.89       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341308979.UL.NBM                      | 341308979.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       136 | PA      | $135.47       | 0.00%             | 2026-02-19      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341308989.UL.NBM                      | 341308989.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        93 | PA      | $92.32        | 0.00%             | 2026-02-19      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342080018.UL.NBM                      | 342080018.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        35 | PA      | $34.56        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342080234.UL.NBM                      | 342080234.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        41 | PA      | $40.70        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10200694.SQ.NBM                       | 10200694.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2374 | PA      | $2225.32      | 0.00%             | 2027-06-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10200813.SQ.NBM                       | 10200813.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2734 | PA      | $2563.68      | 0.00%             | 2027-06-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341309295.UL.NBM                      | 341309295.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       698 | PA      | $692.78       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341309304.UL.NBM                      | 341309304.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $66.35        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343194447.UL.NBM                      | 343194447.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       176 | PA      | $175.92       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343274436.UL.NBM                      | 343274436.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       281 | PA      | $280.20       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341584713.UL.NBM                      | 341584713.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       116 | PA      | $114.98       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341584715.UL.NBM                      | 341584715.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       492 | PA      | $486.88       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10069967.SQ.NBM                       | 10069967.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5187 | PA      | $4906.10      | 0.01%             | 2027-05-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10070083.SQ.NBM                       | 10070083.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     39902 | PA      | $37534.75     | 0.05%             | 2027-05-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10211917.SQ.NBM                       | 10211917.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1913 | PA      | $1759.50      | 0.00%             | 2027-06-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10212146.SQ.NBM                       | 10212146.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     28266 | PA      | $26188.57     | 0.04%             | 2027-06-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342217495.UL.NBM                      | 342217495.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       332 | PA      | $330.32       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342297858.UL.NBM                      | 342297858.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       120 | PA      | $119.63       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341299999.UL.NBM                      | 341299999.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       237 | PA      | $235.05       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341300845.UL.NBM                      | 341300845.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1437 | PA      | $1420.69      | 0.00%             | 2026-07-19      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342080319.UL.NBM                      | 342080319.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       989 | PA      | $922.30       | 0.00%             | 2026-05-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342087142.UL.NBM                      | 342087142.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       507 | PA      | $504.62       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341834907.UL.NBM                      | 341834907.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        25 | PA      | $5.09         | 0.00%             | 2035-11-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341834938.UL.NBM                      | 341834938.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        54 | PA      | $53.19        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342644674.UL.NBM                      | 342644674.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       293 | PA      | $277.77       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342644682.UL.NBM                      | 342644682.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       736 | PA      | $724.63       | 0.00%             | 2027-08-24      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 10004152.SQ.NBM                       | 10004152.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2067 | PA      | $1867.47      | 0.00%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10004295.SQ.NBM                       | 10004295.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3487 | PA      | $3313.31      | 0.00%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9752773.SQ.NBM                        | 9752773.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3351 | PA      | $3253.04      | 0.00%             | 2027-03-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9752820.SQ.NBM                        | 9752820.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6649 | PA      | $6354.93      | 0.01%             | 2027-03-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341226859.UL.NBM                      | 341226859.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       127 | PA      | $125.76       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341227649.UL.NBM                      | 341227649.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        20 | PA      | $19.78        | 0.00%             | 2035-11-19      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342989516.UL.NBM                      | 342989516.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       391 | PA      | $387.40       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342989547.UL.NBM                      | 342989547.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       860 | PA      | $850.97       | 0.00%             | 2026-07-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342989609.UL.NBM                      | 342989609.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        98 | PA      | $97.63        | 0.00%             | 2026-02-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342989784.UL.NBM                      | 342989784.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       169 | PA      | $158.77       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9874960.SQ.NBM                        | 9874960.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1133 | PA      | $1040.58      | 0.00%             | 2027-04-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9874968.SQ.NBM                        | 9874968.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1651 | PA      | $1546.81      | 0.00%             | 2027-04-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341278417.UL.NBM                      | 341278417.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       227 | PA      | $224.75       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341278706.UL.NBM                      | 341278706.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       203 | PA      | $201.03       | 0.00%             | 2026-05-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 10213198.SQ.NBM                       | 10213198.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2002 | PA      | $1840.52      | 0.00%             | 2027-06-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10213234.SQ.NBM                       | 10213234.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4352 | PA      | $4078.79      | 0.01%             | 2027-06-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10149677.SQ.NBM                       | 10149677.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     20227 | PA      | $18633.98     | 0.03%             | 2027-06-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10150741.SQ.NBM                       | 10150741.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6301 | PA      | $5821.28      | 0.01%             | 2027-06-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341584742.UL.NBM                      | 341584742.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       176 | PA      | $174.50       | 0.00%             | 2026-05-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341585181.UL.NBM                      | 341585181.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       280 | PA      | $277.47       | 0.00%             | 2026-05-21      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343274956.UL.NBM                      | 343274956.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        87 | PA      | $86.62        | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343275307.UL.NBM                      | 343275307.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       194 | PA      | $192.13       | 0.00%             | 2026-05-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341278808.UL.NBM                      | 341278808.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        57 | PA      | $56.39        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341279562.UL.NBM                      | 341279562.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       617 | PA      | $610.90       | 0.00%             | 2026-05-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9944933.SQ.NBM                        | 9944933.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3028 | PA      | $2934.07      | 0.00%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9945011.SQ.NBM                        | 9945011.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8029 | PA      | $7581.73      | 0.01%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10000093.SQ.NBM                       | 10000093.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2044 | PA      | $1928.52      | 0.00%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10000144.SQ.NBM                       | 10000144.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4228 | PA      | $3858.51      | 0.01%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10000178.SQ.NBM                       | 10000178.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7271 | PA      | $6799.38      | 0.01%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10000256.SQ.NBM                       | 10000256.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3494 | PA      | $3305.65      | 0.00%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341301019.UL.NBM                      | 341301019.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        91 | PA      | $90.37        | 0.00%             | 2026-02-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341301431.UL.NBM                      | 341301431.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       196 | PA      | $194.11       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5874020.UP.NBM                     | DRB5874020.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13709 | PA      | $12514.82     | 0.02%             | 2030-08-26      | Fixed         | 23.10%                | Yes           |                  3 | On Loan: No      |
| DRB5874034.UP.NBM                     | DRB5874034.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3140 | PA      | $3097.33      | 0.00%             | 2030-08-26      | Fixed         | 28.25%                | Yes           |                  3 | On Loan: No      |
| 342990520.UL.NBM                      | 342990520.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4090 | PA      | $4025.27      | 0.01%             | 2027-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342990731.UL.NBM                      | 342990731.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       225 | PA      | $224.49       | 0.00%             | 2026-02-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342872579.UL.NBM                      | 342872579.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        53 | PA      | $52.29        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342873336.UL.NBM                      | 342873336.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       284 | PA      | $283.64       | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342087683.UL.NBM                      | 342087683.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        30 | PA      | $29.51        | 0.00%             | 2026-02-22      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342088222.UL.NBM                      | 342088222.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       108 | PA      | $107.59       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9777241.SQ.NBM                        | 9777241.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3949 | PA      | $3466.36      | 0.00%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9777281.SQ.NBM                        | 9777281.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     34450 | PA      | $32158.44     | 0.04%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341896872.UL.NBM                      | 341896872.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       188 | PA      | $187.14       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341897418.UL.NBM                      | 341897418.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       500 | PA      | $48.93        | 0.00%             | 2026-05-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343276860.UL.NBM                      | 343276860.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1858 | PA      | $1842.99      | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343279453.UL.NBM                      | 343279453.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       299 | PA      | $297.84       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342514042.UL.NBM                      | 342514042.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       103 | PA      | $102.71       | 0.00%             | 2026-02-23      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 342514389.UL.NBM                      | 342514389.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1977 | PA      | $1957.37      | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341379416.UL.NBM                      | 341379416.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       161 | PA      | $154.94       | 0.00%             | 2026-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341379560.UL.NBM                      | 341379560.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       160 | PA      | $158.85       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342150710.UL.NBM                      | 342150710.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       382 | PA      | $379.00       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342150757.UL.NBM                      | 342150757.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       306 | PA      | $303.89       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10000294.SQ.NBM                       | 10000294.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3704 | PA      | $3510.87      | 0.00%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10000342.SQ.NBM                       | 10000342.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9353 | PA      | $8543.12      | 0.01%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5874045.UP.NBM                     | DRB5874045.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4619 | PA      | $4760.70      | 0.01%             | 2030-08-26      | Fixed         | 32.23%                | Yes           |                  3 | On Loan: No      |
| DRB5874054.UP.NBM                     | DRB5874054.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4268 | PA      | $4350.73      | 0.01%             | 2030-08-26      | Fixed         | 30.24%                | Yes           |                  3 | On Loan: No      |
| 341585208.UL.NBM                      | 341585208.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       560 | PA      | $42.68        | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341585385.UL.NBM                      | 341585385.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       310 | PA      | $308.12       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10121517.SQ.NBM                       | 10121517.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19350 | PA      | $18186.28     | 0.03%             | 2027-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10121907.SQ.NBM                       | 10121907.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21557 | PA      | $20311.43     | 0.03%             | 2027-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341191444.UL.NBM                      | 341191444.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       247 | PA      | $58.23        | 0.00%             | 2035-11-18      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341191570.UL.NBM                      | 341191570.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1792 | PA      | $1662.62      | 0.00%             | 2026-07-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10133008.SQ.NBM                       | 10133008.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6418 | PA      | $6028.77      | 0.01%             | 2027-05-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10133161.SQ.NBM                       | 10133161.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     30716 | PA      | $28930.86     | 0.04%             | 2027-05-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342088557.UL.NBM                      | 342088557.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        69 | PA      | $68.97        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342151632.UL.NBM                      | 342151632.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       835 | PA      | $772.42       | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341963109.UL.NBM                      | 341963109.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1132 | PA      | $1084.83      | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341963218.UL.NBM                      | 341963218.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       401 | PA      | $396.89       | 0.00%             | 2026-05-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 10171016.SQ.NBM                       | 10171016.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15502 | PA      | $14546.34     | 0.02%             | 2027-06-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10171669.SQ.NBM                       | 10171669.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2550 | PA      | $2323.89      | 0.00%             | 2027-06-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341318013.UL.NBM                      | 341318013.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        69 | PA      | $68.29        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341318668.UL.NBM                      | 341318668.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1386 | PA      | $1283.29      | 0.00%             | 2026-07-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9777577.SQ.NBM                        | 9777577.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     41157 | PA      | $37268.20     | 0.05%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9777926.SQ.NBM                        | 9777926.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       303 | PA      | $292.22       | 0.00%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10005290.SQ.NBM                       | 10005290.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18141 | PA      | $17167.61     | 0.02%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10006210.SQ.NBM                       | 10006210.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     38236 | PA      | $36240.83     | 0.05%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341707526.UL.NBM                      | 341707526.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       511 | PA      | $505.94       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341707905.UL.NBM                      | 341707905.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       240 | PA      | $239.48       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10112088.SQ.NBM                       | 10112088.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7360 | PA      | $6817.36      | 0.01%             | 2027-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10112459.SQ.NBM                       | 10112459.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3106 | PA      | $2938.61      | 0.00%             | 2027-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343279645.UL.NBM                      | 343279645.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        59 | PA      | $59.07        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343279726.UL.NBM                      | 343279726.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2808 | PA      | $2762.37      | 0.00%             | 2027-08-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342937945.UL.NBM                      | 342937945.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       326 | PA      | $324.55       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342937983.UL.NBM                      | 342937983.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        64 | PA      | $64.21        | 0.00%             | 2026-02-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341396232.UL.NBM                      | 341396232.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       585 | PA      | $579.18       | 0.00%             | 2026-05-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341396276.UL.NBM                      | 341396276.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       173 | PA      | $172.39       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10000427.SQ.NBM                       | 10000427.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7349 | PA      | $6953.18      | 0.01%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10003522.SQ.NBM                       | 10003522.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4274 | PA      | $3745.80      | 0.01%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341430199.UL.NBM                      | 341430199.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        61 | PA      | $60.65        | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341430631.UL.NBM                      | 341430631.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       343 | PA      | $338.41       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858841.UP.NBM                     | DRB5858841.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1632 | PA      | $1686.90      | 0.00%             | 2030-08-22      | Fixed         | 31.59%                | Yes           |                  3 | On Loan: No      |
| DRB5858857.UP.NBM                     | DRB5858857.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     46997 | PA      | $46255.91     | 0.06%             | 2030-08-22      | Fixed         | 22.09%                | Yes           |                  3 | On Loan: No      |
| 341564305.UL.NBM                      | 341564305.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1079 | PA      | $1065.61      | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341564616.UL.NBM                      | 341564616.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       390 | PA      | $371.63       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9802076.SQ.NBM                        | 9802076.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1888 | PA      | $1842.20      | 0.00%             | 2027-03-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9802356.SQ.NBM                        | 9802356.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5406 | PA      | $5198.71      | 0.01%             | 2027-03-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341741930.UL.NBM                      | 341741930.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        45 | PA      | $44.81        | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341742513.UL.NBM                      | 341742513.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       530 | PA      | $524.93       | 0.00%             | 2026-05-21      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341742676.UL.NBM                      | 341742676.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       453 | PA      | $447.40       | 0.00%             | 2027-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341742682.UL.NBM                      | 341742682.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1887 | PA      | $1751.52      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342990858.UL.NBM                      | 342990858.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       216 | PA      | $203.95       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342991075.UL.NBM                      | 342991075.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        54 | PA      | $53.59        | 0.00%             | 2026-02-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341742686.UL.NBM                      | 341742686.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        76 | PA      | $75.57        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341743418.UL.NBM                      | 341743418.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       261 | PA      | $260.20       | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341585387.UL.NBM                      | 341585387.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        90 | PA      | $89.66        | 0.00%             | 2026-02-21      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341585394.UL.NBM                      | 341585394.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        68 | PA      | $67.33        | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341396367.UL.NBM                      | 341396367.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       237 | PA      | $235.14       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341396498.UL.NBM                      | 341396498.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       242 | PA      | $53.61        | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342151645.UL.NBM                      | 342151645.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |         6 | PA      | $6.21         | 0.00%             | 2035-11-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342151793.UL.NBM                      | 342151793.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        61 | PA      | $61.11        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10003699.SQ.NBM                       | 10003699.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1331 | PA      | $1238.15      | 0.00%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10003739.SQ.NBM                       | 10003739.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6624 | PA      | $6276.57      | 0.01%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343053838.UL.NBM                      | 343053838.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       786 | PA      | $777.25       | 0.00%             | 2026-07-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343053932.UL.NBM                      | 343053932.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       937 | PA      | $874.24       | 0.00%             | 2026-08-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341744923.UL.NBM                      | 341744923.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       173 | PA      | $172.32       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341745405.UL.NBM                      | 341745405.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       861 | PA      | $851.89       | 0.00%             | 2026-07-21      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 341585519.UL.NBM                      | 341585519.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       702 | PA      | $697.29       | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| L5870480.UP.NBM                       | L5870480.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2792 | PA      | $2788.50      | 0.00%             | 2030-08-25      | Fixed         | 22.81%                | Yes           |                  3 | On Loan: No      |
| 342151816.UL.NBM                      | 342151816.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       895 | PA      | $889.86       | 0.00%             | 2026-02-22      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342192974.UL.NBM                      | 342192974.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3107 | PA      | $3074.43      | 0.00%             | 2026-07-22      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 10004031.SQ.NBM                       | 10004031.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2867 | PA      | $2223.31      | 0.00%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10004998.SQ.NBM                       | 10004998.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       842 | PA      | $431.59       | 0.00%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341342323.UL.NBM                      | 341342323.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       176 | PA      | $174.53       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341342544.UL.NBM                      | 341342544.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       139 | PA      | $137.89       | 0.00%             | 2026-02-19      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343054054.UL.NBM                      | 343054054.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1588 | PA      | $1575.49      | 0.00%             | 2026-05-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343054080.UL.NBM                      | 343054080.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       181 | PA      | $179.39       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| L5870894.UP.NBM                       | L5870894.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2206 | PA      | $2112.22      | 0.00%             | 2030-08-25      | Fixed         | 23.02%                | Yes           |                  3 | On Loan: No      |
| L5871025.UP.NBM                       | L5871025.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3858 | PA      | $3600.90      | 0.00%             | 2030-08-25      | Fixed         | 24.52%                | Yes           |                  3 | On Loan: No      |
| 342193848.UL.NBM                      | 342193848.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       810 | PA      | $800.88       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342193956.UL.NBM                      | 342193956.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       244 | PA      | $242.48       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341479722.UL.NBM                      | 341479722.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       796 | PA      | $735.17       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341479786.UL.NBM                      | 341479786.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        48 | PA      | $48.21        | 0.00%             | 2026-02-20      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 10005026.SQ.NBM                       | 10005026.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1994 | PA      | $1873.99      | 0.00%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10005141.SQ.NBM                       | 10005141.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1797 | PA      | $1688.45      | 0.00%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10055555.SQ.NBM                       | 10055555.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     41298 | PA      | $38995.74     | 0.05%             | 2027-05-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10056361.SQ.NBM                       | 10056361.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4174 | PA      | $3956.47      | 0.01%             | 2027-05-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341342917.UL.NBM                      | 341342917.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       167 | PA      | $159.02       | 0.00%             | 2026-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341343335.UL.NBM                      | 341343335.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4094 | PA      | $4028.41      | 0.01%             | 2027-02-19      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341745468.UL.NBM                      | 341745468.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1341 | PA      | $1326.83      | 0.00%             | 2026-07-21      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 341745480.UL.NBM                      | 341745480.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       143 | PA      | $142.36       | 0.00%             | 2026-02-21      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| L5871066.UP.NBM                       | L5871066.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2374 | PA      | $2260.57      | 0.00%             | 2030-08-25      | Fixed         | 22.70%                | Yes           |                  3 | On Loan: No      |
| L5871875.UP.NBM                       | L5871875.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5470 | PA      | $5206.59      | 0.01%             | 2030-08-25      | Fixed         | 19.78%                | Yes           |                  3 | On Loan: No      |
| 10029181.SQ.NBM                       | 10029181.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2083 | PA      | $1923.11      | 0.00%             | 2027-05-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10029344.SQ.NBM                       | 10029344.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6058 | PA      | $5709.42      | 0.01%             | 2027-05-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342193969.UL.NBM                      | 342193969.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       702 | PA      | $694.28       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342199079.UL.NBM                      | 342199079.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        53 | PA      | $53.02        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343054160.UL.NBM                      | 343054160.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5113 | PA      | $5054.74      | 0.01%             | 2027-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343054256.UL.NBM                      | 343054256.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1124 | PA      | $1106.64      | 0.00%             | 2027-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5871948.UP.NBM                       | L5871948.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       906 | PA      | $850.44       | 0.00%             | 2028-08-25      | Fixed         | 11.80%                | Yes           |                  3 | On Loan: No      |
| L5872033.UP.NBM                       | L5872033.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10495 | PA      | $11105.65     | 0.02%             | 2030-08-26      | Fixed         | 21.55%                | Yes           |                  3 | On Loan: No      |
| 9778237.SQ.NBM                        | 9778237.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13644 | PA      | $4845.91      | 0.01%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9778335.SQ.NBM                        | 9778335.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     39167 | PA      | $36680.95     | 0.05%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341564631.UL.NBM                      | 341564631.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       127 | PA      | $126.53       | 0.00%             | 2026-02-20      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341564701.UL.NBM                      | 341564701.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1257 | PA      | $1153.50      | 0.00%             | 2027-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341745535.UL.NBM                      | 341745535.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       450 | PA      | $445.81       | 0.00%             | 2026-05-21      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341745600.UL.NBM                      | 341745600.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        14 | PA      | $14.10        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343054395.UL.NBM                      | 343054395.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       243 | PA      | $230.20       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343054690.UL.NBM                      | 343054690.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       219 | PA      | $216.66       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5872096.UP.NBM                       | L5872096.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     48032 | PA      | $46400.54     | 0.06%             | 2030-08-26      | Fixed         | 20.69%                | Yes           |                  3 | On Loan: No      |
| L5872118.UP.NBM                       | L5872118.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13042 | PA      | $12573.90     | 0.02%             | 2028-08-26      | Fixed         | 22.28%                | Yes           |                  3 | On Loan: No      |
| 342202800.UL.NBM                      | 342202800.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       116 | PA      | $115.36       | 0.00%             | 2026-02-22      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342202826.UL.NBM                      | 342202826.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       257 | PA      | $254.98       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10029670.SQ.NBM                       | 10029670.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4920 | PA      | $4647.87      | 0.01%             | 2027-05-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10029874.SQ.NBM                       | 10029874.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1994 | PA      | $1854.63      | 0.00%             | 2027-05-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341343416.UL.NBM                      | 341343416.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       532 | PA      | $526.72       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341343445.UL.NBM                      | 341343445.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       668 | PA      | $660.08       | 0.00%             | 2026-07-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342514546.UL.NBM                      | 342514546.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       304 | PA      | $289.12       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342514750.UL.NBM                      | 342514750.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $67.25        | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5872436.UP.NBM                       | L5872436.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2407 | PA      | $2397.46      | 0.00%             | 2030-08-26      | Fixed         | 22.63%                | Yes           |                  3 | On Loan: No      |
| L5872572.UP.NBM                       | L5872572.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9125 | PA      | $9587.24      | 0.01%             | 2030-08-26      | Fixed         | 26.23%                | Yes           |                  3 | On Loan: No      |
| 343054789.UL.NBM                      | 343054789.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       195 | PA      | $183.88       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343054845.UL.NBM                      | 343054845.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       751 | PA      | $742.71       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10029910.SQ.NBM                       | 10029910.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2349 | PA      | $2101.16      | 0.00%             | 2027-05-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10029974.SQ.NBM                       | 10029974.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     23913 | PA      | $22620.65     | 0.03%             | 2027-05-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342202856.UL.NBM                      | 342202856.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        80 | PA      | $76.93        | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342202888.UL.NBM                      | 342202888.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       427 | PA      | $424.23       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341343521.UL.NBM                      | 341343521.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       592 | PA      | $46.62        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341344930.UL.NBM                      | 341344930.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        51 | PA      | $51.17        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343054943.UL.NBM                      | 343054943.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       113 | PA      | $112.30       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343054944.UL.NBM                      | 343054944.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       802 | PA      | $793.11       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5872573.UP.NBM                       | L5872573.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1537 | PA      | $1480.32      | 0.00%             | 2030-08-26      | Fixed         | 16.02%                | Yes           |                  3 | On Loan: No      |
| L5872641.UP.NBM                       | L5872641.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5491 | PA      | $5020.93      | 0.01%             | 2030-08-26      | Fixed         | 23.20%                | Yes           |                  3 | On Loan: No      |
| 9779180.SQ.NBM                        | 9779180.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6471 | PA      | $6088.35      | 0.01%             | 2027-03-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9779473.SQ.NBM                        | 9779473.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8989 | PA      | $8594.70      | 0.01%             | 2027-03-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10030580.SQ.NBM                       | 10030580.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8971 | PA      | $8480.82      | 0.01%             | 2027-05-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10030808.SQ.NBM                       | 10030808.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1320 | PA      | $1253.18      | 0.00%             | 2027-05-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5875399.UP.NBM                     | DRB5875399.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2218 | PA      | $2056.52      | 0.00%             | 2030-08-26      | Fixed         | 24.09%                | Yes           |                  3 | On Loan: No      |
| DRB5875406.UP.NBM                     | DRB5875406.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3443 | PA      | $3368.92      | 0.00%             | 2030-08-26      | Fixed         | 27.70%                | Yes           |                  3 | On Loan: No      |
| 342263554.UL.NBM                      | 342263554.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        63 | PA      | $62.12        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342263610.UL.NBM                      | 342263610.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       445 | PA      | $441.17       | 0.00%             | 2026-05-22      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| L5872700.UP.NBM                       | L5872700.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2115 | PA      | $2065.04      | 0.00%             | 2030-08-26      | Fixed         | 21.36%                | Yes           |                  3 | On Loan: No      |
| L5872710.UP.NBM                       | L5872710.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5279 | PA      | $5045.12      | 0.01%             | 2030-08-26      | Fixed         | 20.01%                | Yes           |                  3 | On Loan: No      |
| 343055188.UL.NBM                      | 343055188.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        46 | PA      | $46.11        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343055239.UL.NBM                      | 343055239.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       162 | PA      | $161.60       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10031168.SQ.NBM                       | 10031168.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     38364 | PA      | $36343.83     | 0.05%             | 2027-05-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10032164.SQ.NBM                       | 10032164.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9845 | PA      | $9189.80      | 0.01%             | 2027-05-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341345485.UL.NBM                      | 341345485.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       265 | PA      | $252.18       | 0.00%             | 2026-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341345547.UL.NBM                      | 341345547.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       263 | PA      | $259.87       | 0.00%             | 2026-05-19      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341791853.UL.NBM                      | 341791853.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2573 | PA      | $2532.17      | 0.00%             | 2027-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341792039.UL.NBM                      | 341792039.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       316 | PA      | $312.66       | 0.00%             | 2026-05-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| L5872738.UP.NBM                       | L5872738.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7299 | PA      | $6996.94      | 0.01%             | 2028-08-26      | Fixed         | 16.98%                | Yes           |                  3 | On Loan: No      |
| L5872743.UP.NBM                       | L5872743.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     47694 | PA      | $47655.19     | 0.07%             | 2030-08-26      | Fixed         | 22.97%                | Yes           |                  3 | On Loan: No      |
| 343055353.UL.NBM                      | 343055353.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1179 | PA      | $1169.29      | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343055428.UL.NBM                      | 343055428.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       487 | PA      | $482.21       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10056515.SQ.NBM                       | 10056515.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3905 | PA      | $3780.47      | 0.01%             | 2027-05-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10056709.SQ.NBM                       | 10056709.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2075 | PA      | $1939.08      | 0.00%             | 2027-05-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10032355.SQ.NBM                       | 10032355.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     63298 | PA      | $55808.33     | 0.08%             | 2027-05-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10036696.SQ.NBM                       | 10036696.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     63826 | PA      | $60359.64     | 0.08%             | 2027-05-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341345827.UL.NBM                      | 341345827.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       555 | PA      | $513.90       | 0.00%             | 2026-05-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341346074.UL.NBM                      | 341346074.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       219 | PA      | $217.39       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5872791.UP.NBM                       | L5872791.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2110 | PA      | $2046.41      | 0.00%             | 2030-08-26      | Fixed         | 23.80%                | Yes           |                  3 | On Loan: No      |
| L5872805.UP.NBM                       | L5872805.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1545 | PA      | $1456.10      | 0.00%             | 2028-08-26      | Fixed         | 15.28%                | Yes           |                  3 | On Loan: No      |
| 341793220.UL.NBM                      | 341793220.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       177 | PA      | $175.08       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341793305.UL.NBM                      | 341793305.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.95        | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343055475.UL.NBM                      | 343055475.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1731 | PA      | $1711.38      | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343055590.UL.NBM                      | 343055590.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       975 | PA      | $971.75       | 0.00%             | 2026-02-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 10039165.SQ.NBM                       | 10039165.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6410 | PA      | $5945.78      | 0.01%             | 2027-05-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10039413.SQ.NBM                       | 10039413.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2188 | PA      | $2021.97      | 0.00%             | 2027-05-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341279987.UL.NBM                      | 341279987.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       423 | PA      | $419.19       | 0.00%             | 2026-05-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341280179.UL.NBM                      | 341280179.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       394 | PA      | $390.44       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9779726.SQ.NBM                        | 9779726.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3698 | PA      | $3642.02      | 0.01%             | 2027-03-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9779985.SQ.NBM                        | 9779985.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     33987 | PA      | $32200.17     | 0.04%             | 2027-03-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5872829.UP.NBM                       | L5872829.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10629 | PA      | $9880.40      | 0.01%             | 2030-08-26      | Fixed         | 18.41%                | Yes           |                  3 | On Loan: No      |
| 343055706.UL.NBM                      | 343055706.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       231 | PA      | $218.62       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343055711.UL.NBM                      | 343055711.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       223 | PA      | $220.44       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341346218.UL.NBM                      | 341346218.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       413 | PA      | $410.00       | 0.00%             | 2026-02-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341346674.UL.NBM                      | 341346674.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       192 | PA      | $190.20       | 0.00%             | 2026-02-19      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 10039540.SQ.NBM                       | 10039540.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3481 | PA      | $3072.35      | 0.00%             | 2027-05-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10039658.SQ.NBM                       | 10039658.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1088 | PA      | $1048.75      | 0.00%             | 2027-05-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341793354.UL.NBM                      | 341793354.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       380 | PA      | $376.01       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341793383.UL.NBM                      | 341793383.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       971 | PA      | $381.46       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9836561.SQ.NBM                        | 9836561.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17458 | PA      | $16241.13     | 0.02%             | 2027-03-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9836738.SQ.NBM                        | 9836738.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     27139 | PA      | $25901.55     | 0.04%             | 2027-03-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341384736.UL.NBM                      | 341384736.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       499 | PA      | $493.62       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341384852.UL.NBM                      | 341384852.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       333 | PA      | $330.39       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343055761.UL.NBM                      | 343055761.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       198 | PA      | $197.12       | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343055807.UL.NBM                      | 343055807.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        76 | PA      | $75.52        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 10041217.SQ.NBM                       | 10041217.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3017 | PA      | $2779.45      | 0.00%             | 2027-05-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10041294.SQ.NBM                       | 10041294.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     42504 | PA      | $40031.77     | 0.06%             | 2027-05-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341347860.UL.NBM                      | 341347860.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        61 | PA      | $60.93        | 0.00%             | 2026-02-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341348169.UL.NBM                      | 341348169.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       405 | PA      | $401.03       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341793419.UL.NBM                      | 341793419.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       246 | PA      | $242.73       | 0.00%             | 2026-07-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341794363.UL.NBM                      | 341794363.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       205 | PA      | $203.52       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343055860.UL.NBM                      | 343055860.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2076 | PA      | $2050.30      | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343056198.UL.NBM                      | 343056198.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       872 | PA      | $862.91       | 0.00%             | 2026-07-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 10056765.SQ.NBM                       | 10056765.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     26876 | PA      | $23357.17     | 0.03%             | 2027-05-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10057221.SQ.NBM                       | 10057221.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     53642 | PA      | $50759.39     | 0.07%             | 2027-05-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9837096.SQ.NBM                        | 9837096.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     73041 | PA      | $64690.66     | 0.09%             | 2027-03-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9837870.SQ.NBM                        | 9837870.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2390 | PA      | $2268.57      | 0.00%             | 2027-03-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10045206.SQ.NBM                       | 10045206.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       590 | PA      | $547.32       | 0.00%             | 2027-05-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10045224.SQ.NBM                       | 10045224.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11345 | PA      | $10754.13     | 0.01%             | 2027-05-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341348812.UL.NBM                      | 341348812.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       218 | PA      | $216.63       | 0.00%             | 2026-02-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| DRB5873085.UP.NBM                     | DRB5873085.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5000 | PA      | $4930.97      | 0.01%             | 2030-08-26      | Fixed         | 17.53%                | Yes           |                  3 | On Loan: No      |
| 343056213.UL.NBM                      | 343056213.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       136 | PA      | $135.17       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343056285.UL.NBM                      | 343056285.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       428 | PA      | $424.04       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341385047.UL.NBM                      | 341385047.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       172 | PA      | $170.74       | 0.00%             | 2026-05-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341385336.UL.NBM                      | 341385336.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       456 | PA      | $34.77        | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9837893.SQ.NBM                        | 9837893.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1379 | PA      | $1300.46      | 0.00%             | 2027-03-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9837943.SQ.NBM                        | 9837943.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10514 | PA      | $9752.73      | 0.01%             | 2027-03-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5873086.UP.NBM                     | DRB5873086.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6718 | PA      | $6132.00      | 0.01%             | 2030-08-26      | Fixed         | 19.87%                | Yes           |                  3 | On Loan: No      |
| DRB5873093.UP.NBM                     | DRB5873093.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1640 | PA      | $1537.18      | 0.00%             | 2030-08-26      | Fixed         | 24.76%                | Yes           |                  3 | On Loan: No      |
| 341794384.UL.NBM                      | 341794384.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1412 | PA      | $1301.99      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341795029.UL.NBM                      | 341795029.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       496 | PA      | $491.23       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343204606.UL.NBM                      | 343204606.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       300 | PA      | $297.67       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343204630.UL.NBM                      | 343204630.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       942 | PA      | $932.14       | 0.00%             | 2026-07-26      | Fixed         | 25.99%                | Yes           |                  3 | On Loan: No      |
| 10048845.SQ.NBM                       | 10048845.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14013 | PA      | $13155.88     | 0.02%             | 2027-05-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10049169.SQ.NBM                       | 10049169.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14214 | PA      | $13437.75     | 0.02%             | 2027-05-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341386073.UL.NBM                      | 341386073.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       930 | PA      | $924.85       | 0.00%             | 2026-02-20      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341386187.UL.NBM                      | 341386187.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       276 | PA      | $273.91       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5875855.UP.NBM                     | DRB5875855.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7742 | PA      | $7519.59      | 0.01%             | 2028-08-26      | Fixed         | 23.04%                | Yes           |                  3 | On Loan: No      |
| DRB5875858.UP.NBM                     | DRB5875858.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1935 | PA      | $1899.51      | 0.00%             | 2030-08-26      | Fixed         | 27.74%                | Yes           |                  3 | On Loan: No      |
| 343204715.UL.NBM                      | 343204715.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        90 | PA      | $89.23        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343204747.UL.NBM                      | 343204747.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       554 | PA      | $549.69       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10006878.SQ.NBM                       | 10006878.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7806 | PA      | $7378.83      | 0.01%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10007102.SQ.NBM                       | 10007102.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     35322 | PA      | $33559.72     | 0.05%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5873122.UP.NBM                     | DRB5873122.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1736 | PA      | $1700.22      | 0.00%             | 2030-08-26      | Fixed         | 24.26%                | Yes           |                  3 | On Loan: No      |
| DRB5873158.UP.NBM                     | DRB5873158.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2134 | PA      | $2169.48      | 0.00%             | 2030-08-26      | Fixed         | 30.07%                | Yes           |                  3 | On Loan: No      |
| 10049620.SQ.NBM                       | 10049620.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9169 | PA      | $8588.10      | 0.01%             | 2027-05-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10049874.SQ.NBM                       | 10049874.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2688 | PA      | $2517.33      | 0.00%             | 2027-05-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343204748.UL.NBM                      | 343204748.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       260 | PA      | $245.82       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343204792.UL.NBM                      | 343204792.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       224 | PA      | $221.64       | 0.00%             | 2026-05-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341795099.UL.NBM                      | 341795099.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       351 | PA      | $348.11       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341795106.UL.NBM                      | 341795106.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        82 | PA      | $81.13        | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 10058009.SQ.NBM                       | 10058009.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7904 | PA      | $7479.95      | 0.01%             | 2027-05-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10058125.SQ.NBM                       | 10058125.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       964 | PA      | $874.69       | 0.00%             | 2027-05-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10050296.SQ.NBM                       | 10050296.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4273 | PA      | $4021.26      | 0.01%             | 2027-05-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10050383.SQ.NBM                       | 10050383.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9825 | PA      | $8692.64      | 0.01%             | 2027-05-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343205289.UL.NBM                      | 343205289.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       934 | PA      | $864.78       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343205461.UL.NBM                      | 343205461.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       162 | PA      | $161.76       | 0.00%             | 2026-02-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341386291.UL.NBM                      | 341386291.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       864 | PA      | $803.47       | 0.00%             | 2026-08-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341386304.UL.NBM                      | 341386304.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       348 | PA      | $331.22       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5873163.UP.NBM                     | DRB5873163.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6950 | PA      | $7286.15      | 0.01%             | 2030-08-26      | Fixed         | 32.25%                | Yes           |                  3 | On Loan: No      |
| DRB5873177.UP.NBM                     | DRB5873177.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5053 | PA      | $5310.14      | 0.01%             | 2030-08-26      | Fixed         | 32.28%                | Yes           |                  3 | On Loan: No      |
| 10150933.SQ.NBM                       | 10150933.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9926 | PA      | $9315.53      | 0.01%             | 2027-06-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10151323.SQ.NBM                       | 10151323.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8607 | PA      | $8027.50      | 0.01%             | 2027-06-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343205551.UL.NBM                      | 343205551.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       115 | PA      | $114.78       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343205554.UL.NBM                      | 343205554.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       111 | PA      | $110.12       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10050541.SQ.NBM                       | 10050541.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       956 | PA      | $905.53       | 0.00%             | 2027-05-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10050559.SQ.NBM                       | 10050559.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5709 | PA      | $5388.18      | 0.01%             | 2027-05-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341795169.UL.NBM                      | 341795169.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       453 | PA      | $448.66       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341795180.UL.NBM                      | 341795180.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        84 | PA      | $83.65        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10058137.SQ.NBM                       | 10058137.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     43521 | PA      | $41002.70     | 0.06%             | 2027-05-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10060339.SQ.NBM                       | 10060339.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     28130 | PA      | $26451.71     | 0.04%             | 2027-05-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5873191.UP.NBM                     | DRB5873191.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1840 | PA      | $1916.57      | 0.00%             | 2030-08-26      | Fixed         | 28.22%                | Yes           |                  3 | On Loan: No      |
| DRB5873194.UP.NBM                     | DRB5873194.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8299 | PA      | $7789.32      | 0.01%             | 2030-08-26      | Fixed         | 24.86%                | Yes           |                  3 | On Loan: No      |
| 341386785.UL.NBM                      | 341386785.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       336 | PA      | $332.87       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341467598.UL.NBM                      | 341467598.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       255 | PA      | $252.31       | 0.00%             | 2026-05-20      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 10050662.SQ.NBM                       | 10050662.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     22703 | PA      | $21110.95     | 0.03%             | 2027-05-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10050979.SQ.NBM                       | 10050979.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4443 | PA      | $4219.38      | 0.01%             | 2027-05-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343205645.UL.NBM                      | 343205645.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       371 | PA      | $43.64        | 0.00%             | 2026-02-26      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 343206198.UL.NBM                      | 343206198.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8523 | PA      | $8425.26      | 0.01%             | 2026-07-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341796702.UL.NBM                      | 341796702.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2624 | PA      | $1416.00      | 0.00%             | 2026-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341796708.UL.NBM                      | 341796708.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       329 | PA      | $327.33       | 0.00%             | 2026-02-21      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| DRB5873205.UP.NBM                     | DRB5873205.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     48760 | PA      | $11130.24     | 0.02%             | 2030-08-26      | Fixed         | 29.50%                | Yes           |                  3 | On Loan: No      |
| DRB5873208.UP.NBM                     | DRB5873208.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1312 | PA      | $1360.19      | 0.00%             | 2030-08-26      | Fixed         | 31.71%                | Yes           |                  3 | On Loan: No      |
| 10051054.SQ.NBM                       | 10051054.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8820 | PA      | $8345.29      | 0.01%             | 2027-05-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10051217.SQ.NBM                       | 10051217.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9389 | PA      | $8898.69      | 0.01%             | 2027-05-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341567875.UL.NBM                      | 341567875.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       104 | PA      | $103.57       | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341567878.UL.NBM                      | 341567878.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       167 | PA      | $165.73       | 0.00%             | 2026-02-20      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343206231.UL.NBM                      | 343206231.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       222 | PA      | $219.87       | 0.00%             | 2026-05-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343206298.UL.NBM                      | 343206298.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       203 | PA      | $191.36       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10061324.SQ.NBM                       | 10061324.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5386 | PA      | $5054.60      | 0.01%             | 2027-05-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10061462.SQ.NBM                       | 10061462.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       894 | PA      | $844.78       | 0.00%             | 2027-05-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10171752.SQ.NBM                       | 10171752.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4755 | PA      | $4344.53      | 0.01%             | 2027-06-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10171877.SQ.NBM                       | 10171877.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4441 | PA      | $4165.46      | 0.01%             | 2027-06-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10051391.SQ.NBM                       | 10051391.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16754 | PA      | $14481.23     | 0.02%             | 2027-05-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10051616.SQ.NBM                       | 10051616.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     32024 | PA      | $30380.03     | 0.04%             | 2027-05-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341468425.UL.NBM                      | 341468425.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       181 | PA      | $179.45       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341468529.UL.NBM                      | 341468529.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        37 | PA      | $37.20        | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343206366.UL.NBM                      | 343206366.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       841 | PA      | $837.54       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343206479.UL.NBM                      | 343206479.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        95 | PA      | $94.45        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5873232.UP.NBM                     | DRB5873232.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1843 | PA      | $1871.22      | 0.00%             | 2030-08-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| DRB5873234.UP.NBM                     | DRB5873234.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6280 | PA      | $450.88       | 0.00%             | 2030-08-26      | Fixed         | 32.28%                | Yes           |                  3 | On Loan: No      |
| 343196842.UL.NBM                      | 343196842.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1062 | PA      | $1049.50      | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343196912.UL.NBM                      | 343196912.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       881 | PA      | $880.09       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341796856.UL.NBM                      | 341796856.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       375 | PA      | $377.06       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341797292.UL.NBM                      | 341797292.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       180 | PA      | $177.72       | 0.00%             | 2026-07-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 10089158.SQ.NBM                       | 10089158.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3288 | PA      | $3080.31      | 0.00%             | 2027-05-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10089301.SQ.NBM                       | 10089301.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3961 | PA      | $3755.84      | 0.01%             | 2027-05-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343206526.UL.NBM                      | 343206526.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       350 | PA      | $352.60       | 0.00%             | 2026-05-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343207376.UL.NBM                      | 343207376.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        57 | PA      | $56.28        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341468590.UL.NBM                      | 341468590.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1005 | PA      | $989.11       | 0.00%             | 2027-02-20      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341503451.UL.NBM                      | 341503451.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        72 | PA      | $71.36        | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| DRB5873237.UP.NBM                     | DRB5873237.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2034 | PA      | $2022.56      | 0.00%             | 2030-08-26      | Fixed         | 28.60%                | Yes           |                  3 | On Loan: No      |
| DRB5873267.UP.NBM                     | DRB5873267.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2018 | PA      | $2042.18      | 0.00%             | 2030-08-26      | Fixed         | 29.90%                | Yes           |                  3 | On Loan: No      |
| 10061517.SQ.NBM                       | 10061517.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4962 | PA      | $4695.02      | 0.01%             | 2027-05-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10061631.SQ.NBM                       | 10061631.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1187 | PA      | $990.36       | 0.00%             | 2027-05-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343207570.UL.NBM                      | 343207570.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       115 | PA      | $114.84       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343549329.UL.NBM                      | 343549329.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       222 | PA      | $219.81       | 0.00%             | 2026-05-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 10089539.SQ.NBM                       | 10089539.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5757 | PA      | $5439.43      | 0.01%             | 2027-05-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10089878.SQ.NBM                       | 10089878.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1688 | PA      | $1563.17      | 0.00%             | 2027-05-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341797293.UL.NBM                      | 341797293.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       170 | PA      | $159.82       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341797404.UL.NBM                      | 341797404.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       700 | PA      | $642.27       | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5873275.UP.NBM                     | DRB5873275.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1846 | PA      | $1928.39      | 0.00%             | 2030-08-26      | Fixed         | 31.89%                | Yes           |                  3 | On Loan: No      |
| DRB5873277.UP.NBM                     | DRB5873277.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3472 | PA      | $3576.85      | 0.00%             | 2030-08-26      | Fixed         | 31.07%                | Yes           |                  3 | On Loan: No      |
| 343550079.UL.NBM                      | 343550079.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        92 | PA      | $91.97        | 0.00%             | 2026-02-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343551091.UL.NBM                      | 343551091.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       217 | PA      | $215.27       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341568091.UL.NBM                      | 341568091.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       471 | PA      | $468.97       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341568368.UL.NBM                      | 341568368.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       293 | PA      | $289.74       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10089933.SQ.NBM                       | 10089933.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8211 | PA      | $7715.72      | 0.01%             | 2027-05-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10090175.SQ.NBM                       | 10090175.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       596 | PA      | $582.64       | 0.00%             | 2027-05-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341503629.UL.NBM                      | 341503629.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        34 | PA      | $34.00        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341503832.UL.NBM                      | 341503832.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        39 | PA      | $38.50        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343551101.UL.NBM                      | 343551101.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       217 | PA      | $215.66       | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9767846.SQ.NBM                        | 9767846.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2636 | PA      | $2536.37      | 0.00%             | 2027-03-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5873278.UP.NBM                     | DRB5873278.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6221 | PA      | $6191.06      | 0.01%             | 2028-08-26      | Fixed         | 30.56%                | Yes           |                  3 | On Loan: No      |
| DRB5873280.UP.NBM                     | DRB5873280.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5287 | PA      | $5090.73      | 0.01%             | 2030-08-26      | Fixed         | 26.68%                | Yes           |                  3 | On Loan: No      |
| DRB5875869.UP.NBM                     | DRB5875869.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1755 | PA      | $1675.38      | 0.00%             | 2028-08-26      | Fixed         | 26.39%                | Yes           |                  3 | On Loan: No      |
| DRB5875876.UP.NBM                     | DRB5875876.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6051 | PA      | $434.48       | 0.00%             | 2030-08-26      | Fixed         | 29.95%                | Yes           |                  3 | On Loan: No      |
| 10090290.SQ.NBM                       | 10090290.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     25273 | PA      | $23619.88     | 0.03%             | 2027-05-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10090835.SQ.NBM                       | 10090835.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2513 | PA      | $2356.29      | 0.00%             | 2027-05-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9767868.SQ.NBM                        | 9767868.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1610 | PA      | $1554.84      | 0.00%             | 2027-03-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9767911.SQ.NBM                        | 9767911.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1599 | PA      | $1537.06      | 0.00%             | 2027-03-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341814522.UL.NBM                      | 341814522.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1206 | PA      | $1132.15      | 0.00%             | 2026-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341816711.UL.NBM                      | 341816711.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        51 | PA      | $51.06        | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| DRB5874353.UP.NBM                     | DRB5874353.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11248 | PA      | $11409.54     | 0.02%             | 2030-08-26      | Fixed         | 29.91%                | Yes           |                  3 | On Loan: No      |
| DRB5874354.UP.NBM                     | DRB5874354.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3600 | PA      | $21.51        | 0.00%             | 2030-08-26      | Fixed         | 26.79%                | Yes           |                  3 | On Loan: No      |
| 341504038.UL.NBM                      | 341504038.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       100 | PA      | $99.30        | 0.00%             | 2026-05-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341509938.UL.NBM                      | 341509938.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       266 | PA      | $264.13       | 0.00%             | 2026-02-20      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 10090887.SQ.NBM                       | 10090887.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     25888 | PA      | $23905.80     | 0.03%             | 2027-05-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10091377.SQ.NBM                       | 10091377.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3534 | PA      | $3328.98      | 0.00%             | 2027-05-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10061666.SQ.NBM                       | 10061666.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10563 | PA      | $10151.36     | 0.01%             | 2027-05-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10062108.SQ.NBM                       | 10062108.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1095 | PA      | $747.11       | 0.00%             | 2027-05-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341816970.UL.NBM                      | 341816970.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       101 | PA      | $100.56       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341817622.UL.NBM                      | 341817622.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       547 | PA      | $542.03       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5874365.UP.NBM                     | DRB5874365.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     24630 | PA      | $25138.25     | 0.03%             | 2030-08-26      | Fixed         | 29.84%                | Yes           |                  3 | On Loan: No      |
| DRB5874370.UP.NBM                     | DRB5874370.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3198 | PA      | $3213.34      | 0.00%             | 2030-08-26      | Fixed         | 29.28%                | Yes           |                  3 | On Loan: No      |
| 10091397.SQ.NBM                       | 10091397.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1486 | PA      | $1208.05      | 0.00%             | 2027-05-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10091422.SQ.NBM                       | 10091422.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7532 | PA      | $6965.37      | 0.01%             | 2027-05-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341396499.UL.NBM                      | 341396499.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       233 | PA      | $231.15       | 0.00%             | 2026-05-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341396563.UL.NBM                      | 341396563.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       421 | PA      | $142.29       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343196968.UL.NBM                      | 343196968.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       307 | PA      | $299.09       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343197019.UL.NBM                      | 343197019.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       405 | PA      | $403.33       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9802500.SQ.NBM                        | 9802500.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16078 | PA      | $15199.48     | 0.02%             | 2027-03-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9803762.SQ.NBM                        | 9803762.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1057 | PA      | $971.11       | 0.00%             | 2027-03-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10112590.SQ.NBM                       | 10112590.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11774 | PA      | $11127.07     | 0.02%             | 2027-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10112855.SQ.NBM                       | 10112855.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       439 | PA      | $424.92       | 0.00%             | 2027-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341842189.UL.NBM                      | 341842189.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        42 | PA      | $41.74        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341842343.UL.NBM                      | 341842343.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1560 | PA      | $1479.13      | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9945120.SQ.NBM                        | 9945120.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8473 | PA      | $7324.62      | 0.01%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9945186.SQ.NBM                        | 9945186.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7350 | PA      | $6968.13      | 0.01%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10091522.SQ.NBM                       | 10091522.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2066 | PA      | $1957.80      | 0.00%             | 2027-05-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10091550.SQ.NBM                       | 10091550.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10657 | PA      | $9601.02      | 0.01%             | 2027-05-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10062127.SQ.NBM                       | 10062127.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10832 | PA      | $10218.59     | 0.01%             | 2027-05-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10062296.SQ.NBM                       | 10062296.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     25943 | PA      | $23489.73     | 0.03%             | 2027-05-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9767921.SQ.NBM                        | 9767921.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6822 | PA      | $6597.74      | 0.01%             | 2027-03-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9767994.SQ.NBM                        | 9767994.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3021 | PA      | $2896.35      | 0.00%             | 2027-03-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5874371.UP.NBM                     | DRB5874371.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9594 | PA      | $9627.41      | 0.01%             | 2030-08-26      | Fixed         | 29.20%                | Yes           |                  3 | On Loan: No      |
| DRB5874379.UP.NBM                     | DRB5874379.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2892 | PA      | $2827.77      | 0.00%             | 2030-08-26      | Fixed         | 21.45%                | Yes           |                  3 | On Loan: No      |
| 341842543.UL.NBM                      | 341842543.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       612 | PA      | $606.24       | 0.00%             | 2026-05-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341842937.UL.NBM                      | 341842937.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       734 | PA      | $726.07       | 0.00%             | 2026-07-21      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 10091819.SQ.NBM                       | 10091819.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     44871 | PA      | $41859.84     | 0.06%             | 2027-05-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10092587.SQ.NBM                       | 10092587.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2700 | PA      | $2554.75      | 0.00%             | 2027-05-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5860334.UP.NBM                      | FW5860334.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       968 | PA      | $948.28       | 0.00%             | 2030-08-22      | Fixed         | 27.76%                | Yes           |                  3 | On Loan: No      |
| FW5860375.UP.NBM                      | FW5860375.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1555 | PA      | $1630.19      | 0.00%             | 2030-08-22      | Fixed         | 32.27%                | Yes           |                  3 | On Loan: No      |
| 9768013.SQ.NBM                        | 9768013.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5104 | PA      | $4835.40      | 0.01%             | 2027-03-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9770683.SQ.NBM                        | 9770683.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       552 | PA      | $506.48       | 0.00%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343197399.UL.NBM                      | 343197399.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       836 | PA      | $826.31       | 0.00%             | 2026-07-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343197439.UL.NBM                      | 343197439.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       798 | PA      | $789.23       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341843285.UL.NBM                      | 341843285.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        80 | PA      | $79.84        | 0.00%             | 2026-02-21      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341843408.UL.NBM                      | 341843408.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       958 | PA      | $883.09       | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5874381.UP.NBM                     | DRB5874381.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5163 | PA      | $1318.63      | 0.00%             | 2030-08-26      | Fixed         | 28.80%                | Yes           |                  3 | On Loan: No      |
| DRB5874383.UP.NBM                     | DRB5874383.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1454 | PA      | $1474.45      | 0.00%             | 2030-08-26      | Fixed         | 29.87%                | Yes           |                  3 | On Loan: No      |
| 10092628.SQ.NBM                       | 10092628.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2998 | PA      | $2828.78      | 0.00%             | 2027-05-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10092665.SQ.NBM                       | 10092665.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4828 | PA      | $4573.72      | 0.01%             | 2027-05-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9770697.SQ.NBM                        | 9770697.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       341 | PA      | $317.33       | 0.00%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9770728.SQ.NBM                        | 9770728.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15636 | PA      | $14551.01     | 0.02%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9803779.SQ.NBM                        | 9803779.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       931 | PA      | $901.83       | 0.00%             | 2027-03-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9803788.SQ.NBM                        | 9803788.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9316 | PA      | $8952.08      | 0.01%             | 2027-03-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341231988.UL.NBM                      | 341231988.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |         8 | PA      | $7.93         | 0.00%             | 2035-12-03      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341233013.UL.NBM                      | 341233013.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       348 | PA      | $345.25       | 0.00%             | 2026-02-19      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341843923.UL.NBM                      | 341843923.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        39 | PA      | $38.59        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341844161.UL.NBM                      | 341844161.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        94 | PA      | $93.90        | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 10008224.SQ.NBM                       | 10008224.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4890 | PA      | $4633.92      | 0.01%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10008317.SQ.NBM                       | 10008317.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     66119 | PA      | $60780.40     | 0.08%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9770877.SQ.NBM                        | 9770877.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       735 | PA      | $712.80       | 0.00%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9773181.SQ.NBM                        | 9773181.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5493 | PA      | $5314.86      | 0.01%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342263639.UL.NBM                      | 342263639.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2161 | PA      | $2135.04      | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342263869.UL.NBM                      | 342263869.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1340 | PA      | $1327.92      | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10092756.SQ.NBM                       | 10092756.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     66429 | PA      | $62847.29     | 0.09%             | 2027-05-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10101852.SQ.NBM                       | 10101852.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     57694 | PA      | $54198.00     | 0.07%             | 2027-05-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341844357.UL.NBM                      | 341844357.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        69 | PA      | $68.64        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341844439.UL.NBM                      | 341844439.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        71 | PA      | $70.45        | 0.00%             | 2026-02-21      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 9773294.SQ.NBM                        | 9773294.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4350 | PA      | $4091.14      | 0.01%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9773373.SQ.NBM                        | 9773373.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2826 | PA      | $2653.61      | 0.00%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9803914.SQ.NBM                        | 9803914.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9269 | PA      | $8979.90      | 0.01%             | 2027-03-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9804144.SQ.NBM                        | 9804144.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1165 | PA      | $1080.37      | 0.00%             | 2027-03-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10063007.SQ.NBM                       | 10063007.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6602 | PA      | $5955.41      | 0.01%             | 2027-05-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10063106.SQ.NBM                       | 10063106.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1431 | PA      | $1358.80      | 0.00%             | 2027-05-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9773415.SQ.NBM                        | 9773415.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3812 | PA      | $3348.92      | 0.00%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9824447.SQ.NBM                        | 9824447.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1167 | PA      | $904.89       | 0.00%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341235060.UL.NBM                      | 341235060.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        59 | PA      | $58.11        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341246041.UL.NBM                      | 341246041.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        81 | PA      | $80.49        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10102799.SQ.NBM                       | 10102799.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1436 | PA      | $1399.71      | 0.00%             | 2027-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10102893.SQ.NBM                       | 10102893.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4983 | PA      | $4692.93      | 0.01%             | 2027-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342270927.UL.NBM                      | 342270927.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       297 | PA      | $294.16       | 0.00%             | 2026-05-22      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342271346.UL.NBM                      | 342271346.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1011 | PA      | $999.06       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341845214.UL.NBM                      | 341845214.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       197 | PA      | $38.57        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341855814.UL.NBM                      | 341855814.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       281 | PA      | $277.78       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9824486.SQ.NBM                        | 9824486.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3304 | PA      | $2249.75      | 0.00%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9824594.SQ.NBM                        | 9824594.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       503 | PA      | $479.24       | 0.00%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343197599.UL.NBM                      | 343197599.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       267 | PA      | $264.46       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343197713.UL.NBM                      | 343197713.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       339 | PA      | $322.94       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9824691.SQ.NBM                        | 9824691.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17147 | PA      | $16315.43     | 0.02%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9825243.SQ.NBM                        | 9825243.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3358 | PA      | $2546.46      | 0.00%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10008745.SQ.NBM                       | 10008745.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     63521 | PA      | $58362.88     | 0.08%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10011476.SQ.NBM                       | 10011476.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4973 | PA      | $4548.05      | 0.01%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10103060.SQ.NBM                       | 10103060.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5147 | PA      | $4767.62      | 0.01%             | 2027-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10103236.SQ.NBM                       | 10103236.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1425 | PA      | $1346.70      | 0.00%             | 2027-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342271378.UL.NBM                      | 342271378.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1138 | PA      | $1124.64      | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342271504.UL.NBM                      | 342271504.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       133 | PA      | $49.68        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343197771.UL.NBM                      | 343197771.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       176 | PA      | $165.10       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343197787.UL.NBM                      | 343197787.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       147 | PA      | $145.81       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9825303.SQ.NBM                        | 9825303.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     26538 | PA      | $25383.18     | 0.03%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9825683.SQ.NBM                        | 9825683.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     22661 | PA      | $21719.93     | 0.03%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5874386.UP.NBM                     | DRB5874386.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11308 | PA      | $11362.45     | 0.02%             | 2030-08-26      | Fixed         | 18.57%                | Yes           |                  3 | On Loan: No      |
| DRB5874391.UP.NBM                     | DRB5874391.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4453 | PA      | $4631.83      | 0.01%             | 2030-08-26      | Fixed         | 28.11%                | Yes           |                  3 | On Loan: No      |
| 10103326.SQ.NBM                       | 10103326.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11679 | PA      | $11036.46     | 0.02%             | 2027-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10103922.SQ.NBM                       | 10103922.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5553 | PA      | $5345.61      | 0.01%             | 2027-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341855890.UL.NBM                      | 341855890.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        34 | PA      | $33.68        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341857520.UL.NBM                      | 341857520.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        92 | PA      | $91.57        | 0.00%             | 2026-02-21      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 9825993.SQ.NBM                        | 9825993.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2911 | PA      | $2477.50      | 0.00%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9826020.SQ.NBM                        | 9826020.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1651 | PA      | $1589.37      | 0.00%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342271535.UL.NBM                      | 342271535.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       322 | PA      | $75.92        | 0.00%             | 2035-11-22      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342272066.UL.NBM                      | 342272066.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       303 | PA      | $301.06       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343197812.UL.NBM                      | 343197812.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       454 | PA      | $449.46       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343197831.UL.NBM                      | 343197831.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1393 | PA      | $1289.60      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342644851.UL.NBM                      | 342644851.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1075 | PA      | $992.26       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342645136.UL.NBM                      | 342645136.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.71        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342874939.UL.NBM                      | 342874939.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       210 | PA      | $209.11       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342874972.UL.NBM                      | 342874972.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       454 | PA      | $432.52       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341192673.UL.NBM                      | 341192673.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.42        | 0.00%             | 2026-02-19      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341193277.UL.NBM                      | 341193277.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1055 | PA      | $974.23       | 0.00%             | 2026-07-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341318679.UL.NBM                      | 341318679.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       154 | PA      | $153.10       | 0.00%             | 2026-02-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341319260.UL.NBM                      | 341319260.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        76 | PA      | $75.38        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342150835.UL.NBM                      | 342150835.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       279 | PA      | $264.87       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342150912.UL.NBM                      | 342150912.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       905 | PA      | $894.92       | 0.00%             | 2026-07-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| DRB5874403.UP.NBM                     | DRB5874403.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2994 | PA      | $3080.34      | 0.00%             | 2028-08-26      | Fixed         | 28.98%                | Yes           |                  3 | On Loan: No      |
| DRB5874421.UP.NBM                     | DRB5874421.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3975 | PA      | $4027.00      | 0.01%             | 2030-08-26      | Fixed         | 29.82%                | Yes           |                  3 | On Loan: No      |
| 343197833.UL.NBM                      | 343197833.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       165 | PA      | $163.86       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343197835.UL.NBM                      | 343197835.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1328 | PA      | $1313.48      | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9826039.SQ.NBM                        | 9826039.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2237 | PA      | $1471.48      | 0.00%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9826044.SQ.NBM                        | 9826044.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10681 | PA      | $10367.31     | 0.01%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341857538.UL.NBM                      | 341857538.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        99 | PA      | $98.83        | 0.00%             | 2026-02-21      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341857618.UL.NBM                      | 341857618.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        89 | PA      | $88.87        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10104440.SQ.NBM                       | 10104440.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6745 | PA      | $6353.46      | 0.01%             | 2027-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10104702.SQ.NBM                       | 10104702.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5708 | PA      | $5337.70      | 0.01%             | 2027-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9804152.SQ.NBM                        | 9804152.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     39226 | PA      | $37246.33     | 0.05%             | 2027-03-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9804705.SQ.NBM                        | 9804705.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3735 | PA      | $3643.07      | 0.01%             | 2027-03-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343197850.UL.NBM                      | 343197850.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       216 | PA      | $214.90       | 0.00%             | 2026-07-26      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343197877.UL.NBM                      | 343197877.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1042 | PA      | $1030.76      | 0.00%             | 2026-07-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341858985.UL.NBM                      | 341858985.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       411 | PA      | $408.31       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341860027.UL.NBM                      | 341860027.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        59 | PA      | $59.10        | 0.00%             | 2026-02-21      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 9826203.SQ.NBM                        | 9826203.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19461 | PA      | $17515.36     | 0.02%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9826486.SQ.NBM                        | 9826486.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       728 | PA      | $686.44       | 0.00%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10104932.SQ.NBM                       | 10104932.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     29919 | PA      | $28308.86     | 0.04%             | 2027-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10105809.SQ.NBM                       | 10105809.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21164 | PA      | $19557.66     | 0.03%             | 2027-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5874452.UP.NBM                     | DRB5874452.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4371 | PA      | $306.21       | 0.00%             | 2030-08-26      | Fixed         | 31.10%                | Yes           |                  3 | On Loan: No      |
| DRB5874954.UP.NBM                     | DRB5874954.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3275 | PA      | $3281.86      | 0.00%             | 2030-08-26      | Fixed         | 23.02%                | Yes           |                  3 | On Loan: No      |
| 343197886.UL.NBM                      | 343197886.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       115 | PA      | $114.71       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343197919.UL.NBM                      | 343197919.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       111 | PA      | $110.44       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9826494.SQ.NBM                        | 9826494.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3652 | PA      | $3475.03      | 0.00%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9826973.SQ.NBM                        | 9826973.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7159 | PA      | $6839.94      | 0.01%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341860123.UL.NBM                      | 341860123.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1313 | PA      | $1214.76      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341861526.UL.NBM                      | 341861526.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       396 | PA      | $391.89       | 0.00%             | 2026-05-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 10011583.SQ.NBM                       | 10011583.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1786 | PA      | $1673.83      | 0.00%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10011623.SQ.NBM                       | 10011623.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5548 | PA      | $5217.83      | 0.01%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10106320.SQ.NBM                       | 10106320.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5844 | PA      | $5382.81      | 0.01%             | 2027-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10106443.SQ.NBM                       | 10106443.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3169 | PA      | $2953.70      | 0.00%             | 2027-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9827059.SQ.NBM                        | 9827059.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     32047 | PA      | $30592.15     | 0.04%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9827361.SQ.NBM                        | 9827361.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     37579 | PA      | $34024.65     | 0.05%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343197984.UL.NBM                      | 343197984.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       112 | PA      | $111.03       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343198052.UL.NBM                      | 343198052.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       223 | PA      | $221.83       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5874974.UP.NBM                     | DRB5874974.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2616 | PA      | $2610.01      | 0.00%             | 2030-08-26      | Fixed         | 28.83%                | Yes           |                  3 | On Loan: No      |
| DRB5874976.UP.NBM                     | DRB5874976.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5601 | PA      | $5598.48      | 0.01%             | 2030-08-26      | Fixed         | 25.55%                | Yes           |                  3 | On Loan: No      |
| 341861623.UL.NBM                      | 341861623.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        58 | PA      | $56.72        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341861976.UL.NBM                      | 341861976.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1119 | PA      | $1033.48      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9827798.SQ.NBM                        | 9827798.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17550 | PA      | $15220.37     | 0.02%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9827917.SQ.NBM                        | 9827917.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2918 | PA      | $2749.49      | 0.00%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10011756.SQ.NBM                       | 10011756.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2909 | PA      | $2173.61      | 0.00%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10011809.SQ.NBM                       | 10011809.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13142 | PA      | $12313.82     | 0.02%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9838039.SQ.NBM                        | 9838039.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9532 | PA      | $5191.16      | 0.01%             | 2027-03-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9838101.SQ.NBM                        | 9838101.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15823 | PA      | $15269.89     | 0.02%             | 2027-03-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343198077.UL.NBM                      | 343198077.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        87 | PA      | $87.21        | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343198082.UL.NBM                      | 343198082.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       182 | PA      | $180.60       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5874989.UP.NBM                     | DRB5874989.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8413 | PA      | $8375.49      | 0.01%             | 2030-08-26      | Fixed         | 28.89%                | Yes           |                  3 | On Loan: No      |
| DRB5875008.UP.NBM                     | DRB5875008.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2374 | PA      | $2354.06      | 0.00%             | 2030-08-26      | Fixed         | 17.83%                | Yes           |                  3 | On Loan: No      |
| 9827978.SQ.NBM                        | 9827978.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3630 | PA      | $3281.86      | 0.00%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9828008.SQ.NBM                        | 9828008.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9029 | PA      | $8752.50      | 0.01%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341862020.UL.NBM                      | 341862020.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       289 | PA      | $287.42       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341862217.UL.NBM                      | 341862217.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8465 | PA      | $8339.50      | 0.01%             | 2027-08-21      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 10106478.SQ.NBM                       | 10106478.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7903 | PA      | $6482.14      | 0.01%             | 2027-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10106589.SQ.NBM                       | 10106589.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5112 | PA      | $4759.25      | 0.01%             | 2027-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342272120.UL.NBM                      | 342272120.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        45 | PA      | $44.64        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342272223.UL.NBM                      | 342272223.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       931 | PA      | $919.86       | 0.00%             | 2026-08-22      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 10013051.SQ.NBM                       | 10013051.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     88015 | PA      | $82427.84     | 0.11%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10013892.SQ.NBM                       | 10013892.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19869 | PA      | $18636.79     | 0.03%             | 2027-05-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9828104.SQ.NBM                        | 9828104.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       756 | PA      | $731.46       | 0.00%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9828114.SQ.NBM                        | 9828114.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14664 | PA      | $14195.90     | 0.02%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343198088.UL.NBM                      | 343198088.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       213 | PA      | $200.96       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343198680.UL.NBM                      | 343198680.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       303 | PA      | $300.32       | 0.00%             | 2026-05-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341862392.UL.NBM                      | 341862392.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4704 | PA      | $4660.40      | 0.01%             | 2027-02-21      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341863020.UL.NBM                      | 341863020.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       184 | PA      | $66.84        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10106706.SQ.NBM                       | 10106706.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15971 | PA      | $14912.33     | 0.02%             | 2027-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10107031.SQ.NBM                       | 10107031.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5147 | PA      | $4857.48      | 0.01%             | 2027-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5875024.UP.NBM                     | DRB5875024.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4538 | PA      | $4425.27      | 0.01%             | 2028-08-26      | Fixed         | 28.51%                | Yes           |                  3 | On Loan: No      |
| DRB5875028.UP.NBM                     | DRB5875028.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5565 | PA      | $5473.18      | 0.01%             | 2030-08-26      | Fixed         | 27.71%                | Yes           |                  3 | On Loan: No      |
| 10014311.SQ.NBM                       | 10014311.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9521 | PA      | $9020.52      | 0.01%             | 2027-05-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10014507.SQ.NBM                       | 10014507.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1604 | PA      | $1477.65      | 0.00%             | 2027-05-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9828353.SQ.NBM                        | 9828353.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       454 | PA      | $441.98       | 0.00%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9828387.SQ.NBM                        | 9828387.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       499 | PA      | $485.77       | 0.00%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341863296.UL.NBM                      | 341863296.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       282 | PA      | $280.27       | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341863560.UL.NBM                      | 341863560.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       145 | PA      | $144.10       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10107162.SQ.NBM                       | 10107162.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3189 | PA      | $2997.43      | 0.00%             | 2027-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10107304.SQ.NBM                       | 10107304.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1506 | PA      | $1409.65      | 0.00%             | 2027-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341579696.UL.NBM                      | 341579696.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       678 | PA      | $673.16       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341579736.UL.NBM                      | 341579736.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       160 | PA      | $158.98       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343198746.UL.NBM                      | 343198746.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       668 | PA      | $664.64       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343198940.UL.NBM                      | 343198940.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       386 | PA      | $385.19       | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9828412.SQ.NBM                        | 9828412.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18787 | PA      | $16895.72     | 0.02%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9828585.SQ.NBM                        | 9828585.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1165 | PA      | $1083.53      | 0.00%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5875075.UP.NBM                     | DRB5875075.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9830 | PA      | $9799.72      | 0.01%             | 2030-08-26      | Fixed         | 28.90%                | Yes           |                  3 | On Loan: No      |
| DRB5875093.UP.NBM                     | DRB5875093.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1063 | PA      | $1072.96      | 0.00%             | 2030-08-26      | Fixed         | 26.18%                | Yes           |                  3 | On Loan: No      |
| 342272306.UL.NBM                      | 342272306.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       366 | PA      | $361.29       | 0.00%             | 2026-07-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342272368.UL.NBM                      | 342272368.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1401 | PA      | $1303.59      | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9838389.SQ.NBM                        | 9838389.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       755 | PA      | $697.78       | 0.00%             | 2027-03-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9838395.SQ.NBM                        | 9838395.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5741 | PA      | $5456.43      | 0.01%             | 2027-03-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10108779.SQ.NBM                       | 10108779.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       911 | PA      | $834.98       | 0.00%             | 2027-05-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10108793.SQ.NBM                       | 10108793.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4004 | PA      | $3781.24      | 0.01%             | 2027-05-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9828589.SQ.NBM                        | 9828589.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10526 | PA      | $9936.39      | 0.01%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9828769.SQ.NBM                        | 9828769.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1306 | PA      | $1268.82      | 0.00%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343198994.UL.NBM                      | 343198994.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        80 | PA      | $79.81        | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343199291.UL.NBM                      | 343199291.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       555 | PA      | $122.54       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342272380.UL.NBM                      | 342272380.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       468 | PA      | $465.23       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342272666.UL.NBM                      | 342272666.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       116 | PA      | $43.96        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5875126.UP.NBM                     | DRB5875126.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1758 | PA      | $1699.39      | 0.00%             | 2028-08-26      | Fixed         | 27.64%                | Yes           |                  3 | On Loan: No      |
| DRB5875132.UP.NBM                     | DRB5875132.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     39129 | PA      | $38506.52     | 0.05%             | 2028-08-26      | Fixed         | 29.43%                | Yes           |                  3 | On Loan: No      |
| 10108854.SQ.NBM                       | 10108854.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1785 | PA      | $1664.62      | 0.00%             | 2027-05-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10108885.SQ.NBM                       | 10108885.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1009 | PA      | $940.35       | 0.00%             | 2027-05-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9828873.SQ.NBM                        | 9828873.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4445 | PA      | $4243.59      | 0.01%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9828966.SQ.NBM                        | 9828966.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       989 | PA      | $895.81       | 0.00%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343199412.UL.NBM                      | 343199412.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       163 | PA      | $161.82       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343199475.UL.NBM                      | 343199475.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        38 | PA      | $37.37        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342273135.UL.NBM                      | 342273135.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        77 | PA      | $76.70        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342273960.UL.NBM                      | 342273960.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        98 | PA      | $96.98        | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342297919.UL.NBM                      | 342297919.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2615 | PA      | $1375.88      | 0.00%             | 2026-08-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342298278.UL.NBM                      | 342298278.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        75 | PA      | $74.26        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9828988.SQ.NBM                        | 9828988.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2630 | PA      | $2396.07      | 0.00%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9829258.SQ.NBM                        | 9829258.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5636 | PA      | $5448.74      | 0.01%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10014532.SQ.NBM                       | 10014532.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10212 | PA      | $9716.82      | 0.01%             | 2027-05-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10014918.SQ.NBM                       | 10014918.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11351 | PA      | $10697.33     | 0.01%             | 2027-05-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10108908.SQ.NBM                       | 10108908.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15870 | PA      | $14146.72     | 0.02%             | 2027-05-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10109169.SQ.NBM                       | 10109169.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9941 | PA      | $9363.33      | 0.01%             | 2027-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343199573.UL.NBM                      | 343199573.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       338 | PA      | $39.22        | 0.00%             | 2026-05-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343199583.UL.NBM                      | 343199583.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       384 | PA      | $380.61       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9830280.SQ.NBM                        | 9830280.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2888 | PA      | $2729.05      | 0.00%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9830324.SQ.NBM                        | 9830324.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2354 | PA      | $2226.80      | 0.00%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342274244.UL.NBM                      | 342274244.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1012 | PA      | $933.55       | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342274586.UL.NBM                      | 342274586.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       436 | PA      | $434.04       | 0.00%             | 2026-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 10015163.SQ.NBM                       | 10015163.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     26787 | PA      | $24613.90     | 0.03%             | 2027-05-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10015668.SQ.NBM                       | 10015668.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8042 | PA      | $7631.50      | 0.01%             | 2027-05-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10177698.SQ.NBM                       | 10177698.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2949 | PA      | $2746.89      | 0.00%             | 2027-06-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10179211.SQ.NBM                       | 10179211.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10803 | PA      | $10012.67     | 0.01%             | 2027-06-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9838522.SQ.NBM                        | 9838522.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2960 | PA      | $2307.12      | 0.00%             | 2027-03-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9838560.SQ.NBM                        | 9838560.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       926 | PA      | $631.20       | 0.00%             | 2027-03-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9830383.SQ.NBM                        | 9830383.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5823 | PA      | $5491.08      | 0.01%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9830528.SQ.NBM                        | 9830528.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       537 | PA      | $521.66       | 0.00%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343199597.UL.NBM                      | 343199597.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        89 | PA      | $88.48        | 0.00%             | 2026-02-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343199599.UL.NBM                      | 343199599.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        85 | PA      | $85.02        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342291044.UL.NBM                      | 342291044.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1891 | PA      | $1862.32      | 0.00%             | 2027-08-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342291193.UL.NBM                      | 342291193.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       112 | PA      | $111.69       | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341579740.UL.NBM                      | 341579740.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       230 | PA      | $223.72       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341579844.UL.NBM                      | 341579844.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       356 | PA      | $352.19       | 0.00%             | 2026-05-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 10179940.SQ.NBM                       | 10179940.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4505 | PA      | $4131.52      | 0.01%             | 2027-06-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10180268.SQ.NBM                       | 10180268.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2132 | PA      | $1930.52      | 0.00%             | 2027-06-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10017066.SQ.NBM                       | 10017066.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4651 | PA      | $4338.59      | 0.01%             | 2027-05-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10017507.SQ.NBM                       | 10017507.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1475 | PA      | $1383.42      | 0.00%             | 2027-05-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9830550.SQ.NBM                        | 9830550.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11456 | PA      | $10940.70     | 0.02%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9830706.SQ.NBM                        | 9830706.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9941 | PA      | $9037.53      | 0.01%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342291319.UL.NBM                      | 342291319.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       242 | PA      | $34.89        | 0.00%             | 2035-11-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342291329.UL.NBM                      | 342291329.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        62 | PA      | $62.04        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343199626.UL.NBM                      | 343199626.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       265 | PA      | $263.42       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343199675.UL.NBM                      | 343199675.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       273 | PA      | $270.88       | 0.00%             | 2026-05-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9838570.SQ.NBM                        | 9838570.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     41279 | PA      | $39240.63     | 0.05%             | 2027-03-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9960381.SQ.NBM                        | 9960381.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2940 | PA      | $2792.83      | 0.00%             | 2027-04-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9830825.SQ.NBM                        | 9830825.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3689 | PA      | $3426.41      | 0.00%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9830946.SQ.NBM                        | 9830946.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13300 | PA      | $12691.98     | 0.02%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5875174.UP.NBM                     | DRB5875174.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1149 | PA      | $1213.76      | 0.00%             | 2030-08-26      | Fixed         | 29.30%                | Yes           |                  3 | On Loan: No      |
| FW5858458.UP.NBM                      | FW5858458.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       994 | PA      | $927.02       | 0.00%             | 2028-08-22      | Fixed         | 19.26%                | Yes           |                  3 | On Loan: No      |
| 10017575.SQ.NBM                       | 10017575.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11502 | PA      | $10860.95     | 0.01%             | 2027-05-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10021424.SQ.NBM                       | 10021424.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       326 | PA      | $316.84       | 0.00%             | 2027-05-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342291516.UL.NBM                      | 342291516.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       118 | PA      | $117.17       | 0.00%             | 2026-05-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342291576.UL.NBM                      | 342291576.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       207 | PA      | $204.73       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9831107.SQ.NBM                        | 9831107.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1218 | PA      | $378.52       | 0.00%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9901878.SQ.NBM                        | 9901878.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1176 | PA      | $1053.59      | 0.00%             | 2027-04-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343199687.UL.NBM                      | 343199687.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       480 | PA      | $476.19       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343199717.UL.NBM                      | 343199717.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       151 | PA      | $149.98       | 0.00%             | 2026-02-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 10180420.SQ.NBM                       | 10180420.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3140 | PA      | $2944.29      | 0.00%             | 2027-06-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10180618.SQ.NBM                       | 10180618.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1597 | PA      | $1480.32      | 0.00%             | 2027-06-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5858465.UP.NBM                      | FW5858465.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1633 | PA      | $1554.73      | 0.00%             | 2030-08-22      | Fixed         | 26.01%                | Yes           |                  3 | On Loan: No      |
| FW5858486.UP.NBM                      | FW5858486.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1358 | PA      | $1390.32      | 0.00%             | 2030-08-22      | Fixed         | 30.64%                | Yes           |                  3 | On Loan: No      |
| 9901923.SQ.NBM                        | 9901923.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       777 | PA      | $731.74       | 0.00%             | 2027-04-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9901969.SQ.NBM                        | 9901969.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10698 | PA      | $9814.57      | 0.01%             | 2027-04-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341863571.UL.NBM                      | 341863571.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $66.65        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341863787.UL.NBM                      | 341863787.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       260 | PA      | $258.91       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342291640.UL.NBM                      | 342291640.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       521 | PA      | $484.08       | 0.00%             | 2026-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342291643.UL.NBM                      | 342291643.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       333 | PA      | $331.90       | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341864745.UL.NBM                      | 341864745.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        55 | PA      | $54.38        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341864766.UL.NBM                      | 341864766.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       350 | PA      | $348.03       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9960444.SQ.NBM                        | 9960444.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12082 | PA      | $11428.71     | 0.02%             | 2027-04-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9960714.SQ.NBM                        | 9960714.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7922 | PA      | $7428.65      | 0.01%             | 2027-04-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9945298.SQ.NBM                        | 9945298.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18936 | PA      | $17979.58     | 0.02%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9945585.SQ.NBM                        | 9945585.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7380 | PA      | $6994.52      | 0.01%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10180708.SQ.NBM                       | 10180708.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10343 | PA      | $9696.30      | 0.01%             | 2027-06-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10181527.SQ.NBM                       | 10181527.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2490 | PA      | $2270.08      | 0.00%             | 2027-06-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9902216.SQ.NBM                        | 9902216.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6763 | PA      | $6420.51      | 0.01%             | 2027-04-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9902408.SQ.NBM                        | 9902408.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16725 | PA      | $15894.88     | 0.02%             | 2027-04-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5858529.UP.NBM                      | FW5858529.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2227 | PA      | $2202.29      | 0.00%             | 2030-08-22      | Fixed         | 24.96%                | Yes           |                  3 | On Loan: No      |
| FW5858604.UP.NBM                      | FW5858604.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3343 | PA      | $3212.26      | 0.00%             | 2030-08-22      | Fixed         | 15.89%                | Yes           |                  3 | On Loan: No      |
| 341864798.UL.NBM                      | 341864798.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       357 | PA      | $353.86       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341864860.UL.NBM                      | 341864860.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        76 | PA      | $75.13        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9804778.SQ.NBM                        | 9804778.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     42324 | PA      | $35044.26     | 0.05%             | 2027-03-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9805351.SQ.NBM                        | 9805351.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1669 | PA      | $1593.57      | 0.00%             | 2027-03-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9960925.SQ.NBM                        | 9960925.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6795 | PA      | $6401.89      | 0.01%             | 2027-04-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9961057.SQ.NBM                        | 9961057.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4224 | PA      | $3880.70      | 0.01%             | 2027-04-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9902962.SQ.NBM                        | 9902962.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4680 | PA      | $4429.08      | 0.01%             | 2027-04-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9903061.SQ.NBM                        | 9903061.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13097 | PA      | $12422.12     | 0.02%             | 2027-04-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343199767.UL.NBM                      | 343199767.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       207 | PA      | $206.32       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343199951.UL.NBM                      | 343199951.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       626 | PA      | $597.43       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341866153.UL.NBM                      | 341866153.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       137 | PA      | $135.73       | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341867278.UL.NBM                      | 341867278.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       182 | PA      | $180.30       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5858627.UP.NBM                      | FW5858627.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2089 | PA      | $2004.93      | 0.00%             | 2028-08-22      | Fixed         | 13.76%                | Yes           |                  3 | On Loan: No      |
| FW5858637.UP.NBM                      | FW5858637.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2952 | PA      | $2727.15      | 0.00%             | 2030-08-22      | Fixed         | 13.53%                | Yes           |                  3 | On Loan: No      |
| 9903345.SQ.NBM                        | 9903345.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       717 | PA      | $675.91       | 0.00%             | 2027-04-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9903383.SQ.NBM                        | 9903383.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3775 | PA      | $3583.25      | 0.00%             | 2027-04-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10181688.SQ.NBM                       | 10181688.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9923 | PA      | $9303.93      | 0.01%             | 2027-06-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10182158.SQ.NBM                       | 10182158.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1615 | PA      | $1469.03      | 0.00%             | 2027-06-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5860381.UP.NBM                      | FW5860381.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5293 | PA      | $5011.21      | 0.01%             | 2030-08-22      | Fixed         | 22.22%                | Yes           |                  3 | On Loan: No      |
| FW5860438.UP.NBM                      | FW5860438.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2326 | PA      | $2333.75      | 0.00%             | 2030-08-22      | Fixed         | 29.32%                | Yes           |                  3 | On Loan: No      |
| 10021439.SQ.NBM                       | 10021439.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6676 | PA      | $6324.71      | 0.01%             | 2027-05-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10021568.SQ.NBM                       | 10021568.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10740 | PA      | $9999.77      | 0.01%             | 2027-05-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341937406.UL.NBM                      | 341937406.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       200 | PA      | $187.21       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341937438.UL.NBM                      | 341937438.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       225 | PA      | $222.50       | 0.00%             | 2026-05-21      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 343199993.UL.NBM                      | 343199993.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        45 | PA      | $5.46         | 0.00%             | 2035-11-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343200048.UL.NBM                      | 343200048.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       164 | PA      | $163.15       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9903426.SQ.NBM                        | 9903426.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7054 | PA      | $6414.17      | 0.01%             | 2027-04-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9903542.SQ.NBM                        | 9903542.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3104 | PA      | $2816.86      | 0.00%             | 2027-04-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5858662.UP.NBM                      | FW5858662.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2891 | PA      | $2921.52      | 0.00%             | 2030-08-22      | Fixed         | 29.94%                | Yes           |                  3 | On Loan: No      |
| FW5858663.UP.NBM                      | FW5858663.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3227 | PA      | $3031.45      | 0.00%             | 2028-08-22      | Fixed         | 24.97%                | Yes           |                  3 | On Loan: No      |
| 10182206.SQ.NBM                       | 10182206.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16603 | PA      | $15571.17     | 0.02%             | 2027-06-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10182875.SQ.NBM                       | 10182875.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10984 | PA      | $10305.16     | 0.01%             | 2027-06-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341937482.UL.NBM                      | 341937482.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       154 | PA      | $153.26       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341937747.UL.NBM                      | 341937747.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1469 | PA      | $1360.41      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10021753.SQ.NBM                       | 10021753.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4843 | PA      | $4539.10      | 0.01%             | 2027-05-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10021939.SQ.NBM                       | 10021939.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4309 | PA      | $3640.78      | 0.01%             | 2027-05-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9903597.SQ.NBM                        | 9903597.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1214 | PA      | $1133.30      | 0.00%             | 2027-04-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9903612.SQ.NBM                        | 9903612.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     26912 | PA      | $25479.70     | 0.04%             | 2027-04-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343200073.UL.NBM                      | 343200073.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       466 | PA      | $462.04       | 0.00%             | 2026-05-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343200150.UL.NBM                      | 343200150.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       243 | PA      | $240.70       | 0.00%             | 2026-05-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 9961128.SQ.NBM                        | 9961128.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     28751 | PA      | $27087.92     | 0.04%             | 2027-04-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9961508.SQ.NBM                        | 9961508.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6608 | PA      | $6257.70      | 0.01%             | 2027-04-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5858669.UP.NBM                      | FW5858669.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2813 | PA      | $2432.83      | 0.00%             | 2030-08-22      | Fixed         | 31.97%                | Yes           |                  3 | On Loan: No      |
| FW5858702.UP.NBM                      | FW5858702.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2391 | PA      | $2350.09      | 0.00%             | 2030-08-22      | Fixed         | 17.34%                | Yes           |                  3 | On Loan: No      |
| 341940338.UL.NBM                      | 341940338.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       838 | PA      | $828.13       | 0.00%             | 2026-07-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341940573.UL.NBM                      | 341940573.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       100 | PA      | $99.87        | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 9904067.SQ.NBM                        | 9904067.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8472 | PA      | $7762.23      | 0.01%             | 2027-04-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9904259.SQ.NBM                        | 9904259.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1867 | PA      | $1759.84      | 0.00%             | 2027-04-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10183216.SQ.NBM                       | 10183216.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     53943 | PA      | $49829.72     | 0.07%             | 2027-06-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10184823.SQ.NBM                       | 10184823.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12141 | PA      | $11039.04     | 0.02%             | 2027-06-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343200153.UL.NBM                      | 343200153.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        90 | PA      | $89.67        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343200233.UL.NBM                      | 343200233.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       420 | PA      | $416.48       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9961660.SQ.NBM                        | 9961660.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16379 | PA      | $15394.73     | 0.02%             | 2027-04-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9961870.SQ.NBM                        | 9961870.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11899 | PA      | $10285.38     | 0.01%             | 2027-04-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10022055.SQ.NBM                       | 10022055.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1062 | PA      | $1030.88      | 0.00%             | 2027-05-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10022093.SQ.NBM                       | 10022093.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16653 | PA      | $15522.54     | 0.02%             | 2027-05-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343303075.UL.NBM                      | 343303075.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       556 | PA      | $516.44       | 0.00%             | 2026-05-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343303295.UL.NBM                      | 343303295.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       271 | PA      | $269.40       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9904296.SQ.NBM                        | 9904296.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12059 | PA      | $10965.62     | 0.02%             | 2027-04-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9904463.SQ.NBM                        | 9904463.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4888 | PA      | $4206.74      | 0.01%             | 2027-04-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341940669.UL.NBM                      | 341940669.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.60        | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341940687.UL.NBM                      | 341940687.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       524 | PA      | $518.96       | 0.00%             | 2026-05-21      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 9962028.SQ.NBM                        | 9962028.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14713 | PA      | $13887.88     | 0.02%             | 2027-04-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9962170.SQ.NBM                        | 9962170.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     34421 | PA      | $32556.68     | 0.04%             | 2027-04-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10185282.SQ.NBM                       | 10185282.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3779 | PA      | $3544.18      | 0.00%             | 2027-06-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10185354.SQ.NBM                       | 10185354.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     33456 | PA      | $30929.65     | 0.04%             | 2027-06-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9904525.SQ.NBM                        | 9904525.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2787 | PA      | $2628.10      | 0.00%             | 2027-04-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9904589.SQ.NBM                        | 9904589.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11332 | PA      | $10701.13     | 0.01%             | 2027-04-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10022669.SQ.NBM                       | 10022669.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18035 | PA      | $16914.45     | 0.02%             | 2027-05-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10023668.SQ.NBM                       | 10023668.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7823 | PA      | $6100.72      | 0.01%             | 2027-05-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343303867.UL.NBM                      | 343303867.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1002 | PA      | $928.70       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343303960.UL.NBM                      | 343303960.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       911 | PA      | $906.65       | 0.00%             | 2026-02-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| FW5858725.UP.NBM                      | FW5858725.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1546 | PA      | $1534.91      | 0.00%             | 2030-08-22      | Fixed         | 28.76%                | Yes           |                  3 | On Loan: No      |
| FW5858729.UP.NBM                      | FW5858729.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19489 | PA      | $18415.15     | 0.03%             | 2028-08-22      | Fixed         | 15.68%                | Yes           |                  3 | On Loan: No      |
| 9904844.SQ.NBM                        | 9904844.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5196 | PA      | $4932.54      | 0.01%             | 2027-04-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9904950.SQ.NBM                        | 9904950.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6302 | PA      | $6007.91      | 0.01%             | 2027-04-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341309465.UL.NBM                      | 341309465.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       179 | PA      | $178.58       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341310761.UL.NBM                      | 341310761.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       222 | PA      | $220.03       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10187449.SQ.NBM                       | 10187449.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3789 | PA      | $3553.06      | 0.00%             | 2027-06-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10187627.SQ.NBM                       | 10187627.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2247 | PA      | $2042.40      | 0.00%             | 2027-06-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343304106.UL.NBM                      | 343304106.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       127 | PA      | $126.61       | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343304269.UL.NBM                      | 343304269.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       498 | PA      | $492.97       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9905125.SQ.NBM                        | 9905125.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11146 | PA      | $10589.28     | 0.01%             | 2027-04-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9905306.SQ.NBM                        | 9905306.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2155 | PA      | $2054.05      | 0.00%             | 2027-04-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341946014.UL.NBM                      | 341946014.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       391 | PA      | $380.44       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341946748.UL.NBM                      | 341946748.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       365 | PA      | $361.89       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5858746.UP.NBM                      | FW5858746.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2006 | PA      | $1965.15      | 0.00%             | 2030-08-22      | Fixed         | 21.67%                | Yes           |                  3 | On Loan: No      |
| FW5858754.UP.NBM                      | FW5858754.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4563 | PA      | $4716.90      | 0.01%             | 2030-08-22      | Fixed         | 31.31%                | Yes           |                  3 | On Loan: No      |
| 10024211.SQ.NBM                       | 10024211.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3774 | PA      | $3576.85      | 0.00%             | 2027-05-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10024375.SQ.NBM                       | 10024375.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2428 | PA      | $2293.97      | 0.00%             | 2027-05-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9905344.SQ.NBM                        | 9905344.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11925 | PA      | $11218.79     | 0.02%             | 2027-04-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9905618.SQ.NBM                        | 9905618.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15272 | PA      | $14579.81     | 0.02%             | 2027-04-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10187708.SQ.NBM                       | 10187708.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14339 | PA      | $13446.93     | 0.02%             | 2027-06-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10190009.SQ.NBM                       | 10190009.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2218 | PA      | $2020.58      | 0.00%             | 2027-06-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343304590.UL.NBM                      | 343304590.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       452 | PA      | $448.27       | 0.00%             | 2026-05-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343305321.UL.NBM                      | 343305321.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       934 | PA      | $924.20       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341946779.UL.NBM                      | 341946779.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1429 | PA      | $1329.96      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341946982.UL.NBM                      | 341946982.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        75 | PA      | $72.14        | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9906214.SQ.NBM                        | 9906214.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12099 | PA      | $11470.26     | 0.02%             | 2027-04-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9906466.SQ.NBM                        | 9906466.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14554 | PA      | $13799.04     | 0.02%             | 2027-04-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341336274.UL.NBM                      | 341336274.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       131 | PA      | $124.08       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341336288.UL.NBM                      | 341336288.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       199 | PA      | $196.93       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10024465.SQ.NBM                       | 10024465.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7294 | PA      | $6908.28      | 0.01%             | 2027-05-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10024693.SQ.NBM                       | 10024693.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11621 | PA      | $10949.36     | 0.02%             | 2027-05-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5858761.UP.NBM                      | FW5858761.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1943 | PA      | $2025.55      | 0.00%             | 2030-08-22      | Fixed         | 31.89%                | Yes           |                  3 | On Loan: No      |
| FW5858782.UP.NBM                      | FW5858782.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3122 | PA      | $2990.48      | 0.00%             | 2028-08-22      | Fixed         | 21.64%                | Yes           |                  3 | On Loan: No      |
| 10190076.SQ.NBM                       | 10190076.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1882 | PA      | $1742.52      | 0.00%             | 2027-06-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10193035.SQ.NBM                       | 10193035.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21508 | PA      | $20037.77     | 0.03%             | 2027-06-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341948845.UL.NBM                      | 341948845.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       173 | PA      | $170.56       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341950052.UL.NBM                      | 341950052.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       610 | PA      | $579.01       | 0.00%             | 2026-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9906725.SQ.NBM                        | 9906725.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     25143 | PA      | $23862.31     | 0.03%             | 2027-04-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9907234.SQ.NBM                        | 9907234.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     31621 | PA      | $29922.43     | 0.04%             | 2027-04-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5858788.UP.NBM                      | FW5858788.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3390 | PA      | $3367.54      | 0.00%             | 2030-08-22      | Fixed         | 28.66%                | Yes           |                  3 | On Loan: No      |
| FW5858847.UP.NBM                      | FW5858847.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1000 | PA      | $933.46       | 0.00%             | 2028-08-22      | Fixed         | 14.44%                | Yes           |                  3 | On Loan: No      |
| 10024977.SQ.NBM                       | 10024977.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14665 | PA      | $12924.11     | 0.02%             | 2027-05-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10025268.SQ.NBM                       | 10025268.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     32253 | PA      | $30604.04     | 0.04%             | 2027-05-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343305340.UL.NBM                      | 343305340.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        45 | PA      | $45.02        | 0.00%             | 2026-02-26      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 343305803.UL.NBM                      | 343305803.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        92 | PA      | $91.89        | 0.00%             | 2026-02-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 10193919.SQ.NBM                       | 10193919.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8487 | PA      | $7956.60      | 0.01%             | 2027-06-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10194673.SQ.NBM                       | 10194673.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6207 | PA      | $5729.04      | 0.01%             | 2027-06-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9907773.SQ.NBM                        | 9907773.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     31115 | PA      | $29224.67     | 0.04%             | 2027-04-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9908222.SQ.NBM                        | 9908222.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1261 | PA      | $1193.86      | 0.00%             | 2027-04-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341951448.UL.NBM                      | 341951448.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       175 | PA      | $173.75       | 0.00%             | 2026-05-21      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341951504.UL.NBM                      | 341951504.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       851 | PA      | $846.09       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10025865.SQ.NBM                       | 10025865.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     22219 | PA      | $20820.19     | 0.03%             | 2027-05-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10026291.SQ.NBM                       | 10026291.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1914 | PA      | $1825.24      | 0.00%             | 2027-05-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5858870.UP.NBM                      | FW5858870.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5358 | PA      | $5131.53      | 0.01%             | 2030-08-22      | Fixed         | 23.10%                | Yes           |                  3 | On Loan: No      |
| FW5859088.UP.NBM                      | FW5859088.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4353 | PA      | $4240.23      | 0.01%             | 2030-08-22      | Fixed         | 27.37%                | Yes           |                  3 | On Loan: No      |
| 9908482.SQ.NBM                        | 9908482.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     62323 | PA      | $59208.31     | 0.08%             | 2027-04-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9909435.SQ.NBM                        | 9909435.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       896 | PA      | $841.69       | 0.00%             | 2027-04-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343088769.UL.NBM                      | 343088769.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        19 | PA      | $19.07        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343089497.UL.NBM                      | 343089497.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       790 | PA      | $441.85       | 0.00%             | 2026-02-25      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341951761.UL.NBM                      | 341951761.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       251 | PA      | $239.07       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341951898.UL.NBM                      | 341951898.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       196 | PA      | $194.77       | 0.00%             | 2026-02-21      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 10026370.SQ.NBM                       | 10026370.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18671 | PA      | $17714.26     | 0.02%             | 2027-05-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10026862.SQ.NBM                       | 10026862.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     40736 | PA      | $38393.12     | 0.05%             | 2027-05-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9909447.SQ.NBM                        | 9909447.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     25018 | PA      | $23772.88     | 0.03%             | 2027-04-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9973539.SQ.NBM                        | 9973539.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1951 | PA      | $1827.60      | 0.00%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5859098.UP.NBM                      | FW5859098.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4936 | PA      | $4090.83      | 0.01%             | 2030-08-22      | Fixed         | 28.55%                | Yes           |                  3 | On Loan: No      |
| FW5859112.UP.NBM                      | FW5859112.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4001 | PA      | $3930.72      | 0.01%             | 2030-09-01      | Fixed         | 28.80%                | Yes           |                  3 | On Loan: No      |
| 343089548.UL.NBM                      | 343089548.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       491 | PA      | $122.07       | 0.00%             | 2026-05-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343089557.UL.NBM                      | 343089557.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        73 | PA      | $72.82        | 0.00%             | 2026-02-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343305949.UL.NBM                      | 343305949.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2510 | PA      | $2471.37      | 0.00%             | 2027-02-26      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 343328630.UL.NBM                      | 343328630.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2265 | PA      | $2240.97      | 0.00%             | 2026-07-26      | Fixed         | 25.99%                | Yes           |                  3 | On Loan: No      |
| 9973564.SQ.NBM                        | 9973564.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12940 | PA      | $9550.43      | 0.01%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9973726.SQ.NBM                        | 9973726.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1633 | PA      | $1527.60      | 0.00%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10027549.SQ.NBM                       | 10027549.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6979 | PA      | $6488.62      | 0.01%             | 2027-05-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10027742.SQ.NBM                       | 10027742.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1709 | PA      | $1526.76      | 0.00%             | 2027-05-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343089641.UL.NBM                      | 343089641.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1821 | PA      | $1801.05      | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343089644.UL.NBM                      | 343089644.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       272 | PA      | $270.72       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341951920.UL.NBM                      | 341951920.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       451 | PA      | $450.23       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341952328.UL.NBM                      | 341952328.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       467 | PA      | $465.01       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9973748.SQ.NBM                        | 9973748.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9198 | PA      | $8466.66      | 0.01%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9973889.SQ.NBM                        | 9973889.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12674 | PA      | $11905.46     | 0.02%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5859191.UP.NBM                      | FW5859191.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3105 | PA      | $3172.75      | 0.00%             | 2030-08-22      | Fixed         | 30.54%                | Yes           |                  3 | On Loan: No      |
| FW5859192.UP.NBM                      | FW5859192.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       995 | PA      | $1018.07      | 0.00%             | 2028-08-22      | Fixed         | 23.46%                | Yes           |                  3 | On Loan: No      |
| 10027776.SQ.NBM                       | 10027776.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       987 | PA      | $917.25       | 0.00%             | 2027-05-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10027800.SQ.NBM                       | 10027800.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2874 | PA      | $2590.46      | 0.00%             | 2027-05-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343090259.UL.NBM                      | 343090259.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       608 | PA      | $604.80       | 0.00%             | 2026-02-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343090710.UL.NBM                      | 343090710.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       237 | PA      | $29.24        | 0.00%             | 2035-11-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341952403.UL.NBM                      | 341952403.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        71 | PA      | $70.75        | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341953318.UL.NBM                      | 341953318.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       120 | PA      | $118.88       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9974086.SQ.NBM                        | 9974086.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4389 | PA      | $4161.50      | 0.01%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9974160.SQ.NBM                        | 9974160.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7308 | PA      | $6895.06      | 0.01%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5859215.UP.NBM                      | FW5859215.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4178 | PA      | $4377.60      | 0.01%             | 2030-08-22      | Fixed         | 32.22%                | Yes           |                  3 | On Loan: No      |
| FW5859219.UP.NBM                      | FW5859219.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2056 | PA      | $1761.86      | 0.00%             | 2030-08-22      | Fixed         | 31.30%                | Yes           |                  3 | On Loan: No      |
| FW5859243.UP.NBM                      | FW5859243.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2291 | PA      | $2130.66      | 0.00%             | 2030-08-22      | Fixed         | 18.52%                | Yes           |                  3 | On Loan: No      |
| FW5859251.UP.NBM                      | FW5859251.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1053 | PA      | $993.86       | 0.00%             | 2028-08-22      | Fixed         | 20.24%                | Yes           |                  3 | On Loan: No      |
| 9974275.SQ.NBM                        | 9974275.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2609 | PA      | $2348.16      | 0.00%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9974315.SQ.NBM                        | 9974315.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10509 | PA      | $9949.15      | 0.01%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343090864.UL.NBM                      | 343090864.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        96 | PA      | $95.17        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343090941.UL.NBM                      | 343090941.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       241 | PA      | $238.89       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342150983.UL.NBM                      | 342150983.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       404 | PA      | $400.59       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342151537.UL.NBM                      | 342151537.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       661 | PA      | $612.29       | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342523688.UL.NBM                      | 342523688.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       330 | PA      | $327.90       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342565055.UL.NBM                      | 342565055.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1495 | PA      | $1359.22      | 0.00%             | 2027-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341953446.UL.NBM                      | 341953446.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4240 | PA      | $4188.76      | 0.01%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341953481.UL.NBM                      | 341953481.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       609 | PA      | $603.78       | 0.00%             | 2026-05-22      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 10027840.SQ.NBM                       | 10027840.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1325 | PA      | $1250.98      | 0.00%             | 2027-05-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10027890.SQ.NBM                       | 10027890.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3999 | PA      | $3782.30      | 0.01%             | 2027-05-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9974469.SQ.NBM                        | 9974469.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6627 | PA      | $6052.79      | 0.01%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9974565.SQ.NBM                        | 9974565.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11298 | PA      | $10289.03     | 0.01%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343091095.UL.NBM                      | 343091095.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       208 | PA      | $207.55       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343092243.UL.NBM                      | 343092243.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       496 | PA      | $492.48       | 0.00%             | 2026-05-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| FW5859274.UP.NBM                      | FW5859274.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3302 | PA      | $3435.87      | 0.00%             | 2030-08-22      | Fixed         | 31.75%                | Yes           |                  3 | On Loan: No      |
| FW5859285.UP.NBM                      | FW5859285.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3203 | PA      | $3286.36      | 0.00%             | 2030-08-22      | Fixed         | 30.82%                | Yes           |                  3 | On Loan: No      |
| 341336367.UL.NBM                      | 341336367.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        97 | PA      | $96.00        | 0.00%             | 2026-02-19      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341336725.UL.NBM                      | 341336725.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       227 | PA      | $225.69       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342298369.UL.NBM                      | 342298369.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       415 | PA      | $59.89        | 0.00%             | 2035-11-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342298380.UL.NBM                      | 342298380.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       154 | PA      | $153.11       | 0.00%             | 2026-02-23      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 9974710.SQ.NBM                        | 9974710.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1937 | PA      | $1823.24      | 0.00%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9974752.SQ.NBM                        | 9974752.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2503 | PA      | $2343.92      | 0.00%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342151627.UL.NBM                      | 342151627.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       109 | PA      | $108.06       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342152491.UL.NBM                      | 342152491.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7158 | PA      | $6605.31      | 0.01%             | 2027-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343092588.UL.NBM                      | 343092588.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        81 | PA      | $80.22        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343092597.UL.NBM                      | 343092597.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       211 | PA      | $199.32       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10027952.SQ.NBM                       | 10027952.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16315 | PA      | $15435.17     | 0.02%             | 2027-05-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10028091.SQ.NBM                       | 10028091.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       921 | PA      | $871.04       | 0.00%             | 2027-05-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9974818.SQ.NBM                        | 9974818.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1051 | PA      | $989.40       | 0.00%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9974852.SQ.NBM                        | 9974852.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     43456 | PA      | $41231.99     | 0.06%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5859286.UP.NBM                      | FW5859286.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1699 | PA      | $1760.74      | 0.00%             | 2030-08-22      | Fixed         | 31.79%                | Yes           |                  3 | On Loan: No      |
| FW5859295.UP.NBM                      | FW5859295.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2422 | PA      | $2390.21      | 0.00%             | 2030-08-22      | Fixed         | 28.24%                | Yes           |                  3 | On Loan: No      |
| 9805419.SQ.NBM                        | 9805419.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3601 | PA      | $3421.24      | 0.00%             | 2027-03-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9805497.SQ.NBM                        | 9805497.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2429 | PA      | $2015.60      | 0.00%             | 2027-03-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343094043.UL.NBM                      | 343094043.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       236 | PA      | $234.79       | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343094653.UL.NBM                      | 343094653.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        45 | PA      | $44.57        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341953599.UL.NBM                      | 341953599.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       500 | PA      | $461.84       | 0.00%             | 2026-05-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341953744.UL.NBM                      | 341953744.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       124 | PA      | $122.91       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9975335.SQ.NBM                        | 9975335.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4290 | PA      | $3980.68      | 0.01%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9975374.SQ.NBM                        | 9975374.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1140 | PA      | $1067.52      | 0.00%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10028171.SQ.NBM                       | 10028171.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11787 | PA      | $11057.81     | 0.02%             | 2027-05-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10028690.SQ.NBM                       | 10028690.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1129 | PA      | $1062.76      | 0.00%             | 2027-05-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5859323.UP.NBM                      | FW5859323.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2400 | PA      | $2486.19      | 0.00%             | 2030-08-22      | Fixed         | 31.61%                | Yes           |                  3 | On Loan: No      |
| FW5859344.UP.NBM                      | FW5859344.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1005 | PA      | $930.28       | 0.00%             | 2028-08-22      | Fixed         | 18.29%                | Yes           |                  3 | On Loan: No      |
| 343137534.UL.NBM                      | 343137534.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        42 | PA      | $41.84        | 0.00%             | 2026-02-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343137691.UL.NBM                      | 343137691.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2389 | PA      | $2182.36      | 0.00%             | 2027-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9975391.SQ.NBM                        | 9975391.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7949 | PA      | $7500.17      | 0.01%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9975482.SQ.NBM                        | 9975482.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3008 | PA      | $2759.16      | 0.00%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343328886.UL.NBM                      | 343328886.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1124 | PA      | $1112.14      | 0.00%             | 2026-07-26      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343329178.UL.NBM                      | 343329178.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        89 | PA      | $88.91        | 0.00%             | 2026-02-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 10028739.SQ.NBM                       | 10028739.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8382 | PA      | $7793.64      | 0.01%             | 2027-05-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10077148.SQ.NBM                       | 10077148.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18256 | PA      | $17229.97     | 0.02%             | 2027-05-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5862587.UP.NBM                      | FW5862587.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1700 | PA      | $-17.88       | -0.00%            | 2030-08-25      | Fixed         | 32.01%                | Yes           |                  3 | On Loan: No      |
| FW5862670.UP.NBM                      | FW5862670.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2168 | PA      | $487.54       | 0.00%             | 2030-08-25      | Fixed         | 30.16%                | Yes           |                  3 | On Loan: No      |
| 9976736.SQ.NBM                        | 9976736.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6207 | PA      | $5785.05      | 0.01%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9976801.SQ.NBM                        | 9976801.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5863 | PA      | $5545.44      | 0.01%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343137922.UL.NBM                      | 343137922.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        97 | PA      | $96.56        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343138012.UL.NBM                      | 343138012.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       226 | PA      | $223.34       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10077359.SQ.NBM                       | 10077359.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1808 | PA      | $1711.10      | 0.00%             | 2027-05-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10077392.SQ.NBM                       | 10077392.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4769 | PA      | $4513.87      | 0.01%             | 2027-05-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341953896.UL.NBM                      | 341953896.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        50 | PA      | $50.13        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341954199.UL.NBM                      | 341954199.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       194 | PA      | $193.01       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9976912.SQ.NBM                        | 9976912.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2202 | PA      | $1630.40      | 0.00%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9976948.SQ.NBM                        | 9976948.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8315 | PA      | $7844.31      | 0.01%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343138762.UL.NBM                      | 343138762.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        69 | PA      | $68.48        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343138867.UL.NBM                      | 343138867.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       716 | PA      | $688.92       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5862725.UP.NBM                      | FW5862725.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1872 | PA      | $1901.12      | 0.00%             | 2030-08-25      | Fixed         | 30.36%                | Yes           |                  3 | On Loan: No      |
| FW5862913.UP.NBM                      | FW5862913.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1619 | PA      | $1578.19      | 0.00%             | 2030-08-25      | Fixed         | 13.61%                | Yes           |                  3 | On Loan: No      |
| 10077455.SQ.NBM                       | 10077455.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8638 | PA      | $8167.50      | 0.01%             | 2027-05-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10077576.SQ.NBM                       | 10077576.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3998 | PA      | $3695.46      | 0.01%             | 2027-05-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9977101.SQ.NBM                        | 9977101.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2546 | PA      | $2355.33      | 0.00%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9977151.SQ.NBM                        | 9977151.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     35286 | PA      | $33291.97     | 0.05%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343138944.UL.NBM                      | 343138944.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       933 | PA      | $923.22       | 0.00%             | 2026-07-25      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 343139267.UL.NBM                      | 343139267.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1986 | PA      | $1811.59      | 0.00%             | 2027-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10077634.SQ.NBM                       | 10077634.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2015 | PA      | $1879.09      | 0.00%             | 2027-05-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10077660.SQ.NBM                       | 10077660.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8067 | PA      | $7572.78      | 0.01%             | 2027-05-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342645189.UL.NBM                      | 342645189.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       221 | PA      | $219.15       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342645337.UL.NBM                      | 342645337.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       813 | PA      | $751.96       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341954290.UL.NBM                      | 341954290.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       406 | PA      | $402.43       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341954398.UL.NBM                      | 341954398.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        65 | PA      | $64.55        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5865394.UP.NBM                      | FW5865394.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2666 | PA      | $2677.54      | 0.00%             | 2030-08-25      | Fixed         | 30.25%                | Yes           |                  3 | On Loan: No      |
| FW5865434.UP.NBM                      | FW5865434.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1943 | PA      | $2025.09      | 0.00%             | 2030-08-25      | Fixed         | 31.77%                | Yes           |                  3 | On Loan: No      |
| 343139368.UL.NBM                      | 343139368.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       190 | PA      | $187.97       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343139530.UL.NBM                      | 343139530.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       263 | PA      | $24.11        | 0.00%             | 2026-02-25      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 9977998.SQ.NBM                        | 9977998.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2354 | PA      | $1877.00      | 0.00%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9978039.SQ.NBM                        | 9978039.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2541 | PA      | $2404.43      | 0.00%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10077781.SQ.NBM                       | 10077781.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1179 | PA      | $891.25       | 0.00%             | 2027-05-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10077800.SQ.NBM                       | 10077800.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12743 | PA      | $12062.61     | 0.02%             | 2027-05-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341377719.UL.NBM                      | 341377719.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        87 | PA      | $86.87        | 0.00%             | 2026-02-19      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341378316.UL.NBM                      | 341378316.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.55        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5865485.UP.NBM                      | FW5865485.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2907 | PA      | $2909.42      | 0.00%             | 2030-08-25      | Fixed         | 29.06%                | Yes           |                  3 | On Loan: No      |
| FW5865546.UP.NBM                      | FW5865546.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3984 | PA      | $4185.29      | 0.01%             | 2030-08-25      | Fixed         | 32.29%                | Yes           |                  3 | On Loan: No      |
| 9978102.SQ.NBM                        | 9978102.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4389 | PA      | $3818.32      | 0.01%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| CBM5868020.UP.NBM                     | CBM5868020.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18409 | PA      | $18571.84     | 0.03%             | 2030-08-25      | Fixed         | 29.73%                | Yes           |                  3 | On Loan: No      |
| 343139574.UL.NBM                      | 343139574.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       192 | PA      | $189.80       | 0.00%             | 2026-05-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343139596.UL.NBM                      | 343139596.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       793 | PA      | $783.75       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10077996.SQ.NBM                       | 10077996.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1692 | PA      | $1587.01      | 0.00%             | 2027-05-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10078029.SQ.NBM                       | 10078029.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2220 | PA      | $2103.32      | 0.00%             | 2027-05-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5865592.UP.NBM                      | FW5865592.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2193 | PA      | $2137.24      | 0.00%             | 2030-08-25      | Fixed         | 16.80%                | Yes           |                  3 | On Loan: No      |
| FW5865595.UP.NBM                      | FW5865595.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2757 | PA      | $615.20       | 0.00%             | 2030-08-25      | Fixed         | 28.84%                | Yes           |                  3 | On Loan: No      |
| CBM5868034.UP.NBM                     | CBM5868034.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7603 | PA      | $7263.34      | 0.01%             | 2030-08-25      | Fixed         | 26.14%                | Yes           |                  3 | On Loan: No      |
| CBM5868037.UP.NBM                     | CBM5868037.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1150 | PA      | $1072.77      | 0.00%             | 2030-08-25      | Fixed         | 18.53%                | Yes           |                  3 | On Loan: No      |
| 341954442.UL.NBM                      | 341954442.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1067 | PA      | $989.90       | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341954462.UL.NBM                      | 341954462.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       160 | PA      | $159.23       | 0.00%             | 2026-07-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 9805614.SQ.NBM                        | 9805614.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5977 | PA      | $5624.67      | 0.01%             | 2027-03-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9805742.SQ.NBM                        | 9805742.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     26585 | PA      | $25484.82     | 0.04%             | 2027-03-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343139676.UL.NBM                      | 343139676.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        61 | PA      | $61.03        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343139946.UL.NBM                      | 343139946.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       182 | PA      | $181.03       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| FW5865721.UP.NBM                      | FW5865721.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       968 | PA      | $951.63       | 0.00%             | 2030-08-25      | Fixed         | 27.89%                | Yes           |                  3 | On Loan: No      |
| FW5865750.UP.NBM                      | FW5865750.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1371 | PA      | $1270.09      | 0.00%             | 2028-08-25      | Fixed         | 18.33%                | Yes           |                  3 | On Loan: No      |
| CBM5868079.UP.NBM                     | CBM5868079.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4761 | PA      | $4990.12      | 0.01%             | 2030-08-25      | Fixed         | 32.14%                | Yes           |                  3 | On Loan: No      |
| CBM5868938.UP.NBM                     | CBM5868938.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3701 | PA      | $3824.42      | 0.01%             | 2030-08-25      | Fixed         | 31.18%                | Yes           |                  3 | On Loan: No      |
| 343140144.UL.NBM                      | 343140144.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        52 | PA      | $51.42        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343140246.UL.NBM                      | 343140246.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       822 | PA      | $813.97       | 0.00%             | 2026-07-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343329357.UL.NBM                      | 343329357.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        46 | PA      | $45.89        | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343329426.UL.NBM                      | 343329426.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1499 | PA      | $1402.04      | 0.00%             | 2026-05-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| CBM5869209.UP.NBM                     | CBM5869209.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3790 | PA      | $3979.95      | 0.01%             | 2030-08-25      | Fixed         | 32.27%                | Yes           |                  3 | On Loan: No      |
| CBM5869284.UP.NBM                     | CBM5869284.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2810 | PA      | $2802.24      | 0.00%             | 2030-08-25      | Fixed         | 28.81%                | Yes           |                  3 | On Loan: No      |
| 342152531.UL.NBM                      | 342152531.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       576 | PA      | $535.69       | 0.00%             | 2026-05-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342152710.UL.NBM                      | 342152710.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       105 | PA      | $104.00       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341378514.UL.NBM                      | 341378514.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1176 | PA      | $1161.21      | 0.00%             | 2026-07-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341378770.UL.NBM                      | 341378770.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        51 | PA      | $51.03        | 0.00%             | 2026-02-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| FW5865763.UP.NBM                      | FW5865763.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3492 | PA      | $3551.02      | 0.00%             | 2030-08-25      | Fixed         | 30.12%                | Yes           |                  3 | On Loan: No      |
| FW5865765.UP.NBM                      | FW5865765.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1846 | PA      | $1927.35      | 0.00%             | 2030-08-25      | Fixed         | 31.89%                | Yes           |                  3 | On Loan: No      |
| CBM5869339.UP.NBM                     | CBM5869339.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       964 | PA      | $930.46       | 0.00%             | 2030-08-25      | Fixed         | 23.39%                | Yes           |                  3 | On Loan: No      |
| CBM5870300.UP.NBM                     | CBM5870300.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8916 | PA      | $8947.93      | 0.01%             | 2030-08-25      | Fixed         | 29.24%                | Yes           |                  3 | On Loan: No      |
| 343178778.UL.NBM                      | 343178778.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       443 | PA      | $439.53       | 0.00%             | 2026-05-26      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 343189177.UL.NBM                      | 343189177.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1573 | PA      | $1457.50      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10078084.SQ.NBM                       | 10078084.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       861 | PA      | $790.08       | 0.00%             | 2027-05-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10078104.SQ.NBM                       | 10078104.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4833 | PA      | $3447.35      | 0.00%             | 2027-05-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342298578.UL.NBM                      | 342298578.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        69 | PA      | $68.17        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342298977.UL.NBM                      | 342298977.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        79 | PA      | $78.81        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5865780.UP.NBM                      | FW5865780.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7778 | PA      | $7745.04      | 0.01%             | 2030-08-25      | Fixed         | 28.86%                | Yes           |                  3 | On Loan: No      |
| FW5865790.UP.NBM                      | FW5865790.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2137 | PA      | $2233.87      | 0.00%             | 2030-08-25      | Fixed         | 31.95%                | Yes           |                  3 | On Loan: No      |
| CBM5870392.UP.NBM                     | CBM5870392.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2418 | PA      | $2346.31      | 0.00%             | 2030-08-25      | Fixed         | 27.04%                | Yes           |                  3 | On Loan: No      |
| CBM5870441.UP.NBM                     | CBM5870441.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5834 | PA      | $5798.98      | 0.01%             | 2030-08-25      | Fixed         | 29.01%                | Yes           |                  3 | On Loan: No      |
| 343329731.UL.NBM                      | 343329731.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       206 | PA      | $204.32       | 0.00%             | 2026-05-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343329902.UL.NBM                      | 343329902.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3957 | PA      | $3897.96      | 0.01%             | 2027-02-26      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343189447.UL.NBM                      | 343189447.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       619 | PA      | $614.14       | 0.00%             | 2026-05-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343189499.UL.NBM                      | 343189499.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1730 | PA      | $1612.20      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342152728.UL.NBM                      | 342152728.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        89 | PA      | $88.09        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342153494.UL.NBM                      | 342153494.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        77 | PA      | $76.03        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5870464.UP.NBM                     | CBM5870464.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2518 | PA      | $2501.20      | 0.00%             | 2030-08-25      | Fixed         | 28.56%                | Yes           |                  3 | On Loan: No      |
| CBM5870469.UP.NBM                     | CBM5870469.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1442 | PA      | $1355.01      | 0.00%             | 2030-08-25      | Fixed         | 25.05%                | Yes           |                  3 | On Loan: No      |
| FW5865793.UP.NBM                      | FW5865793.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1021 | PA      | $1014.63      | 0.00%             | 2028-08-25      | Fixed         | 30.45%                | Yes           |                  3 | On Loan: No      |
| FW5865851.UP.NBM                      | FW5865851.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2125 | PA      | $2030.11      | 0.00%             | 2030-08-25      | Fixed         | 26.01%                | Yes           |                  3 | On Loan: No      |
| 342299002.UL.NBM                      | 342299002.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       467 | PA      | $464.62       | 0.00%             | 2026-02-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342299021.UL.NBM                      | 342299021.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       319 | PA      | $318.21       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343189527.UL.NBM                      | 343189527.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       209 | PA      | $207.84       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343189531.UL.NBM                      | 343189531.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       127 | PA      | $126.33       | 0.00%             | 2026-02-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 10079023.SQ.NBM                       | 10079023.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5855 | PA      | $5455.32      | 0.01%             | 2027-05-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10079254.SQ.NBM                       | 10079254.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1410 | PA      | $1354.64      | 0.00%             | 2027-05-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343330809.UL.NBM                      | 343330809.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       140 | PA      | $139.39       | 0.00%             | 2026-02-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343330855.UL.NBM                      | 343330855.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        85 | PA      | $84.78        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5865859.UP.NBM                      | FW5865859.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4082 | PA      | $4293.37      | 0.01%             | 2030-08-25      | Fixed         | 32.38%                | Yes           |                  3 | On Loan: No      |
| FW5865869.UP.NBM                      | FW5865869.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10662 | PA      | $10722.93     | 0.01%             | 2030-08-25      | Fixed         | 29.38%                | Yes           |                  3 | On Loan: No      |
| 342291692.UL.NBM                      | 342291692.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        69 | PA      | $68.81        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342291852.UL.NBM                      | 342291852.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       504 | PA      | $499.56       | 0.00%             | 2026-05-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343189609.UL.NBM                      | 343189609.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       233 | PA      | $231.31       | 0.00%             | 2026-05-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343189697.UL.NBM                      | 343189697.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       257 | PA      | $255.22       | 0.00%             | 2026-05-26      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| CBM5870470.UP.NBM                     | CBM5870470.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1717 | PA      | $1770.60      | 0.00%             | 2030-08-25      | Fixed         | 31.30%                | Yes           |                  3 | On Loan: No      |
| CBM5870515.UP.NBM                     | CBM5870515.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7656 | PA      | $7425.36      | 0.01%             | 2028-09-10      | Fixed         | 28.39%                | Yes           |                  3 | On Loan: No      |
| 10079325.SQ.NBM                       | 10079325.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3561 | PA      | $3292.84      | 0.00%             | 2027-05-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10079508.SQ.NBM                       | 10079508.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5194 | PA      | $4917.37      | 0.01%             | 2027-05-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5865893.UP.NBM                      | FW5865893.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3282 | PA      | $3099.23      | 0.00%             | 2030-08-25      | Fixed         | 25.27%                | Yes           |                  3 | On Loan: No      |
| FW5865895.UP.NBM                      | FW5865895.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1148 | PA      | $1120.33      | 0.00%             | 2030-08-25      | Fixed         | 27.57%                | Yes           |                  3 | On Loan: No      |
| 342299047.UL.NBM                      | 342299047.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       324 | PA      | $322.59       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342299097.UL.NBM                      | 342299097.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       836 | PA      | $826.07       | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343189738.UL.NBM                      | 343189738.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1643 | PA      | $1503.20      | 0.00%             | 2027-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343189865.UL.NBM                      | 343189865.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        57 | PA      | $56.81        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342565682.UL.NBM                      | 342565682.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       199 | PA      | $197.15       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342567053.UL.NBM                      | 342567053.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        50 | PA      | $50.12        | 0.00%             | 2026-02-23      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| CBM5870534.UP.NBM                     | CBM5870534.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13656 | PA      | $14117.32     | 0.02%             | 2030-08-25      | Fixed         | 31.14%                | Yes           |                  3 | On Loan: No      |
| CBM5870818.UP.NBM                     | CBM5870818.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2027 | PA      | $1898.31      | 0.00%             | 2028-08-26      | Fixed         | 24.49%                | Yes           |                  3 | On Loan: No      |
| 343331404.UL.NBM                      | 343331404.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       114 | PA      | $113.38       | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343331811.UL.NBM                      | 343331811.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       122 | PA      | $121.38       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5865936.UP.NBM                      | FW5865936.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14400 | PA      | $13545.37     | 0.02%             | 2030-08-25      | Fixed         | 14.59%                | Yes           |                  3 | On Loan: No      |
| FW5865955.UP.NBM                      | FW5865955.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1826 | PA      | $1823.62      | 0.00%             | 2030-08-25      | Fixed         | 29.04%                | Yes           |                  3 | On Loan: No      |
| 342299138.UL.NBM                      | 342299138.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       126 | PA      | $126.01       | 0.00%             | 2026-02-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342299178.UL.NBM                      | 342299178.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       204 | PA      | $203.44       | 0.00%             | 2026-02-23      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343189899.UL.NBM                      | 343189899.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       110 | PA      | $109.81       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343189918.UL.NBM                      | 343189918.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $67.17        | 0.00%             | 2026-02-26      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 10079761.SQ.NBM                       | 10079761.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3018 | PA      | $2849.06      | 0.00%             | 2027-05-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10079934.SQ.NBM                       | 10079934.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3384 | PA      | $2857.17      | 0.00%             | 2027-05-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343332049.UL.NBM                      | 343332049.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1845 | PA      | $1711.27      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343332142.UL.NBM                      | 343332142.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       147 | PA      | $147.68       | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| CBM5872127.UP.NBM                     | CBM5872127.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17759 | PA      | $18242.63     | 0.03%             | 2030-08-26      | Fixed         | 30.75%                | Yes           |                  3 | On Loan: No      |
| CBM5872146.UP.NBM                     | CBM5872146.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5626 | PA      | $5590.09      | 0.01%             | 2030-08-26      | Fixed         | 28.55%                | Yes           |                  3 | On Loan: No      |
| FW5865977.UP.NBM                      | FW5865977.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3734 | PA      | $3608.85      | 0.00%             | 2028-08-25      | Fixed         | 28.09%                | Yes           |                  3 | On Loan: No      |
| FW5866010.UP.NBM                      | FW5866010.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3490 | PA      | $3519.98      | 0.00%             | 2030-08-25      | Fixed         | 29.57%                | Yes           |                  3 | On Loan: No      |
| 342299252.UL.NBM                      | 342299252.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       264 | PA      | $261.46       | 0.00%             | 2026-05-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342299318.UL.NBM                      | 342299318.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        39 | PA      | $38.79        | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 10080130.SQ.NBM                       | 10080130.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2972 | PA      | $2841.54      | 0.00%             | 2027-05-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10080272.SQ.NBM                       | 10080272.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7724 | PA      | $7298.90      | 0.01%             | 2027-05-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342183568.UL.NBM                      | 342183568.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       237 | PA      | $235.77       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342183724.UL.NBM                      | 342183724.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       285 | PA      | $283.89       | 0.00%             | 2026-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342291963.UL.NBM                      | 342291963.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $66.35        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342291965.UL.NBM                      | 342291965.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       221 | PA      | $218.87       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5872719.UP.NBM                     | CBM5872719.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1059 | PA      | $1054.34      | 0.00%             | 2030-08-26      | Fixed         | 28.81%                | Yes           |                  3 | On Loan: No      |
| CBM5872727.UP.NBM                     | CBM5872727.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2983 | PA      | $3123.90      | 0.00%             | 2030-08-26      | Fixed         | 32.19%                | Yes           |                  3 | On Loan: No      |
| 342299334.UL.NBM                      | 342299334.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       488 | PA      | $483.35       | 0.00%             | 2026-05-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342299412.UL.NBM                      | 342299412.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       225 | PA      | $223.37       | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| FW5866024.UP.NBM                      | FW5866024.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1440 | PA      | $1373.92      | 0.00%             | 2030-08-25      | Fixed         | 19.94%                | Yes           |                  3 | On Loan: No      |
| FW5866032.UP.NBM                      | FW5866032.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1258 | PA      | $1226.09      | 0.00%             | 2030-08-25      | Fixed         | 27.34%                | Yes           |                  3 | On Loan: No      |
| 10080479.SQ.NBM                       | 10080479.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3103 | PA      | $2843.50      | 0.00%             | 2027-05-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10080563.SQ.NBM                       | 10080563.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8053 | PA      | $7503.24      | 0.01%             | 2027-05-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| CBM5872888.UP.NBM                     | CBM5872888.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1647 | PA      | $1640.66      | 0.00%             | 2030-08-26      | Fixed         | 28.73%                | Yes           |                  3 | On Loan: No      |
| CBM5872914.UP.NBM                     | CBM5872914.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2850 | PA      | $2820.02      | 0.00%             | 2030-08-26      | Fixed         | 28.46%                | Yes           |                  3 | On Loan: No      |
| 342292078.UL.NBM                      | 342292078.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        58 | PA      | $7.43         | 0.00%             | 2035-11-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342292108.UL.NBM                      | 342292108.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       280 | PA      | $281.35       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343190067.UL.NBM                      | 343190067.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        80 | PA      | $79.61        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343190167.UL.NBM                      | 343190167.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        49 | PA      | $48.79        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342183725.UL.NBM                      | 342183725.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3238 | PA      | $3200.61      | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342183770.UL.NBM                      | 342183770.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $66.21        | 0.00%             | 2026-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342299499.UL.NBM                      | 342299499.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       551 | PA      | $512.47       | 0.00%             | 2026-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342299538.UL.NBM                      | 342299538.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       514 | PA      | $511.50       | 0.00%             | 2026-05-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| CBM5872934.UP.NBM                     | CBM5872934.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2906 | PA      | $2901.93      | 0.00%             | 2030-08-26      | Fixed         | 28.87%                | Yes           |                  3 | On Loan: No      |
| CBM5872946.UP.NBM                     | CBM5872946.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1062 | PA      | $1051.88      | 0.00%             | 2030-08-26      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342292132.UL.NBM                      | 342292132.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       872 | PA      | $862.96       | 0.00%             | 2026-07-23      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342292225.UL.NBM                      | 342292225.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       389 | PA      | $385.44       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10080774.SQ.NBM                       | 10080774.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14563 | PA      | $13793.04     | 0.02%             | 2027-05-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10081033.SQ.NBM                       | 10081033.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3085 | PA      | $2869.54      | 0.00%             | 2027-05-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343190245.UL.NBM                      | 343190245.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       974 | PA      | $902.41       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343190282.UL.NBM                      | 343190282.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       272 | PA      | $269.40       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5872962.UP.NBM                     | CBM5872962.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21932 | PA      | $21597.79     | 0.03%             | 2030-08-26      | Fixed         | 21.90%                | Yes           |                  3 | On Loan: No      |
| CBM5873098.UP.NBM                     | CBM5873098.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3297 | PA      | $3348.58      | 0.00%             | 2030-08-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342299613.UL.NBM                      | 342299613.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       320 | PA      | $317.07       | 0.00%             | 2026-05-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342299614.UL.NBM                      | 342299614.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       156 | PA      | $155.21       | 0.00%             | 2026-02-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342292250.UL.NBM                      | 342292250.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        59 | PA      | $59.13        | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342292282.UL.NBM                      | 342292282.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       440 | PA      | $436.00       | 0.00%             | 2026-05-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343332516.UL.NBM                      | 343332516.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       338 | PA      | $326.19       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343332641.UL.NBM                      | 343332641.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       366 | PA      | $363.43       | 0.00%             | 2026-05-26      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343190329.UL.NBM                      | 343190329.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       963 | PA      | $955.64       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343190351.UL.NBM                      | 343190351.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1117 | PA      | $1104.70      | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342292450.UL.NBM                      | 342292450.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       279 | PA      | $276.66       | 0.00%             | 2026-05-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342292557.UL.NBM                      | 342292557.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       280 | PA      | $277.32       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5873103.UP.NBM                     | CBM5873103.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5771 | PA      | $5888.37      | 0.01%             | 2030-08-26      | Fixed         | 30.07%                | Yes           |                  3 | On Loan: No      |
| CBM5873123.UP.NBM                     | CBM5873123.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7765 | PA      | $8005.22      | 0.01%             | 2030-08-26      | Fixed         | 30.99%                | Yes           |                  3 | On Loan: No      |
| FW5866071.UP.NBM                      | FW5866071.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1453 | PA      | $1584.55      | 0.00%             | 2030-08-25      | Fixed         | 28.53%                | Yes           |                  3 | On Loan: No      |
| FW5873060.UP.NBM                      | FW5873060.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5098 | PA      | $5388.48      | 0.01%             | 2030-08-26      | Fixed         | 32.35%                | Yes           |                  3 | On Loan: No      |
| 342299757.UL.NBM                      | 342299757.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1252 | PA      | $1158.17      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342299764.UL.NBM                      | 342299764.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        43 | PA      | $42.79        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9806169.SQ.NBM                        | 9806169.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     80883 | PA      | $66450.73     | 0.09%             | 2027-03-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9807299.SQ.NBM                        | 9807299.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     64458 | PA      | $61334.25     | 0.08%             | 2027-03-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341962164.UL.NBM                      | 341962164.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1662 | PA      | $1636.07      | 0.00%             | 2027-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341962346.UL.NBM                      | 341962346.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       108 | PA      | $41.09        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342293296.UL.NBM                      | 342293296.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       181 | PA      | $179.83       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342293302.UL.NBM                      | 342293302.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       711 | PA      | $652.94       | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5873072.UP.NBM                      | FW5873072.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5415 | PA      | $5231.57      | 0.01%             | 2030-08-26      | Fixed         | 26.72%                | Yes           |                  3 | On Loan: No      |
| FW5873074.UP.NBM                      | FW5873074.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1700 | PA      | $141.10       | 0.00%             | 2030-08-26      | Fixed         | 30.85%                | Yes           |                  3 | On Loan: No      |
| CBM5873127.UP.NBM                     | CBM5873127.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4576 | PA      | $4188.70      | 0.01%             | 2030-08-26      | Fixed         | 23.23%                | Yes           |                  3 | On Loan: No      |
| CBM5873137.UP.NBM                     | CBM5873137.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2687 | PA      | $2632.25      | 0.00%             | 2028-08-26      | Fixed         | 28.96%                | Yes           |                  3 | On Loan: No      |
| 342299767.UL.NBM                      | 342299767.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       203 | PA      | $201.27       | 0.00%             | 2026-05-23      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342300025.UL.NBM                      | 342300025.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       509 | PA      | $507.10       | 0.00%             | 2026-02-28      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343190394.UL.NBM                      | 343190394.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1206 | PA      | $1131.71      | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343190404.UL.NBM                      | 343190404.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        76 | PA      | $76.74        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342293354.UL.NBM                      | 342293354.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       245 | PA      | $243.63       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342293369.UL.NBM                      | 342293369.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       254 | PA      | $251.72       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341386788.UL.NBM                      | 341386788.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       410 | PA      | $405.32       | 0.00%             | 2026-05-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341386884.UL.NBM                      | 341386884.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       355 | PA      | $141.74       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5873243.UP.NBM                      | FW5873243.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2602 | PA      | $2644.28      | 0.00%             | 2030-08-26      | Fixed         | 30.17%                | Yes           |                  3 | On Loan: No      |
| FW5873274.UP.NBM                      | FW5873274.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1165 | PA      | $1205.40      | 0.00%             | 2030-08-26      | Fixed         | 31.23%                | Yes           |                  3 | On Loan: No      |
| 343332714.UL.NBM                      | 343332714.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       507 | PA      | $502.04       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343345398.UL.NBM                      | 343345398.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       310 | PA      | $306.83       | 0.00%             | 2026-05-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342300042.UL.NBM                      | 342300042.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        53 | PA      | $52.28        | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342300126.UL.NBM                      | 342300126.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       158 | PA      | $157.70       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343190409.UL.NBM                      | 343190409.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       764 | PA      | $755.74       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343322884.UL.NBM                      | 343322884.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       145 | PA      | $30.34        | 0.00%             | 2035-11-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342294982.UL.NBM                      | 342294982.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        83 | PA      | $82.96        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342295108.UL.NBM                      | 342295108.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       407 | PA      | $402.75       | 0.00%             | 2026-05-23      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342184168.UL.NBM                      | 342184168.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       101 | PA      | $100.18       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342184504.UL.NBM                      | 342184504.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1175 | PA      | $1165.72      | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5873299.UP.NBM                      | FW5873299.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5162 | PA      | $4845.84      | 0.01%             | 2028-08-26      | Fixed         | 24.74%                | Yes           |                  3 | On Loan: No      |
| FW5873305.UP.NBM                      | FW5873305.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2327 | PA      | $2352.15      | 0.00%             | 2030-08-26      | Fixed         | 29.67%                | Yes           |                  3 | On Loan: No      |
| 342300363.UL.NBM                      | 342300363.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       292 | PA      | $289.86       | 0.00%             | 2026-05-23      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 342476262.UL.NBM                      | 342476262.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       625 | PA      | $618.89       | 0.00%             | 2026-05-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343323533.UL.NBM                      | 343323533.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        93 | PA      | $89.74        | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343324007.UL.NBM                      | 343324007.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       220 | PA      | $218.54       | 0.00%             | 2026-05-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342295174.UL.NBM                      | 342295174.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       137 | PA      | $135.77       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342295226.UL.NBM                      | 342295226.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       254 | PA      | $251.45       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343345440.UL.NBM                      | 343345440.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        59 | PA      | $58.77        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343345948.UL.NBM                      | 343345948.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       667 | PA      | $639.04       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5873625.UP.NBM                      | FW5873625.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2000 | PA      | $-3.63        | -0.00%            | 2028-08-26      | Fixed         | 29.67%                | Yes           |                  3 | On Loan: No      |
| FW5873653.UP.NBM                      | FW5873653.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5748 | PA      | $1335.48      | 0.00%             | 2030-08-26      | Fixed         | 21.25%                | Yes           |                  3 | On Loan: No      |
| 342185401.UL.NBM                      | 342185401.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       931 | PA      | $920.94       | 0.00%             | 2026-07-22      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 342185581.UL.NBM                      | 342185581.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       787 | PA      | $778.27       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343324416.UL.NBM                      | 343324416.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        42 | PA      | $41.83        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343372887.UL.NBM                      | 343372887.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       118 | PA      | $117.70       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341592806.UL.NBM                      | 341592806.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       304 | PA      | $288.74       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341592848.UL.NBM                      | 341592848.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       103 | PA      | $102.42       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342295354.UL.NBM                      | 342295354.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1243 | PA      | $1155.54      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342295441.UL.NBM                      | 342295441.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       429 | PA      | $408.96       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5873681.UP.NBM                      | FW5873681.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6978 | PA      | $7010.89      | 0.01%             | 2030-08-26      | Fixed         | 29.28%                | Yes           |                  3 | On Loan: No      |
| FW5873711.UP.NBM                      | FW5873711.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5801 | PA      | $5611.69      | 0.01%             | 2030-08-26      | Fixed         | 26.80%                | Yes           |                  3 | On Loan: No      |
| 343346880.UL.NBM                      | 343346880.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       841 | PA      | $837.21       | 0.00%             | 2026-02-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343357705.UL.NBM                      | 343357705.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6974 | PA      | $6912.74      | 0.01%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341962411.UL.NBM                      | 341962411.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       270 | PA      | $269.21       | 0.00%             | 2026-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341962419.UL.NBM                      | 341962419.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       175 | PA      | $173.28       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342199083.UL.NBM                      | 342199083.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       231 | PA      | $229.33       | 0.00%             | 2026-05-22      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342199344.UL.NBM                      | 342199344.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       991 | PA      | $994.68       | 0.00%             | 2026-07-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343373053.UL.NBM                      | 343373053.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        76 | PA      | $75.44        | 0.00%             | 2026-02-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343373244.UL.NBM                      | 343373244.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       229 | PA      | $228.23       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5873712.UP.NBM                      | FW5873712.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3256 | PA      | $3242.11      | 0.00%             | 2030-08-26      | Fixed         | 28.85%                | Yes           |                  3 | On Loan: No      |
| FW5873717.UP.NBM                      | FW5873717.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1915 | PA      | $2010.57      | 0.00%             | 2030-08-26      | Fixed         | 28.91%                | Yes           |                  3 | On Loan: No      |
| 10081154.SQ.NBM                       | 10081154.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4821 | PA      | $4224.22      | 0.01%             | 2027-05-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10081242.SQ.NBM                       | 10081242.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10578 | PA      | $9725.97      | 0.01%             | 2027-05-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343358709.UL.NBM                      | 343358709.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       252 | PA      | $250.84       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343359192.UL.NBM                      | 343359192.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1011 | PA      | $954.41       | 0.00%             | 2026-05-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342295518.UL.NBM                      | 342295518.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        76 | PA      | $75.63        | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342295606.UL.NBM                      | 342295606.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       401 | PA      | $397.59       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342199542.UL.NBM                      | 342199542.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       305 | PA      | $302.66       | 0.00%             | 2026-05-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342199708.UL.NBM                      | 342199708.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       217 | PA      | $214.70       | 0.00%             | 2026-05-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| FW5873834.UP.NBM                      | FW5873834.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     22767 | PA      | $22417.06     | 0.03%             | 2030-08-26      | Fixed         | 17.41%                | Yes           |                  3 | On Loan: No      |
| FW5873888.UP.NBM                      | FW5873888.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14436 | PA      | $14961.30     | 0.02%             | 2030-08-26      | Fixed         | 31.05%                | Yes           |                  3 | On Loan: No      |
| 341386922.UL.NBM                      | 341386922.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       817 | PA      | $764.14       | 0.00%             | 2026-05-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341387048.UL.NBM                      | 341387048.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       409 | PA      | $390.22       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343359201.UL.NBM                      | 343359201.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       441 | PA      | $438.70       | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343363396.UL.NBM                      | 343363396.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       316 | PA      | $317.08       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343382166.UL.NBM                      | 343382166.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       958 | PA      | $913.63       | 0.00%             | 2027-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343382239.UL.NBM                      | 343382239.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       142 | PA      | $22.56        | 0.00%             | 2035-11-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342340945.UL.NBM                      | 342340945.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       121 | PA      | $120.03       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342348238.UL.NBM                      | 342348238.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       522 | PA      | $485.14       | 0.00%             | 2026-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341962517.UL.NBM                      | 341962517.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        95 | PA      | $94.18        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341962539.UL.NBM                      | 341962539.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1055 | PA      | $60.57        | 0.00%             | 2035-11-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341710125.UL.NBM                      | 341710125.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2611 | PA      | $2570.04      | 0.00%             | 2027-08-21      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341771122.UL.NBM                      | 341771122.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       322 | PA      | $318.55       | 0.00%             | 2026-05-21      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| FW5873936.UP.NBM                      | FW5873936.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4602 | PA      | $4503.48      | 0.01%             | 2028-08-26      | Fixed         | 23.57%                | Yes           |                  3 | On Loan: No      |
| FW5873963.UP.NBM                      | FW5873963.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1749 | PA      | $1832.95      | 0.00%             | 2030-08-26      | Fixed         | 32.10%                | Yes           |                  3 | On Loan: No      |
| 343363442.UL.NBM                      | 343363442.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       207 | PA      | $83.76        | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343365193.UL.NBM                      | 343365193.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        49 | PA      | $49.19        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342349702.UL.NBM                      | 342349702.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3094 | PA      | $3047.27      | 0.00%             | 2027-08-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342356525.UL.NBM                      | 342356525.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        41 | PA      | $40.45        | 0.00%             | 2026-02-23      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343382432.UL.NBM                      | 343382432.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       705 | PA      | $697.75       | 0.00%             | 2026-07-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343382645.UL.NBM                      | 343382645.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       151 | PA      | $23.35        | 0.00%             | 2035-11-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341962816.UL.NBM                      | 341962816.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       120 | PA      | $119.48       | 0.00%             | 2026-02-22      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341963007.UL.NBM                      | 341963007.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1078 | PA      | $1066.15      | 0.00%             | 2026-07-22      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| FW5873965.UP.NBM                      | FW5873965.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     37536 | PA      | $36101.53     | 0.05%             | 2028-08-26      | Fixed         | 17.16%                | Yes           |                  3 | On Loan: No      |
| FW5874003.UP.NBM                      | FW5874003.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11139 | PA      | $11102.52     | 0.02%             | 2030-08-26      | Fixed         | 28.75%                | Yes           |                  3 | On Loan: No      |
| 343366044.UL.NBM                      | 343366044.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1699 | PA      | $1679.58      | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343367379.UL.NBM                      | 343367379.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       407 | PA      | $403.15       | 0.00%             | 2026-05-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342360973.UL.NBM                      | 342360973.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       453 | PA      | $110.50       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342363632.UL.NBM                      | 342363632.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        94 | PA      | $33.87        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343465474.UL.NBM                      | 343465474.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1441 | PA      | $1452.39      | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343466545.UL.NBM                      | 343466545.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       473 | PA      | $470.60       | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9807986.SQ.NBM                        | 9807986.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     49170 | PA      | $46702.75     | 0.06%             | 2027-03-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9808514.SQ.NBM                        | 9808514.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2070 | PA      | $1960.77      | 0.00%             | 2027-03-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5874374.UP.NBM                      | FW5874374.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3447 | PA      | $772.92       | 0.00%             | 2030-08-26      | Fixed         | 29.14%                | Yes           |                  3 | On Loan: No      |
| FW5874486.UP.NBM                      | FW5874486.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1350 | PA      | $1401.03      | 0.00%             | 2030-08-26      | Fixed         | 31.55%                | Yes           |                  3 | On Loan: No      |
| 342199784.UL.NBM                      | 342199784.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       457 | PA      | $452.27       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342199943.UL.NBM                      | 342199943.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       187 | PA      | $185.47       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342378154.UL.NBM                      | 342378154.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        66 | PA      | $64.69        | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342378696.UL.NBM                      | 342378696.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       430 | PA      | $427.60       | 0.00%             | 2026-02-23      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343367713.UL.NBM                      | 343367713.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1715 | PA      | $1699.42      | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343367916.UL.NBM                      | 343367916.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       922 | PA      | $914.10       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343466992.UL.NBM                      | 343466992.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       971 | PA      | $959.74       | 0.00%             | 2026-07-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343469695.UL.NBM                      | 343469695.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        39 | PA      | $39.26        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5874695.UP.NBM                      | FW5874695.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1158 | PA      | $1198.58      | 0.00%             | 2030-08-26      | Fixed         | 25.08%                | Yes           |                  3 | On Loan: No      |
| FW5874754.UP.NBM                      | FW5874754.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2564 | PA      | $2596.02      | 0.00%             | 2030-08-26      | Fixed         | 30.02%                | Yes           |                  3 | On Loan: No      |
| 10172001.SQ.NBM                       | 10172001.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2537 | PA      | $2316.51      | 0.00%             | 2027-06-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10172067.SQ.NBM                       | 10172067.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13648 | PA      | $12711.82     | 0.02%             | 2027-06-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5860792.UP.NBM                      | FW5860792.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       944 | PA      | $914.57       | 0.00%             | 2028-08-22      | Fixed         | 22.82%                | Yes           |                  3 | On Loan: No      |
| FW5860854.UP.NBM                      | FW5860854.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1326 | PA      | $1240.07      | 0.00%             | 2030-08-22      | Fixed         | 24.84%                | Yes           |                  3 | On Loan: No      |
| 342199997.UL.NBM                      | 342199997.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2916 | PA      | $2863.14      | 0.00%             | 2027-08-22      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342200531.UL.NBM                      | 342200531.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       578 | PA      | $575.14       | 0.00%             | 2026-02-28      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10081425.SQ.NBM                       | 10081425.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2791 | PA      | $2639.57      | 0.00%             | 2027-05-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10081470.SQ.NBM                       | 10081470.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       968 | PA      | $888.10       | 0.00%             | 2027-05-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342380036.UL.NBM                      | 342380036.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       758 | PA      | $724.94       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342380630.UL.NBM                      | 342380630.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       425 | PA      | $56.65        | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343368107.UL.NBM                      | 343368107.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       758 | PA      | $749.95       | 0.00%             | 2026-07-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343368149.UL.NBM                      | 343368149.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       136 | PA      | $130.24       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5874781.UP.NBM                      | FW5874781.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21357 | PA      | $22317.30     | 0.03%             | 2030-08-26      | Fixed         | 31.90%                | Yes           |                  3 | On Loan: No      |
| FW5874796.UP.NBM                      | FW5874796.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1358 | PA      | $1332.49      | 0.00%             | 2030-08-26      | Fixed         | 27.74%                | Yes           |                  3 | On Loan: No      |
| 343519051.UL.NBM                      | 343519051.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       796 | PA      | $787.17       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343519482.UL.NBM                      | 343519482.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       112 | PA      | $111.50       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341395599.UL.NBM                      | 341395599.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       348 | PA      | $344.21       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341395695.UL.NBM                      | 341395695.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        19 | PA      | $19.07        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342383482.UL.NBM                      | 342383482.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       200 | PA      | $198.52       | 0.00%             | 2026-05-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342385690.UL.NBM                      | 342385690.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       181 | PA      | $179.59       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343368303.UL.NBM                      | 343368303.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       294 | PA      | $291.20       | 0.00%             | 2026-05-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343368324.UL.NBM                      | 343368324.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3119 | PA      | $3067.16      | 0.00%             | 2027-08-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5874833.UP.NBM                      | FW5874833.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9688 | PA      | $9684.05      | 0.01%             | 2030-08-26      | Fixed         | 28.94%                | Yes           |                  3 | On Loan: No      |
| FW5874863.UP.NBM                      | FW5874863.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1006 | PA      | $973.47       | 0.00%             | 2028-08-26      | Fixed         | 28.11%                | Yes           |                  3 | On Loan: No      |
| 341963449.UL.NBM                      | 341963449.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        63 | PA      | $62.37        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341963512.UL.NBM                      | 341963512.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       131 | PA      | $129.99       | 0.00%             | 2026-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 9962759.SQ.NBM                        | 9962759.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13433 | PA      | $12653.79     | 0.02%             | 2027-04-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9962837.SQ.NBM                        | 9962837.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     23269 | PA      | $21458.15     | 0.03%             | 2027-04-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342387423.UL.NBM                      | 342387423.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       222 | PA      | $219.97       | 0.00%             | 2026-05-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342389086.UL.NBM                      | 342389086.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1133 | PA      | $1046.43      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343368972.UL.NBM                      | 343368972.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       272 | PA      | $270.34       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343369173.UL.NBM                      | 343369173.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        68 | PA      | $68.11        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343520143.UL.NBM                      | 343520143.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       106 | PA      | $105.63       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343520367.UL.NBM                      | 343520367.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        87 | PA      | $87.24        | 0.00%             | 2026-02-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| FW5874872.UP.NBM                      | FW5874872.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       969 | PA      | $966.69       | 0.00%             | 2030-08-26      | Fixed         | 28.83%                | Yes           |                  3 | On Loan: No      |
| FW5874908.UP.NBM                      | FW5874908.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1596 | PA      | $1577.51      | 0.00%             | 2030-08-26      | Fixed         | 28.42%                | Yes           |                  3 | On Loan: No      |
| 341963528.UL.NBM                      | 341963528.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       246 | PA      | $243.32       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341963529.UL.NBM                      | 341963529.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       207 | PA      | $206.36       | 0.00%             | 2026-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342389091.UL.NBM                      | 342389091.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $67.19        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342391729.UL.NBM                      | 342391729.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        65 | PA      | $64.96        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343370858.UL.NBM                      | 343370858.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       242 | PA      | $239.60       | 0.00%             | 2026-05-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343372432.UL.NBM                      | 343372432.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       541 | PA      | $536.01       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10081489.SQ.NBM                       | 10081489.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     48130 | PA      | $45583.02     | 0.06%             | 2027-05-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10082350.SQ.NBM                       | 10082350.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2897 | PA      | $2743.51      | 0.00%             | 2027-05-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341547572.UL.NBM                      | 341547572.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       117 | PA      | $112.70       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341548277.UL.NBM                      | 341548277.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       133 | PA      | $132.50       | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| FW5874969.UP.NBM                      | FW5874969.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9185 | PA      | $9087.95      | 0.01%             | 2028-08-26      | Fixed         | 29.97%                | Yes           |                  3 | On Loan: No      |
| L5858186.UP.NBM                       | L5858186.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2886 | PA      | $2694.76      | 0.00%             | 2030-08-22      | Fixed         | 24.76%                | Yes           |                  3 | On Loan: No      |
| 341965444.UL.NBM                      | 341965444.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       111 | PA      | $110.76       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341965619.UL.NBM                      | 341965619.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       196 | PA      | $184.73       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342392482.UL.NBM                      | 342392482.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       154 | PA      | $153.52       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342393822.UL.NBM                      | 342393822.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       516 | PA      | $478.81       | 0.00%             | 2026-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343372651.UL.NBM                      | 343372651.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       383 | PA      | $382.57       | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343386844.UL.NBM                      | 343386844.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       259 | PA      | $256.21       | 0.00%             | 2026-05-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 10082413.SQ.NBM                       | 10082413.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7565 | PA      | $7129.49      | 0.01%             | 2027-05-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10082544.SQ.NBM                       | 10082544.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1854 | PA      | $1780.84      | 0.00%             | 2027-05-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341395912.UL.NBM                      | 341395912.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1049 | PA      | $968.16       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341396184.UL.NBM                      | 341396184.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       176 | PA      | $20.51        | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341965741.UL.NBM                      | 341965741.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        41 | PA      | $6.57         | 0.00%             | 2035-11-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341965755.UL.NBM                      | 341965755.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $66.45        | 0.00%             | 2026-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342394076.UL.NBM                      | 342394076.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       521 | PA      | $497.41       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342394431.UL.NBM                      | 342394431.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       112 | PA      | $111.95       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343528484.UL.NBM                      | 343528484.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       194 | PA      | $191.99       | 0.00%             | 2026-05-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343537371.UL.NBM                      | 343537371.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       833 | PA      | $824.24       | 0.00%             | 2026-07-26      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 9945710.SQ.NBM                        | 9945710.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1651 | PA      | $1251.69      | 0.00%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9945718.SQ.NBM                        | 9945718.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11118 | PA      | $10534.01     | 0.01%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10082584.SQ.NBM                       | 10082584.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1192 | PA      | $1092.79      | 0.00%             | 2027-05-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10082622.SQ.NBM                       | 10082622.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7506 | PA      | $6826.63      | 0.01%             | 2027-05-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341966184.UL.NBM                      | 341966184.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       154 | PA      | $153.07       | 0.00%             | 2026-02-22      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341966186.UL.NBM                      | 341966186.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       473 | PA      | $469.90       | 0.00%             | 2026-02-22      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343386927.UL.NBM                      | 343386927.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       810 | PA      | $748.93       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343387032.UL.NBM                      | 343387032.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       918 | PA      | $845.79       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343537530.UL.NBM                      | 343537530.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       266 | PA      | $265.63       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343538687.UL.NBM                      | 343538687.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       133 | PA      | $132.84       | 0.00%             | 2026-02-26      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 342395400.UL.NBM                      | 342395400.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        52 | PA      | $51.57        | 0.00%             | 2026-02-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342395507.UL.NBM                      | 342395507.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       514 | PA      | $492.01       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10083860.SQ.NBM                       | 10083860.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6173 | PA      | $5767.24      | 0.01%             | 2027-05-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10084148.SQ.NBM                       | 10084148.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1594 | PA      | $1400.83      | 0.00%             | 2027-05-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341978170.UL.NBM                      | 341978170.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       177 | PA      | $175.62       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341978334.UL.NBM                      | 341978334.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       198 | PA      | $196.43       | 0.00%             | 2026-05-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343389211.UL.NBM                      | 343389211.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       121 | PA      | $120.51       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343389235.UL.NBM                      | 343389235.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       155 | PA      | $154.18       | 0.00%             | 2026-05-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 10063315.SQ.NBM                       | 10063315.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15943 | PA      | $14933.21     | 0.02%             | 2027-05-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10063783.SQ.NBM                       | 10063783.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1727 | PA      | $1582.20      | 0.00%             | 2027-05-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342395509.UL.NBM                      | 342395509.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5812 | PA      | $5822.58      | 0.01%             | 2027-02-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342396252.UL.NBM                      | 342396252.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       541 | PA      | $538.66       | 0.00%             | 2026-02-23      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 10084218.SQ.NBM                       | 10084218.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1022 | PA      | $930.64       | 0.00%             | 2027-05-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10084262.SQ.NBM                       | 10084262.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       883 | PA      | $836.12       | 0.00%             | 2027-05-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341978395.UL.NBM                      | 341978395.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $66.81        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341978447.UL.NBM                      | 341978447.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       625 | PA      | $200.06       | 0.00%             | 2026-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343540447.UL.NBM                      | 343540447.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       793 | PA      | $784.26       | 0.00%             | 2026-07-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343611851.UL.NBM                      | 343611851.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        42 | PA      | $41.40        | 0.00%             | 2026-02-27      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| L5858194.UP.NBM                       | L5858194.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     30067 | PA      | $28998.75     | 0.04%             | 2030-08-22      | Fixed         | 20.66%                | Yes           |                  3 | On Loan: No      |
| L5858212.UP.NBM                       | L5858212.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5100 | PA      | $4859.19      | 0.01%             | 2030-08-22      | Fixed         | 26.06%                | Yes           |                  3 | On Loan: No      |
| 343389622.UL.NBM                      | 343389622.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       106 | PA      | $105.47       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343424683.UL.NBM                      | 343424683.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1506 | PA      | $1490.08      | 0.00%             | 2026-07-26      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 342396393.UL.NBM                      | 342396393.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       193 | PA      | $191.49       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342408763.UL.NBM                      | 342408763.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       147 | PA      | $29.73        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341980880.UL.NBM                      | 341980880.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        69 | PA      | $68.47        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341981141.UL.NBM                      | 341981141.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       413 | PA      | $415.55       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343612766.UL.NBM                      | 343612766.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       342 | PA      | $340.84       | 0.00%             | 2026-02-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343612853.UL.NBM                      | 343612853.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       300 | PA      | $297.30       | 0.00%             | 2026-05-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5858218.UP.NBM                       | L5858218.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1007 | PA      | $943.86       | 0.00%             | 2028-08-22      | Fixed         | 19.52%                | Yes           |                  3 | On Loan: No      |
| L5858252.UP.NBM                       | L5858252.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7234 | PA      | $5673.44      | 0.01%             | 2030-08-22      | Fixed         | 20.56%                | Yes           |                  3 | On Loan: No      |
| 343425333.UL.NBM                      | 343425333.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       502 | PA      | $497.44       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343426299.UL.NBM                      | 343426299.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       197 | PA      | $195.71       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342409604.UL.NBM                      | 342409604.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       268 | PA      | $266.68       | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342410599.UL.NBM                      | 342410599.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       106 | PA      | $105.73       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10084307.SQ.NBM                       | 10084307.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1943 | PA      | $1810.45      | 0.00%             | 2027-05-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10084414.SQ.NBM                       | 10084414.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5080 | PA      | $4794.74      | 0.01%             | 2027-05-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343614789.UL.NBM                      | 343614789.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       204 | PA      | $201.55       | 0.00%             | 2026-07-27      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343771770.UL.NBM                      | 343771770.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        83 | PA      | $83.20        | 0.00%             | 2026-02-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5858277.UP.NBM                       | L5858277.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5765 | PA      | $5580.56      | 0.01%             | 2030-08-22      | Fixed         | 20.89%                | Yes           |                  3 | On Loan: No      |
| L5858399.UP.NBM                       | L5858399.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3993 | PA      | $3732.66      | 0.01%             | 2028-08-22      | Fixed         | 14.57%                | Yes           |                  3 | On Loan: No      |
| 10084600.SQ.NBM                       | 10084600.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8872 | PA      | $8419.15      | 0.01%             | 2027-05-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10085143.SQ.NBM                       | 10085143.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     24066 | PA      | $22209.27     | 0.03%             | 2027-05-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342412628.UL.NBM                      | 342412628.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       602 | PA      | $572.76       | 0.00%             | 2026-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342413196.UL.NBM                      | 342413196.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       190 | PA      | $22.14        | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10151503.SQ.NBM                       | 10151503.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7026 | PA      | $6543.10      | 0.01%             | 2027-06-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10151718.SQ.NBM                       | 10151718.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6015 | PA      | $5479.11      | 0.01%             | 2027-06-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343795266.UL.NBM                      | 343795266.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3785 | PA      | $3743.52      | 0.01%             | 2027-02-27      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343796574.UL.NBM                      | 343796574.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       314 | PA      | $312.19       | 0.00%             | 2026-02-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5858402.UP.NBM                       | L5858402.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3831 | PA      | $3810.39      | 0.01%             | 2030-08-22      | Fixed         | 18.00%                | Yes           |                  3 | On Loan: No      |
| L5858404.UP.NBM                       | L5858404.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       994 | PA      | $943.92       | 0.00%             | 2028-08-22      | Fixed         | 10.38%                | Yes           |                  3 | On Loan: No      |
| 10085755.SQ.NBM                       | 10085755.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6429 | PA      | $6030.33      | 0.01%             | 2027-05-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10085898.SQ.NBM                       | 10085898.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2731 | PA      | $2574.56      | 0.00%             | 2027-05-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342413304.UL.NBM                      | 342413304.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       361 | PA      | $343.28       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342413804.UL.NBM                      | 342413804.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       228 | PA      | $226.74       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343808959.UL.NBM                      | 343808959.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1062 | PA      | $1050.10      | 0.00%             | 2026-07-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343811869.UL.NBM                      | 343811869.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1176 | PA      | $1162.99      | 0.00%             | 2026-07-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343426376.UL.NBM                      | 343426376.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       171 | PA      | $169.28       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343438761.UL.NBM                      | 343438761.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       137 | PA      | $136.57       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5858416.UP.NBM                       | L5858416.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9718 | PA      | $7730.72      | 0.01%             | 2030-08-22      | Fixed         | 21.66%                | Yes           |                  3 | On Loan: No      |
| L5858620.UP.NBM                       | L5858620.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9074 | PA      | $7203.56      | 0.01%             | 2030-08-22      | Fixed         | 22.88%                | Yes           |                  3 | On Loan: No      |
| 342413921.UL.NBM                      | 342413921.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       199 | PA      | $187.59       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342414199.UL.NBM                      | 342414199.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1171 | PA      | $1157.85      | 0.00%             | 2026-07-23      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 10085960.SQ.NBM                       | 10085960.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1423 | PA      | $1354.72      | 0.00%             | 2027-05-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10086036.SQ.NBM                       | 10086036.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10668 | PA      | $10019.05     | 0.01%             | 2027-05-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10172277.SQ.NBM                       | 10172277.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4712 | PA      | $4390.14      | 0.01%             | 2027-06-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10172413.SQ.NBM                       | 10172413.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2048 | PA      | $1892.62      | 0.00%             | 2027-06-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343439051.UL.NBM                      | 343439051.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        41 | PA      | $40.47        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343439762.UL.NBM                      | 343439762.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        66 | PA      | $66.28        | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| L5858624.UP.NBM                       | L5858624.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2407 | PA      | $2302.19      | 0.00%             | 2030-08-22      | Fixed         | 26.30%                | Yes           |                  3 | On Loan: No      |
| L5858629.UP.NBM                       | L5858629.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3323 | PA      | $3381.52      | 0.00%             | 2030-08-22      | Fixed         | 19.51%                | Yes           |                  3 | On Loan: No      |
| 342414375.UL.NBM                      | 342414375.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        98 | PA      | $97.76        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342414389.UL.NBM                      | 342414389.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        50 | PA      | $50.18        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10086319.SQ.NBM                       | 10086319.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1537 | PA      | $1425.88      | 0.00%             | 2027-05-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10086346.SQ.NBM                       | 10086346.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14209 | PA      | $13350.74     | 0.02%             | 2027-05-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341399141.UL.NBM                      | 341399141.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       673 | PA      | $665.25       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341399164.UL.NBM                      | 341399164.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       408 | PA      | $405.18       | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342453437.UL.NBM                      | 342453437.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1991 | PA      | $1863.79      | 0.00%             | 2026-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342453984.UL.NBM                      | 342453984.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4016 | PA      | $3948.41      | 0.01%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5858641.UP.NBM                       | L5858641.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3336 | PA      | $3118.19      | 0.00%             | 2030-08-22      | Fixed         | 14.23%                | Yes           |                  3 | On Loan: No      |
| L5858660.UP.NBM                       | L5858660.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1268 | PA      | $1261.20      | 0.00%             | 2030-08-22      | Fixed         | 14.52%                | Yes           |                  3 | On Loan: No      |
| 342414550.UL.NBM                      | 342414550.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        80 | PA      | $79.54        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342414622.UL.NBM                      | 342414622.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       206 | PA      | $204.39       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343441009.UL.NBM                      | 343441009.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       786 | PA      | $726.16       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343441275.UL.NBM                      | 343441275.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       426 | PA      | $422.12       | 0.00%             | 2026-05-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 10086598.SQ.NBM                       | 10086598.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4830 | PA      | $4570.26      | 0.01%             | 2027-05-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10086660.SQ.NBM                       | 10086660.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10644 | PA      | $9823.17      | 0.01%             | 2027-05-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341981272.UL.NBM                      | 341981272.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       335 | PA      | $318.73       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341981353.UL.NBM                      | 341981353.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       176 | PA      | $175.34       | 0.00%             | 2026-02-22      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| L5858668.UP.NBM                       | L5858668.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10951 | PA      | $10543.60     | 0.01%             | 2030-08-22      | Fixed         | 20.55%                | Yes           |                  3 | On Loan: No      |
| L5858676.UP.NBM                       | L5858676.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2719 | PA      | $2572.85      | 0.00%             | 2028-08-22      | Fixed         | 12.44%                | Yes           |                  3 | On Loan: No      |
| 342414816.UL.NBM                      | 342414816.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        81 | PA      | $80.87        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342416169.UL.NBM                      | 342416169.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       233 | PA      | $230.71       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343491132.UL.NBM                      | 343491132.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1535 | PA      | $1510.21      | 0.00%             | 2027-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343491724.UL.NBM                      | 343491724.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        88 | PA      | $-3.55        | -0.00%            | 2035-11-26      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 10086841.SQ.NBM                       | 10086841.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     73159 | PA      | $69172.61     | 0.10%             | 2027-05-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10088079.SQ.NBM                       | 10088079.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1868 | PA      | $1763.14      | 0.00%             | 2027-05-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343491952.UL.NBM                      | 343491952.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        57 | PA      | $56.94        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343491965.UL.NBM                      | 343491965.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       216 | PA      | $214.99       | 0.00%             | 2026-02-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| L5858677.UP.NBM                       | L5858677.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     38316 | PA      | $38243.85     | 0.05%             | 2030-08-22      | Fixed         | 18.21%                | Yes           |                  3 | On Loan: No      |
| L5865548.UP.NBM                       | L5865548.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1543 | PA      | $1504.64      | 0.00%             | 2030-08-25      | Fixed         | 24.02%                | Yes           |                  3 | On Loan: No      |
| 341983927.UL.NBM                      | 341983927.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       134 | PA      | $133.02       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341984193.UL.NBM                      | 341984193.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       300 | PA      | $297.10       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10088110.SQ.NBM                       | 10088110.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       307 | PA      | $286.07       | 0.00%             | 2027-05-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10153427.SQ.NBM                       | 10153427.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10439 | PA      | $9796.47      | 0.01%             | 2027-06-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342200898.UL.NBM                      | 342200898.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       286 | PA      | $283.50       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342201037.UL.NBM                      | 342201037.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2996 | PA      | $2963.37      | 0.00%             | 2026-07-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342454008.UL.NBM                      | 342454008.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1612 | PA      | $682.18       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342507739.UL.NBM                      | 342507739.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       103 | PA      | $101.90       | 0.00%             | 2026-05-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341399242.UL.NBM                      | 341399242.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       167 | PA      | $161.56       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341399386.UL.NBM                      | 341399386.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       137 | PA      | $136.33       | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341984247.UL.NBM                      | 341984247.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1123 | PA      | $1042.48      | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341985557.UL.NBM                      | 341985557.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       568 | PA      | $87.20        | 0.00%             | 2035-11-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5865559.UP.NBM                       | L5865559.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4765 | PA      | $4665.67      | 0.01%             | 2030-08-25      | Fixed         | 21.71%                | Yes           |                  3 | On Loan: No      |
| L5865564.UP.NBM                       | L5865564.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1343 | PA      | $1265.25      | 0.00%             | 2030-08-25      | Fixed         | 19.16%                | Yes           |                  3 | On Loan: No      |
| 10154144.SQ.NBM                       | 10154144.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10371 | PA      | $9731.48      | 0.01%             | 2027-06-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10154987.SQ.NBM                       | 10154987.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       748 | PA      | $678.90       | 0.00%             | 2027-06-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342201205.UL.NBM                      | 342201205.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       178 | PA      | $176.72       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342202133.UL.NBM                      | 342202133.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       547 | PA      | $543.73       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341987304.UL.NBM                      | 341987304.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        42 | PA      | $41.55        | 0.00%             | 2026-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341988414.UL.NBM                      | 341988414.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        71 | PA      | $70.71        | 0.00%             | 2026-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343812415.UL.NBM                      | 343812415.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1171 | PA      | $1158.04      | 0.00%             | 2026-07-27      | Fixed         | 32.99%                | Yes           |                  3 | On Loan: No      |
| 9734100.SQ.NBM                        | 9734100.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1758 | PA      | $1686.88      | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343592907.UL.NBM                      | 343592907.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       960 | PA      | $956.80       | 0.00%             | 2026-02-27      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343592935.UL.NBM                      | 343592935.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       376 | PA      | $371.48       | 0.00%             | 2026-07-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10155041.SQ.NBM                       | 10155041.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3437 | PA      | $3174.22      | 0.00%             | 2027-06-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10155216.SQ.NBM                       | 10155216.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5750 | PA      | $5394.26      | 0.01%             | 2027-06-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5865597.UP.NBM                       | L5865597.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4777 | PA      | $4599.20      | 0.01%             | 2030-08-25      | Fixed         | 15.99%                | Yes           |                  3 | On Loan: No      |
| L5866030.UP.NBM                       | L5866030.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4782 | PA      | $4646.86      | 0.01%             | 2030-08-25      | Fixed         | 16.54%                | Yes           |                  3 | On Loan: No      |
| 341771135.UL.NBM                      | 341771135.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        76 | PA      | $75.07        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341771683.UL.NBM                      | 341771683.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       504 | PA      | $466.11       | 0.00%             | 2026-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9734117.SQ.NBM                        | 9734117.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1446 | PA      | $1359.17      | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9734131.SQ.NBM                        | 9734131.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3560 | PA      | $3407.92      | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341990731.UL.NBM                      | 341990731.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       418 | PA      | $413.43       | 0.00%             | 2026-05-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342071262.UL.NBM                      | 342071262.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       263 | PA      | $260.13       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342417462.UL.NBM                      | 342417462.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       376 | PA      | $372.16       | 0.00%             | 2026-05-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342417982.UL.NBM                      | 342417982.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       874 | PA      | $864.04       | 0.00%             | 2026-07-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| L5866034.UP.NBM                       | L5866034.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     45739 | PA      | $41522.48     | 0.06%             | 2030-09-02      | Fixed         | 23.24%                | Yes           |                  3 | On Loan: No      |
| L5866041.UP.NBM                       | L5866041.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       956 | PA      | $943.52       | 0.00%             | 2030-08-25      | Fixed         | 17.36%                | Yes           |                  3 | On Loan: No      |
| 343593101.UL.NBM                      | 343593101.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        65 | PA      | $65.15        | 0.00%             | 2026-02-27      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343593428.UL.NBM                      | 343593428.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       258 | PA      | $256.55       | 0.00%             | 2026-02-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10155395.SQ.NBM                       | 10155395.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4254 | PA      | $3933.27      | 0.01%             | 2027-06-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10155567.SQ.NBM                       | 10155567.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1588 | PA      | $1460.74      | 0.00%             | 2027-06-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342071299.UL.NBM                      | 342071299.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       377 | PA      | $373.72       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342072242.UL.NBM                      | 342072242.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       892 | PA      | $881.70       | 0.00%             | 2026-07-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342202320.UL.NBM                      | 342202320.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       852 | PA      | $784.62       | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342202470.UL.NBM                      | 342202470.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       129 | PA      | $128.24       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5866069.UP.NBM                       | L5866069.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2103 | PA      | $1954.91      | 0.00%             | 2028-08-25      | Fixed         | 18.65%                | Yes           |                  3 | On Loan: No      |
| L5866097.UP.NBM                       | L5866097.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2332 | PA      | $2239.18      | 0.00%             | 2028-08-25      | Fixed         | 13.80%                | Yes           |                  3 | On Loan: No      |
| 342418924.UL.NBM                      | 342418924.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       323 | PA      | $319.57       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342419310.UL.NBM                      | 342419310.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       110 | PA      | $109.16       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342507995.UL.NBM                      | 342507995.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        88 | PA      | $87.45        | 0.00%             | 2026-02-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342508266.UL.NBM                      | 342508266.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        50 | PA      | $49.96        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342072253.UL.NBM                      | 342072253.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       386 | PA      | $383.94       | 0.00%             | 2026-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342080609.UL.NBM                      | 342080609.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       385 | PA      | $367.65       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342080743.UL.NBM                      | 342080743.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1017 | PA      | $943.29       | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342081951.UL.NBM                      | 342081951.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1694 | PA      | $1667.11      | 0.00%             | 2027-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9734284.SQ.NBM                        | 9734284.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1908 | PA      | $1838.69      | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9741888.SQ.NBM                        | 9741888.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3134 | PA      | $2990.17      | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342202662.UL.NBM                      | 342202662.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1116 | PA      | $1109.55      | 0.00%             | 2026-07-22      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342202741.UL.NBM                      | 342202741.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       251 | PA      | $250.12       | 0.00%             | 2026-06-06      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342424027.UL.NBM                      | 342424027.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       516 | PA      | $511.05       | 0.00%             | 2026-05-23      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 342424037.UL.NBM                      | 342424037.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       249 | PA      | $247.98       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341771840.UL.NBM                      | 341771840.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       436 | PA      | $415.72       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341830826.UL.NBM                      | 341830826.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2326 | PA      | $2192.31      | 0.00%             | 2026-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342508320.UL.NBM                      | 342508320.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       181 | PA      | $180.02       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9768052.SQ.NBM                        | 9768052.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9591 | PA      | $9232.36      | 0.01%             | 2027-03-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5866114.UP.NBM                       | L5866114.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1252 | PA      | $1246.91      | 0.00%             | 2030-08-25      | Fixed         | 22.66%                | Yes           |                  3 | On Loan: No      |
| L5866173.UP.NBM                       | L5866173.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1917 | PA      | $448.90       | 0.00%             | 2028-08-25      | Fixed         | 19.31%                | Yes           |                  3 | On Loan: No      |
| 342248975.UL.NBM                      | 342248975.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1943 | PA      | $1771.48      | 0.00%             | 2027-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342249058.UL.NBM                      | 342249058.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       281 | PA      | $266.79       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342082550.UL.NBM                      | 342082550.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        49 | PA      | $48.68        | 0.00%             | 2026-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342082594.UL.NBM                      | 342082594.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       671 | PA      | $315.86       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342455052.UL.NBM                      | 342455052.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       853 | PA      | $848.81       | 0.00%             | 2026-02-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342455097.UL.NBM                      | 342455097.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1095 | PA      | $1081.68      | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10155641.SQ.NBM                       | 10155641.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11040 | PA      | $10191.93     | 0.01%             | 2027-06-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10158295.SQ.NBM                       | 10158295.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3291 | PA      | $2990.47      | 0.00%             | 2027-06-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9741921.SQ.NBM                        | 9741921.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10165 | PA      | $9747.90      | 0.01%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9742043.SQ.NBM                        | 9742043.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1146 | PA      | $304.90       | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342249092.UL.NBM                      | 342249092.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       251 | PA      | $237.94       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342250283.UL.NBM                      | 342250283.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        93 | PA      | $89.47        | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342082798.UL.NBM                      | 342082798.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        80 | PA      | $79.00        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342084337.UL.NBM                      | 342084337.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       347 | PA      | $343.51       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342455321.UL.NBM                      | 342455321.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        34 | PA      | $34.22        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342455706.UL.NBM                      | 342455706.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       137 | PA      | $30.47        | 0.00%             | 2035-11-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5866228.UP.NBM                       | L5866228.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8302 | PA      | $7840.57      | 0.01%             | 2030-08-25      | Fixed         | 25.28%                | Yes           |                  3 | On Loan: No      |
| L5866232.UP.NBM                       | L5866232.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10934 | PA      | $10325.88     | 0.01%             | 2030-08-25      | Fixed         | 19.29%                | Yes           |                  3 | On Loan: No      |
| 9768132.SQ.NBM                        | 9768132.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7068 | PA      | $6845.29      | 0.01%             | 2027-03-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9768203.SQ.NBM                        | 9768203.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1230 | PA      | $1135.12      | 0.00%             | 2027-03-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342251058.UL.NBM                      | 342251058.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4093 | PA      | $4033.17      | 0.01%             | 2027-02-22      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342251205.UL.NBM                      | 342251205.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       314 | PA      | $310.98       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342084479.UL.NBM                      | 342084479.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        96 | PA      | $94.90        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342084498.UL.NBM                      | 342084498.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       183 | PA      | $181.76       | 0.00%             | 2026-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342456599.UL.NBM                      | 342456599.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       700 | PA      | $689.01       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342472143.UL.NBM                      | 342472143.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        65 | PA      | $64.20        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5866271.UP.NBM                       | L5866271.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9487 | PA      | $9139.71      | 0.01%             | 2030-08-25      | Fixed         | 16.08%                | Yes           |                  3 | On Loan: No      |
| L5866276.UP.NBM                       | L5866276.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1011 | PA      | $981.02       | 0.00%             | 2028-08-25      | Fixed         | 22.75%                | Yes           |                  3 | On Loan: No      |
| 9768212.SQ.NBM                        | 9768212.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3991 | PA      | $3797.73      | 0.01%             | 2027-03-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9768259.SQ.NBM                        | 9768259.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1834 | PA      | $1779.90      | 0.00%             | 2027-03-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342251955.UL.NBM                      | 342251955.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1075 | PA      | $992.99       | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342252345.UL.NBM                      | 342252345.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       783 | PA      | $773.09       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10158387.SQ.NBM                       | 10158387.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4932 | PA      | $4602.93      | 0.01%             | 2027-06-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10158534.SQ.NBM                       | 10158534.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14179 | PA      | $13113.69     | 0.02%             | 2027-06-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342472380.UL.NBM                      | 342472380.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       175 | PA      | $71.95        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342472444.UL.NBM                      | 342472444.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       165 | PA      | $158.94       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342084558.UL.NBM                      | 342084558.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       253 | PA      | $250.77       | 0.00%             | 2026-05-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342085190.UL.NBM                      | 342085190.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        85 | PA      | $84.46        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341401864.UL.NBM                      | 341401864.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1010 | PA      | $999.27       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341440755.UL.NBM                      | 341440755.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       262 | PA      | $259.53       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9768275.SQ.NBM                        | 9768275.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2776 | PA      | $2662.64      | 0.00%             | 2027-03-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9768294.SQ.NBM                        | 9768294.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5828 | PA      | $5588.57      | 0.01%             | 2027-03-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342252740.UL.NBM                      | 342252740.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2003 | PA      | $1827.50      | 0.00%             | 2027-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342253070.UL.NBM                      | 342253070.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1365 | PA      | $1353.63      | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342472781.UL.NBM                      | 342472781.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1082 | PA      | $1071.82      | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342473314.UL.NBM                      | 342473314.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1544 | PA      | $1430.98      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10162098.SQ.NBM                       | 10162098.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12654 | PA      | $11875.46     | 0.02%             | 2027-06-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10162528.SQ.NBM                       | 10162528.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6384 | PA      | $5989.89      | 0.01%             | 2027-06-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9768351.SQ.NBM                        | 9768351.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6900 | PA      | $6594.55      | 0.01%             | 2027-03-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9769417.SQ.NBM                        | 9769417.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     26054 | PA      | $24584.61     | 0.03%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342085353.UL.NBM                      | 342085353.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       212 | PA      | $210.19       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342085719.UL.NBM                      | 342085719.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       207 | PA      | $205.09       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5866318.UP.NBM                       | L5866318.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     40229 | PA      | $38499.30     | 0.05%             | 2030-08-25      | Fixed         | 20.25%                | Yes           |                  3 | On Loan: No      |
| L5866320.UP.NBM                       | L5866320.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     37952 | PA      | $35969.61     | 0.05%             | 2030-08-25      | Fixed         | 22.39%                | Yes           |                  3 | On Loan: No      |
| 9770058.SQ.NBM                        | 9770058.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       510 | PA      | $498.67       | 0.00%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9770102.SQ.NBM                        | 9770102.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     20219 | PA      | $19409.46     | 0.03%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342473636.UL.NBM                      | 342473636.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       122 | PA      | $120.82       | 0.00%             | 2026-02-23      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 342473789.UL.NBM                      | 342473789.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       329 | PA      | $326.42       | 0.00%             | 2026-05-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 10162827.SQ.NBM                       | 10162827.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21260 | PA      | $19561.86     | 0.03%             | 2027-06-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10164159.SQ.NBM                       | 10164159.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8045 | PA      | $7548.45      | 0.01%             | 2027-06-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342086124.UL.NBM                      | 342086124.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       199 | PA      | $188.44       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342086138.UL.NBM                      | 342086138.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       974 | PA      | $902.65       | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9770899.SQ.NBM                        | 9770899.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1452 | PA      | $1368.96      | 0.00%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9770931.SQ.NBM                        | 9770931.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4771 | PA      | $4171.66      | 0.01%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342253240.UL.NBM                      | 342253240.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       203 | PA      | $204.88       | 0.00%             | 2026-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342253981.UL.NBM                      | 342253981.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       881 | PA      | $870.43       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342473870.UL.NBM                      | 342473870.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       554 | PA      | $513.04       | 0.00%             | 2026-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342473886.UL.NBM                      | 342473886.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        72 | PA      | $72.00        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10164493.SQ.NBM                       | 10164493.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1133 | PA      | $1029.35      | 0.00%             | 2027-06-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10164555.SQ.NBM                       | 10164555.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10591 | PA      | $9937.14      | 0.01%             | 2027-06-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342086155.UL.NBM                      | 342086155.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       415 | PA      | $395.66       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342086217.UL.NBM                      | 342086217.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        43 | PA      | $42.99        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5866360.UP.NBM                       | L5866360.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1363 | PA      | $1311.90      | 0.00%             | 2028-08-25      | Fixed         | 14.02%                | Yes           |                  3 | On Loan: No      |
| L5866368.UP.NBM                       | L5866368.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7342 | PA      | $7108.54      | 0.01%             | 2030-08-25      | Fixed         | 23.45%                | Yes           |                  3 | On Loan: No      |
| 341440932.UL.NBM                      | 341440932.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       923 | PA      | $850.46       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341441463.UL.NBM                      | 341441463.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        41 | PA      | $41.16        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342474415.UL.NBM                      | 342474415.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       334 | PA      | $336.62       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342474514.UL.NBM                      | 342474514.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        17 | PA      | $16.70        | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341548317.UL.NBM                      | 341548317.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       633 | PA      | $605.44       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341548975.UL.NBM                      | 341548975.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1191 | PA      | $1142.61      | 0.00%             | 2026-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342087011.UL.NBM                      | 342087011.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        65 | PA      | $64.73        | 0.00%             | 2026-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342087076.UL.NBM                      | 342087076.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       245 | PA      | $243.05       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342475266.UL.NBM                      | 342475266.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       200 | PA      | $188.47       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342475290.UL.NBM                      | 342475290.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       129 | PA      | $28.87        | 0.00%             | 2035-11-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5866399.UP.NBM                       | L5866399.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1249 | PA      | $1295.48      | 0.00%             | 2030-08-25      | Fixed         | 20.56%                | Yes           |                  3 | On Loan: No      |
| L5866421.UP.NBM                       | L5866421.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3139 | PA      | $3008.34      | 0.00%             | 2030-08-25      | Fixed         | 12.62%                | Yes           |                  3 | On Loan: No      |
| 10164994.SQ.NBM                       | 10164994.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7920 | PA      | $7227.45      | 0.01%             | 2027-06-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10165216.SQ.NBM                       | 10165216.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15031 | PA      | $13954.20     | 0.02%             | 2027-06-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9771020.SQ.NBM                        | 9771020.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3631 | PA      | $3485.86      | 0.00%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9771059.SQ.NBM                        | 9771059.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       883 | PA      | $853.06       | 0.00%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342254559.UL.NBM                      | 342254559.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       347 | PA      | $343.85       | 0.00%             | 2026-05-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342255749.UL.NBM                      | 342255749.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       324 | PA      | $320.54       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342475303.UL.NBM                      | 342475303.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       299 | PA      | $283.97       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342475434.UL.NBM                      | 342475434.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        48 | PA      | $47.64        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5866450.UP.NBM                       | L5866450.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     37122 | PA      | $36630.61     | 0.05%             | 2030-08-25      | Fixed         | 17.55%                | Yes           |                  3 | On Loan: No      |
| L5866488.UP.NBM                       | L5866488.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1444 | PA      | $1383.35      | 0.00%             | 2030-08-25      | Fixed         | 22.87%                | Yes           |                  3 | On Loan: No      |
| 341549005.UL.NBM                      | 341549005.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       319 | PA      | $316.36       | 0.00%             | 2026-05-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341549026.UL.NBM                      | 341549026.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       134 | PA      | $133.03       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9771096.SQ.NBM                        | 9771096.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2977 | PA      | $2855.26      | 0.00%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9771143.SQ.NBM                        | 9771143.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2835 | PA      | $2672.12      | 0.00%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342256274.UL.NBM                      | 342256274.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       183 | PA      | $172.60       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342256400.UL.NBM                      | 342256400.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       470 | PA      | $465.16       | 0.00%             | 2026-05-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342475536.UL.NBM                      | 342475536.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1210 | PA      | $1118.95      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342475548.UL.NBM                      | 342475548.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1513 | PA      | $1519.96      | 0.00%             | 2026-07-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| L5866618.UP.NBM                       | L5866618.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5300 | PA      | $5241.63      | 0.01%             | 2030-08-25      | Fixed         | 17.69%                | Yes           |                  3 | On Loan: No      |
| L5866661.UP.NBM                       | L5866661.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4608 | PA      | $4547.37      | 0.01%             | 2028-08-25      | Fixed         | 24.44%                | Yes           |                  3 | On Loan: No      |
| 9771179.SQ.NBM                        | 9771179.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5676 | PA      | $4552.54      | 0.01%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9771250.SQ.NBM                        | 9771250.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     27564 | PA      | $25920.83     | 0.04%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10165646.SQ.NBM                       | 10165646.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5572 | PA      | $5226.96      | 0.01%             | 2027-06-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10165788.SQ.NBM                       | 10165788.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1022 | PA      | $943.10       | 0.00%             | 2027-06-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342292677.UL.NBM                      | 342292677.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       352 | PA      | $349.33       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342292795.UL.NBM                      | 342292795.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       728 | PA      | $722.44       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10004527.SQ.NBM                       | 10004527.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6353 | PA      | $5991.25      | 0.01%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10004907.SQ.NBM                       | 10004907.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1804 | PA      | $1707.64      | 0.00%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342475836.UL.NBM                      | 342475836.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       243 | PA      | $241.55       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342475979.UL.NBM                      | 342475979.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       678 | PA      | $677.16       | 0.00%             | 2026-02-23      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| L5866677.UP.NBM                       | L5866677.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10545 | PA      | $9893.43      | 0.01%             | 2030-08-25      | Fixed         | 18.88%                | Yes           |                  3 | On Loan: No      |
| L5866688.UP.NBM                       | L5866688.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1368 | PA      | $1320.49      | 0.00%             | 2030-08-25      | Fixed         | 16.07%                | Yes           |                  3 | On Loan: No      |
| 9771492.SQ.NBM                        | 9771492.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     52456 | PA      | $17945.16     | 0.02%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9772034.SQ.NBM                        | 9772034.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       381 | PA      | $360.12       | 0.00%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342089045.UL.NBM                      | 342089045.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       245 | PA      | $243.38       | 0.00%             | 2026-02-22      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342089225.UL.NBM                      | 342089225.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       243 | PA      | $240.83       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341549077.UL.NBM                      | 341549077.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        78 | PA      | $77.76        | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341572981.UL.NBM                      | 341572981.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       174 | PA      | $173.38       | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342292866.UL.NBM                      | 342292866.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       538 | PA      | $533.50       | 0.00%             | 2026-05-23      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342292893.UL.NBM                      | 342292893.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       483 | PA      | $478.85       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342531478.UL.NBM                      | 342531478.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       939 | PA      | $934.73       | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342532043.UL.NBM                      | 342532043.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        93 | PA      | $92.64        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341830845.UL.NBM                      | 341830845.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       238 | PA      | $237.78       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341830898.UL.NBM                      | 341830898.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1117 | PA      | $1026.76      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342090072.UL.NBM                      | 342090072.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       194 | PA      | $193.23       | 0.00%             | 2026-02-22      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342090114.UL.NBM                      | 342090114.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       629 | PA      | $623.23       | 0.00%             | 2026-07-22      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341572987.UL.NBM                      | 341572987.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1735 | PA      | $1708.06      | 0.00%             | 2027-02-21      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341573160.UL.NBM                      | 341573160.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       229 | PA      | $226.64       | 0.00%             | 2026-05-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342293123.UL.NBM                      | 342293123.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       771 | PA      | $762.49       | 0.00%             | 2026-07-23      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342293160.UL.NBM                      | 342293160.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       251 | PA      | $248.75       | 0.00%             | 2026-05-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| L5866689.UP.NBM                       | L5866689.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8283 | PA      | $7958.31      | 0.01%             | 2030-08-25      | Fixed         | 23.07%                | Yes           |                  3 | On Loan: No      |
| L5866760.UP.NBM                       | L5866760.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2382 | PA      | $2214.64      | 0.00%             | 2030-08-25      | Fixed         | 21.22%                | Yes           |                  3 | On Loan: No      |
| 9772058.SQ.NBM                        | 9772058.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6410 | PA      | $6075.71      | 0.01%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9772125.SQ.NBM                        | 9772125.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5697 | PA      | $5393.58      | 0.01%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342090152.UL.NBM                      | 342090152.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       232 | PA      | $230.52       | 0.00%             | 2026-05-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342090253.UL.NBM                      | 342090253.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       454 | PA      | $429.18       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342532535.UL.NBM                      | 342532535.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        93 | PA      | $89.45        | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342532615.UL.NBM                      | 342532615.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       788 | PA      | $724.26       | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342293463.UL.NBM                      | 342293463.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        97 | PA      | $96.84        | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342293509.UL.NBM                      | 342293509.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2046 | PA      | $2012.69      | 0.00%             | 2027-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341573322.UL.NBM                      | 341573322.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       915 | PA      | $484.72       | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341573360.UL.NBM                      | 341573360.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1298 | PA      | $1287.63      | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9772169.SQ.NBM                        | 9772169.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12275 | PA      | $11861.80     | 0.02%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9772280.SQ.NBM                        | 9772280.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6992 | PA      | $5582.47      | 0.01%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342090478.UL.NBM                      | 342090478.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2158 | PA      | $2124.24      | 0.00%             | 2027-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342090864.UL.NBM                      | 342090864.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       557 | PA      | $550.13       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342532836.UL.NBM                      | 342532836.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       107 | PA      | $106.87       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342532928.UL.NBM                      | 342532928.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3618 | PA      | $3566.65      | 0.00%             | 2027-02-23      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 342293651.UL.NBM                      | 342293651.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       326 | PA      | $323.39       | 0.00%             | 2026-05-23      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342293760.UL.NBM                      | 342293760.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       418 | PA      | $415.65       | 0.00%             | 2027-02-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341573412.UL.NBM                      | 341573412.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       342 | PA      | $340.24       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341573465.UL.NBM                      | 341573465.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        71 | PA      | $70.66        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9772316.SQ.NBM                        | 9772316.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7162 | PA      | $6887.91      | 0.01%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9772419.SQ.NBM                        | 9772419.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9135 | PA      | $8505.77      | 0.01%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342091065.UL.NBM                      | 342091065.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       110 | PA      | $109.31       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342091074.UL.NBM                      | 342091074.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1606 | PA      | $1586.21      | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341480764.UL.NBM                      | 341480764.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       122 | PA      | $120.90       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341480796.UL.NBM                      | 341480796.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       356 | PA      | $120.20       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342293999.UL.NBM                      | 342293999.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       893 | PA      | $377.31       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342294019.UL.NBM                      | 342294019.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       764 | PA      | $755.64       | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5869290.UP.NBM                       | L5869290.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1368 | PA      | $1304.47      | 0.00%             | 2028-08-25      | Fixed         | 16.43%                | Yes           |                  3 | On Loan: No      |
| L5869352.UP.NBM                       | L5869352.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13694 | PA      | $12662.43     | 0.02%             | 2030-08-25      | Fixed         | 17.98%                | Yes           |                  3 | On Loan: No      |
| 9772516.SQ.NBM                        | 9772516.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       356 | PA      | $347.29       | 0.00%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9772517.SQ.NBM                        | 9772517.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3254 | PA      | $3082.78      | 0.00%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342141883.UL.NBM                      | 342141883.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       736 | PA      | $727.34       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342142097.UL.NBM                      | 342142097.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        90 | PA      | $89.81        | 0.00%             | 2026-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341573491.UL.NBM                      | 341573491.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       485 | PA      | $463.16       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341573830.UL.NBM                      | 341573830.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       139 | PA      | $134.00       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342533239.UL.NBM                      | 342533239.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5065 | PA      | $4992.03      | 0.01%             | 2027-08-23      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 342533408.UL.NBM                      | 342533408.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       332 | PA      | $330.13       | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 10165801.SQ.NBM                       | 10165801.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2792 | PA      | $2548.80      | 0.00%             | 2027-06-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10165866.SQ.NBM                       | 10165866.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10992 | PA      | $10238.71     | 0.01%             | 2027-06-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341831059.UL.NBM                      | 341831059.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       668 | PA      | $620.96       | 0.00%             | 2026-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341918615.UL.NBM                      | 341918615.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       183 | PA      | $181.70       | 0.00%             | 2026-05-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9772583.SQ.NBM                        | 9772583.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3092 | PA      | $2976.85      | 0.00%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9826516.SQ.NBM                        | 9826516.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14237 | PA      | $13560.80     | 0.02%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342142117.UL.NBM                      | 342142117.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3319 | PA      | $3286.58      | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342142761.UL.NBM                      | 342142761.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       197 | PA      | $194.89       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341573866.UL.NBM                      | 341573866.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       478 | PA      | $472.76       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341573926.UL.NBM                      | 341573926.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       510 | PA      | $506.97       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342533618.UL.NBM                      | 342533618.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       779 | PA      | $769.76       | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342548568.UL.NBM                      | 342548568.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       748 | PA      | $687.42       | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5869355.UP.NBM                       | L5869355.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1723 | PA      | $1709.07      | 0.00%             | 2030-08-25      | Fixed         | 17.78%                | Yes           |                  3 | On Loan: No      |
| L5869458.UP.NBM                       | L5869458.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9679 | PA      | $2193.00      | 0.00%             | 2030-08-25      | Fixed         | 25.84%                | Yes           |                  3 | On Loan: No      |
| 9826713.SQ.NBM                        | 9826713.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       843 | PA      | $808.70       | 0.00%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9826727.SQ.NBM                        | 9826727.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19041 | PA      | $16495.02     | 0.02%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342186018.UL.NBM                      | 342186018.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4161 | PA      | $3833.11      | 0.01%             | 2027-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342187719.UL.NBM                      | 342187719.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4445 | PA      | $4378.32      | 0.01%             | 2027-08-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 10166181.SQ.NBM                       | 10166181.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12608 | PA      | $11462.59     | 0.02%             | 2027-06-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10166661.SQ.NBM                       | 10166661.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4018 | PA      | $3767.51      | 0.01%             | 2027-06-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342548917.UL.NBM                      | 342548917.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1341 | PA      | $1326.49      | 0.00%             | 2026-07-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342549191.UL.NBM                      | 342549191.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1704 | PA      | $1588.54      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341574018.UL.NBM                      | 341574018.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        31 | PA      | $30.12        | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341574041.UL.NBM                      | 341574041.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        65 | PA      | $64.91        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9826914.SQ.NBM                        | 9826914.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4737 | PA      | $4354.71      | 0.01%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9829432.SQ.NBM                        | 9829432.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1985 | PA      | $1899.87      | 0.00%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342294147.UL.NBM                      | 342294147.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       803 | PA      | $793.29       | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342294178.UL.NBM                      | 342294178.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       461 | PA      | $457.15       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342810885.UL.NBM                      | 342810885.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        49 | PA      | $48.46        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342811496.UL.NBM                      | 342811496.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        52 | PA      | $51.74        | 0.00%             | 2026-02-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342549735.UL.NBM                      | 342549735.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       469 | PA      | $447.11       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342549803.UL.NBM                      | 342549803.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       132 | PA      | $131.17       | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9962996.SQ.NBM                        | 9962996.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13394 | PA      | $12615.99     | 0.02%             | 2027-04-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9963069.SQ.NBM                        | 9963069.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     56893 | PA      | $52239.19     | 0.07%             | 2027-04-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9829461.SQ.NBM                        | 9829461.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14523 | PA      | $13853.12     | 0.02%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9829951.SQ.NBM                        | 9829951.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2084 | PA      | $2006.36      | 0.00%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341574208.UL.NBM                      | 341574208.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       727 | PA      | $677.23       | 0.00%             | 2026-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341574220.UL.NBM                      | 341574220.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2244 | PA      | $2227.08      | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342294269.UL.NBM                      | 342294269.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       158 | PA      | $156.92       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342294437.UL.NBM                      | 342294437.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       125 | PA      | $124.75       | 0.00%             | 2026-02-23      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342549821.UL.NBM                      | 342549821.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        56 | PA      | $56.04        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342550131.UL.NBM                      | 342550131.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       218 | PA      | $216.79       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10166928.SQ.NBM                       | 10166928.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1128 | PA      | $1029.83      | 0.00%             | 2027-06-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10166989.SQ.NBM                       | 10166989.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8710 | PA      | $8052.26      | 0.01%             | 2027-06-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342187775.UL.NBM                      | 342187775.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       299 | PA      | $66.73        | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342188586.UL.NBM                      | 342188586.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1153 | PA      | $1109.10      | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10071041.SQ.NBM                       | 10071041.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2151 | PA      | $1940.74      | 0.00%             | 2027-05-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10071081.SQ.NBM                       | 10071081.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7095 | PA      | $6704.31      | 0.01%             | 2027-05-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341928198.UL.NBM                      | 341928198.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        40 | PA      | $40.00        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341928377.UL.NBM                      | 341928377.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       430 | PA      | $425.36       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342294520.UL.NBM                      | 342294520.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       191 | PA      | $41.67        | 0.00%             | 2035-11-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342294610.UL.NBM                      | 342294610.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       118 | PA      | $114.31       | 0.00%             | 2026-03-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342551090.UL.NBM                      | 342551090.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       596 | PA      | $592.38       | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342551391.UL.NBM                      | 342551391.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       104 | PA      | $103.60       | 0.00%             | 2026-02-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341574360.UL.NBM                      | 341574360.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3358 | PA      | $256.09       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341574408.UL.NBM                      | 341574408.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        34 | PA      | $34.02        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341928963.UL.NBM                      | 341928963.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       619 | PA      | $576.05       | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341929044.UL.NBM                      | 341929044.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       175 | PA      | $173.32       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342294627.UL.NBM                      | 342294627.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       634 | PA      | $629.49       | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342294659.UL.NBM                      | 342294659.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       296 | PA      | $295.40       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342189491.UL.NBM                      | 342189491.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       252 | PA      | $250.35       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342189799.UL.NBM                      | 342189799.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       318 | PA      | $314.57       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341574463.UL.NBM                      | 341574463.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       310 | PA      | $306.52       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341574516.UL.NBM                      | 341574516.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2734 | PA      | $2542.65      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342551464.UL.NBM                      | 342551464.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        94 | PA      | $94.26        | 0.00%             | 2026-02-23      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342552302.UL.NBM                      | 342552302.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1689 | PA      | $1574.20      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10219565.SQ.NBM                       | 10219565.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6412 | PA      | $6010.67      | 0.01%             | 2027-06-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10245833.SQ.NBM                       | 10245833.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13818 | PA      | $12858.24     | 0.02%             | 2027-06-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342294793.UL.NBM                      | 342294793.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1680 | PA      | $1655.46      | 0.00%             | 2027-02-23      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342294794.UL.NBM                      | 342294794.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        43 | PA      | $43.08        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342811570.UL.NBM                      | 342811570.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       260 | PA      | $21.44        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342813405.UL.NBM                      | 342813405.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       133 | PA      | $132.70       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342191021.UL.NBM                      | 342191021.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       201 | PA      | $198.94       | 0.00%             | 2026-05-22      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342191060.UL.NBM                      | 342191060.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        28 | PA      | $27.49        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342552309.UL.NBM                      | 342552309.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       346 | PA      | $343.42       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342552342.UL.NBM                      | 342552342.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       204 | PA      | $195.72       | 0.00%             | 2026-03-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341574851.UL.NBM                      | 341574851.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1370 | PA      | $1348.21      | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341574955.UL.NBM                      | 341574955.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       805 | PA      | $800.54       | 0.00%             | 2026-02-21      | Fixed         | 25.99%                | Yes           |                  3 | On Loan: No      |
| 9908260.SQ.NBM                        | 9908260.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5807 | PA      | $5483.14      | 0.01%             | 2027-04-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9908357.SQ.NBM                        | 9908357.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1591 | PA      | $1505.90      | 0.00%             | 2027-04-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342294897.UL.NBM                      | 342294897.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        69 | PA      | $68.83        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342294949.UL.NBM                      | 342294949.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       136 | PA      | $135.48       | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 10246578.SQ.NBM                       | 10246578.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21283 | PA      | $19926.17     | 0.03%             | 2027-06-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10247474.SQ.NBM                       | 10247474.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9930 | PA      | $9238.92      | 0.01%             | 2027-06-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342552716.UL.NBM                      | 342552716.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       288 | PA      | $38.39        | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342552725.UL.NBM                      | 342552725.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       249 | PA      | $246.78       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341575080.UL.NBM                      | 341575080.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       335 | PA      | $332.77       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341575127.UL.NBM                      | 341575127.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       121 | PA      | $120.10       | 0.00%             | 2026-02-21      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341480849.UL.NBM                      | 341480849.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        34 | PA      | $34.22        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341480856.UL.NBM                      | 341480856.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       157 | PA      | $156.43       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342294976.UL.NBM                      | 342294976.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       100 | PA      | $99.20        | 0.00%             | 2026-02-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342295242.UL.NBM                      | 342295242.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       466 | PA      | $461.77       | 0.00%             | 2026-05-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341935274.UL.NBM                      | 341935274.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       121 | PA      | $119.96       | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341935288.UL.NBM                      | 341935288.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1172 | PA      | $1161.60      | 0.00%             | 2026-05-21      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 342581486.UL.NBM                      | 342581486.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       548 | PA      | $542.73       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342581752.UL.NBM                      | 342581752.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1667 | PA      | $1644.60      | 0.00%             | 2027-02-23      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341575262.UL.NBM                      | 341575262.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       146 | PA      | $144.83       | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341575336.UL.NBM                      | 341575336.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       148 | PA      | $146.98       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10248436.SQ.NBM                       | 10248436.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5943 | PA      | $5486.38      | 0.01%             | 2027-06-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10248949.SQ.NBM                       | 10248949.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9036 | PA      | $8459.70      | 0.01%             | 2027-06-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9908400.SQ.NBM                        | 9908400.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       592 | PA      | $547.11       | 0.00%             | 2027-04-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9908404.SQ.NBM                        | 9908404.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4967 | PA      | $4714.92      | 0.01%             | 2027-04-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341935342.UL.NBM                      | 341935342.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1468 | PA      | $1444.15      | 0.00%             | 2027-08-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341935812.UL.NBM                      | 341935812.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       192 | PA      | $191.21       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342582476.UL.NBM                      | 342582476.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       226 | PA      | $223.25       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342584006.UL.NBM                      | 342584006.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        57 | PA      | $57.01        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341575372.UL.NBM                      | 341575372.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       212 | PA      | $209.67       | 0.00%             | 2026-05-21      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341575577.UL.NBM                      | 341575577.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        78 | PA      | $77.46        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9917287.SQ.NBM                        | 9917287.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     33078 | PA      | $31340.79     | 0.04%             | 2027-04-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9917791.SQ.NBM                        | 9917791.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1163 | PA      | $1075.24      | 0.00%             | 2027-04-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10249395.SQ.NBM                       | 10249395.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7207 | PA      | $6747.83      | 0.01%             | 2027-06-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10250324.SQ.NBM                       | 10250324.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     66006 | PA      | $61788.06     | 0.09%             | 2027-06-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342813448.UL.NBM                      | 342813448.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       150 | PA      | $149.01       | 0.00%             | 2026-02-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342813548.UL.NBM                      | 342813548.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       223 | PA      | $220.67       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342295248.UL.NBM                      | 342295248.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       130 | PA      | $128.73       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342295311.UL.NBM                      | 342295311.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1618 | PA      | $1598.76      | 0.00%             | 2026-07-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341575660.UL.NBM                      | 341575660.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       171 | PA      | $169.48       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341586339.UL.NBM                      | 341586339.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3632 | PA      | $3370.92      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9917822.SQ.NBM                        | 9917822.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     59268 | PA      | $56092.21     | 0.08%             | 2027-04-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9918495.SQ.NBM                        | 9918495.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2278 | PA      | $2184.88      | 0.00%             | 2027-04-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342588164.UL.NBM                      | 342588164.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       551 | PA      | $527.72       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342588455.UL.NBM                      | 342588455.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1570 | PA      | $1435.55      | 0.00%             | 2027-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342191609.UL.NBM                      | 342191609.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2006 | PA      | $416.29       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342191760.UL.NBM                      | 342191760.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2376 | PA      | $2355.02      | 0.00%             | 2026-05-22      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 10252282.SQ.NBM                       | 10252282.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3936 | PA      | $3602.00      | 0.00%             | 2027-06-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10252372.SQ.NBM                       | 10252372.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8172 | PA      | $7650.01      | 0.01%             | 2027-06-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9918757.SQ.NBM                        | 9918757.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6952 | PA      | $6544.17      | 0.01%             | 2027-04-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9918895.SQ.NBM                        | 9918895.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     84052 | PA      | $78538.28     | 0.11%             | 2027-04-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341587753.UL.NBM                      | 341587753.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       105 | PA      | $104.18       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341587791.UL.NBM                      | 341587791.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       230 | PA      | $229.96       | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342588739.UL.NBM                      | 342588739.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        41 | PA      | $41.23        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342588873.UL.NBM                      | 342588873.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        75 | PA      | $75.85        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10049911.SQ.NBM                       | 10049911.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7732 | PA      | $7086.27      | 0.01%             | 2027-05-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10050024.SQ.NBM                       | 10050024.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11718 | PA      | $11088.45     | 0.02%             | 2027-05-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341955549.UL.NBM                      | 341955549.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       485 | PA      | $480.69       | 0.00%             | 2026-02-22      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341955595.UL.NBM                      | 341955595.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       279 | PA      | $276.68       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9919667.SQ.NBM                        | 9919667.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     69764 | PA      | $63447.32     | 0.09%             | 2027-04-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9921213.SQ.NBM                        | 9921213.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6077 | PA      | $5650.64      | 0.01%             | 2027-04-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341587819.UL.NBM                      | 341587819.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2758 | PA      | $2724.73      | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341587897.UL.NBM                      | 341587897.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2945 | PA      | $2897.16      | 0.00%             | 2027-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342589108.UL.NBM                      | 342589108.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        55 | PA      | $54.50        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342590402.UL.NBM                      | 342590402.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       225 | PA      | $224.36       | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341379660.UL.NBM                      | 341379660.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       341 | PA      | $338.96       | 0.00%             | 2026-02-19      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341379672.UL.NBM                      | 341379672.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1114 | PA      | $1034.31      | 0.00%             | 2026-07-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342192762.UL.NBM                      | 342192762.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       123 | PA      | $122.48       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342192898.UL.NBM                      | 342192898.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1689 | PA      | $1669.29      | 0.00%             | 2026-07-22      | Fixed         | 25.99%                | Yes           |                  3 | On Loan: No      |
| 9975530.SQ.NBM                        | 9975530.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     43876 | PA      | $41538.13     | 0.06%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9976099.SQ.NBM                        | 9976099.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     46660 | PA      | $44175.58     | 0.06%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341601483.UL.NBM                      | 341601483.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       366 | PA      | $361.99       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341601525.UL.NBM                      | 341601525.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        91 | PA      | $90.60        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10252637.SQ.NBM                       | 10252637.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4500 | PA      | $4116.29      | 0.01%             | 2027-06-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10252801.SQ.NBM                       | 10252801.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5187 | PA      | $4855.62      | 0.01%             | 2027-06-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342590454.UL.NBM                      | 342590454.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1975 | PA      | $1942.90      | 0.00%             | 2027-08-23      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342590595.UL.NBM                      | 342590595.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1126 | PA      | $1040.49      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9976655.SQ.NBM                        | 9976655.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4160 | PA      | $3858.59      | 0.01%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9976712.SQ.NBM                        | 9976712.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1103 | PA      | $1074.99      | 0.00%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341955672.UL.NBM                      | 341955672.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        49 | PA      | $48.75        | 0.00%             | 2026-02-22      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341955809.UL.NBM                      | 341955809.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       231 | PA      | $228.83       | 0.00%             | 2026-05-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341380155.UL.NBM                      | 341380155.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       171 | PA      | $170.17       | 0.00%             | 2026-02-19      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341380432.UL.NBM                      | 341380432.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       464 | PA      | $458.79       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341601622.UL.NBM                      | 341601622.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       327 | PA      | $325.37       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341601957.UL.NBM                      | 341601957.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       874 | PA      | $588.37       | 0.00%             | 2026-05-21      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341255692.UL.NBM                      | 341255692.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       622 | PA      | $22.03        | 0.00%             | 2035-11-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341265451.UL.NBM                      | 341265451.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       288 | PA      | $284.60       | 0.00%             | 2026-07-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342194099.UL.NBM                      | 342194099.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4993 | PA      | $4913.54      | 0.01%             | 2027-08-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342194368.UL.NBM                      | 342194368.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1954 | PA      | $1931.73      | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342590851.UL.NBM                      | 342590851.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        79 | PA      | $79.28        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342591533.UL.NBM                      | 342591533.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       148 | PA      | $146.87       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10252938.SQ.NBM                       | 10252938.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |    100448 | PA      | $94031.33     | 0.13%             | 2027-06-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343497300.UL.NBM                      | 343497300.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       175 | PA      | $172.91       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341601981.UL.NBM                      | 341601981.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       914 | PA      | $918.19       | 0.00%             | 2026-07-21      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341602192.UL.NBM                      | 341602192.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       223 | PA      | $221.44       | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341956563.UL.NBM                      | 341956563.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        57 | PA      | $56.61        | 0.00%             | 2026-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341956595.UL.NBM                      | 341956595.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       358 | PA      | $355.04       | 0.00%             | 2026-05-22      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 9978421.SQ.NBM                        | 9978421.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7094 | PA      | $6725.95      | 0.01%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9978525.SQ.NBM                        | 9978525.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1788 | PA      | $1590.17      | 0.00%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342194414.UL.NBM                      | 342194414.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        36 | PA      | $36.12        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342195219.UL.NBM                      | 342195219.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       476 | PA      | $471.55       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9963572.SQ.NBM                        | 9963572.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6088 | PA      | $5746.23      | 0.01%             | 2027-04-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9963633.SQ.NBM                        | 9963633.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3755 | PA      | $3542.20      | 0.00%             | 2027-04-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343502079.UL.NBM                      | 343502079.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       782 | PA      | $770.36       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343502413.UL.NBM                      | 343502413.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       259 | PA      | $256.34       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341602265.UL.NBM                      | 341602265.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6802 | PA      | $6750.99      | 0.01%             | 2026-08-21      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341602361.UL.NBM                      | 341602361.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       412 | PA      | $407.81       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341956718.UL.NBM                      | 341956718.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       147 | PA      | $146.55       | 0.00%             | 2026-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341956772.UL.NBM                      | 341956772.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       382 | PA      | $365.89       | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342591555.UL.NBM                      | 342591555.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        90 | PA      | $89.37        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342591728.UL.NBM                      | 342591728.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       189 | PA      | $187.40       | 0.00%             | 2026-05-23      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342196262.UL.NBM                      | 342196262.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       520 | PA      | $517.39       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342196307.UL.NBM                      | 342196307.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        58 | PA      | $58.00        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343502913.UL.NBM                      | 343502913.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        98 | PA      | $98.35        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343502943.UL.NBM                      | 343502943.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        63 | PA      | $62.67        | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341602588.UL.NBM                      | 341602588.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        98 | PA      | $97.10        | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341602992.UL.NBM                      | 341602992.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1129 | PA      | $1048.52      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10050204.SQ.NBM                       | 10050204.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6742 | PA      | $6365.69      | 0.01%             | 2027-05-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10053653.SQ.NBM                       | 10053653.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2576 | PA      | $2395.96      | 0.00%             | 2027-05-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341957044.UL.NBM                      | 341957044.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       458 | PA      | $453.29       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341957265.UL.NBM                      | 341957265.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       269 | PA      | $266.27       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342892753.UL.NBM                      | 342892753.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        68 | PA      | $67.58        | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342892771.UL.NBM                      | 342892771.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1720 | PA      | $1694.28      | 0.00%             | 2027-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343503015.UL.NBM                      | 343503015.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1271 | PA      | $1274.98      | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343503073.UL.NBM                      | 343503073.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       608 | PA      | $602.92       | 0.00%             | 2026-05-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341603059.UL.NBM                      | 341603059.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       161 | PA      | $159.75       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341603103.UL.NBM                      | 341603103.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |         5 | PA      | $5.44         | 0.00%             | 2035-11-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343279947.UL.NBM                      | 343279947.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2729 | PA      | $2557.41      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343280246.UL.NBM                      | 343280246.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1581 | PA      | $1557.29      | 0.00%             | 2027-02-26      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341957267.UL.NBM                      | 341957267.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        32 | PA      | $31.76        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341957319.UL.NBM                      | 341957319.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        34 | PA      | $34.03        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342893227.UL.NBM                      | 342893227.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1318 | PA      | $1213.70      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342894379.UL.NBM                      | 342894379.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1017 | PA      | $943.17       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343503241.UL.NBM                      | 343503241.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       208 | PA      | $207.29       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343503536.UL.NBM                      | 343503536.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        46 | PA      | $45.33        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341603611.UL.NBM                      | 341603611.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3315 | PA      | $3261.06      | 0.00%             | 2027-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341604068.UL.NBM                      | 341604068.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       191 | PA      | $189.25       | 0.00%             | 2026-05-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342813593.UL.NBM                      | 342813593.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       518 | PA      | $478.93       | 0.00%             | 2026-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342813677.UL.NBM                      | 342813677.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1088 | PA      | $1079.42      | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10053752.SQ.NBM                       | 10053752.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5250 | PA      | $4963.36      | 0.01%             | 2027-05-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10088879.SQ.NBM                       | 10088879.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       658 | PA      | $631.64       | 0.00%             | 2027-05-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342928507.UL.NBM                      | 342928507.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       460 | PA      | $456.28       | 0.00%             | 2026-05-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342928519.UL.NBM                      | 342928519.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        11 | PA      | $11.27        | 0.00%             | 2035-11-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343503543.UL.NBM                      | 343503543.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       114 | PA      | $113.81       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343503674.UL.NBM                      | 343503674.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2796 | PA      | $2770.07      | 0.00%             | 2027-02-26      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341604843.UL.NBM                      | 341604843.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       219 | PA      | $217.16       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341604871.UL.NBM                      | 341604871.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       618 | PA      | $612.11       | 0.00%             | 2026-05-21      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 10088957.SQ.NBM                       | 10088957.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4475 | PA      | $4215.51      | 0.01%             | 2027-05-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10097362.SQ.NBM                       | 10097362.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3314 | PA      | $3084.62      | 0.00%             | 2027-05-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10070945.SQ.NBM                       | 10070945.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1904 | PA      | $1790.38      | 0.00%             | 2027-05-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10070962.SQ.NBM                       | 10070962.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4692 | PA      | $4305.15      | 0.01%             | 2027-05-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342196359.UL.NBM                      | 342196359.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1768 | PA      | $1655.84      | 0.00%             | 2026-05-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342196982.UL.NBM                      | 342196982.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       157 | PA      | $151.26       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343503772.UL.NBM                      | 343503772.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        46 | PA      | $45.71        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343504566.UL.NBM                      | 343504566.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       829 | PA      | $825.70       | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341604999.UL.NBM                      | 341604999.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        21 | PA      | $21.34        | 0.00%             | 2026-02-21      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341605501.UL.NBM                      | 341605501.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        58 | PA      | $57.90        | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342928662.UL.NBM                      | 342928662.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4049 | PA      | $3984.07      | 0.01%             | 2027-08-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342928687.UL.NBM                      | 342928687.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       558 | PA      | $130.25       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341957618.UL.NBM                      | 341957618.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       902 | PA      | $831.33       | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341957681.UL.NBM                      | 341957681.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1723 | PA      | $1606.54      | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9978556.SQ.NBM                        | 9978556.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     24403 | PA      | $22231.42     | 0.03%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9978855.SQ.NBM                        | 9978855.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1138 | PA      | $1075.81      | 0.00%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10097575.SQ.NBM                       | 10097575.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12192 | PA      | $11730.01     | 0.02%             | 2027-05-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10098258.SQ.NBM                       | 10098258.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14595 | PA      | $13301.07     | 0.02%             | 2027-05-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341605882.UL.NBM                      | 341605882.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       580 | PA      | $578.80       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341606093.UL.NBM                      | 341606093.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       150 | PA      | $149.28       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342931137.UL.NBM                      | 342931137.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       883 | PA      | $872.83       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342931201.UL.NBM                      | 342931201.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       216 | PA      | $213.81       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342197035.UL.NBM                      | 342197035.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       238 | PA      | $236.61       | 0.00%             | 2026-05-28      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342197065.UL.NBM                      | 342197065.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       535 | PA      | $529.92       | 0.00%             | 2026-05-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341957824.UL.NBM                      | 341957824.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        34 | PA      | $34.00        | 0.00%             | 2026-02-22      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341958369.UL.NBM                      | 341958369.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       490 | PA      | $484.22       | 0.00%             | 2026-07-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 10122321.SQ.NBM                       | 10122321.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9239 | PA      | $8760.27      | 0.01%             | 2027-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10122487.SQ.NBM                       | 10122487.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1781 | PA      | $1668.29      | 0.00%             | 2027-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341606659.UL.NBM                      | 341606659.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       133 | PA      | $132.02       | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341606801.UL.NBM                      | 341606801.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        85 | PA      | $4.82         | 0.00%             | 2035-11-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10099062.SQ.NBM                       | 10099062.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     51510 | PA      | $48605.98     | 0.07%             | 2027-05-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10100731.SQ.NBM                       | 10100731.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4092 | PA      | $3864.74      | 0.01%             | 2027-05-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9981776.SQ.NBM                        | 9981776.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10310 | PA      | $9681.03      | 0.01%             | 2027-04-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9981847.SQ.NBM                        | 9981847.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2297 | PA      | $1953.02      | 0.00%             | 2027-04-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341958391.UL.NBM                      | 341958391.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       224 | PA      | $221.24       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341958434.UL.NBM                      | 341958434.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       255 | PA      | $88.03        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342197219.UL.NBM                      | 342197219.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       188 | PA      | $187.17       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342197231.UL.NBM                      | 342197231.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        89 | PA      | $10.67        | 0.00%             | 2035-11-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342931219.UL.NBM                      | 342931219.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1606 | PA      | $1583.39      | 0.00%             | 2027-02-25      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 342931223.UL.NBM                      | 342931223.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3025 | PA      | $2993.65      | 0.00%             | 2026-07-25      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341608353.UL.NBM                      | 341608353.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       712 | PA      | $711.13       | 0.00%             | 2026-02-21      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341615373.UL.NBM                      | 341615373.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       187 | PA      | $185.29       | 0.00%             | 2026-05-21      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 9981863.SQ.NBM                        | 9981863.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3475 | PA      | $3208.35      | 0.00%             | 2027-04-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9981907.SQ.NBM                        | 9981907.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2516 | PA      | $2391.07      | 0.00%             | 2027-04-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341958605.UL.NBM                      | 341958605.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        85 | PA      | $85.01        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341958621.UL.NBM                      | 341958621.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1998 | PA      | $326.09       | 0.00%             | 2026-02-22      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 10100808.SQ.NBM                       | 10100808.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5136 | PA      | $4793.20      | 0.01%             | 2027-05-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10100958.SQ.NBM                       | 10100958.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2580 | PA      | $2262.42      | 0.00%             | 2027-05-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342936950.UL.NBM                      | 342936950.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       146 | PA      | $145.27       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342937027.UL.NBM                      | 342937027.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       342 | PA      | $339.00       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341617769.UL.NBM                      | 341617769.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        33 | PA      | $32.68        | 0.00%             | 2026-02-21      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341621364.UL.NBM                      | 341621364.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       241 | PA      | $238.60       | 0.00%             | 2026-05-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342197677.UL.NBM                      | 342197677.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       209 | PA      | $210.03       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342197718.UL.NBM                      | 342197718.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        93 | PA      | $92.95        | 0.00%             | 2026-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341958657.UL.NBM                      | 341958657.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       296 | PA      | $293.03       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341958689.UL.NBM                      | 341958689.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        52 | PA      | $51.26        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5867942.UP.NBM                     | CBM5867942.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1939 | PA      | $1957.10      | 0.00%             | 2030-08-25      | Fixed         | 29.62%                | Yes           |                  3 | On Loan: No      |
| CBM5872416.UP.NBM                     | CBM5872416.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4465 | PA      | $4603.68      | 0.01%             | 2030-08-26      | Fixed         | 31.00%                | Yes           |                  3 | On Loan: No      |
| 342937062.UL.NBM                      | 342937062.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       599 | PA      | $591.69       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342937139.UL.NBM                      | 342937139.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        97 | PA      | $97.01        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341621972.UL.NBM                      | 341621972.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2548 | PA      | $2506.49      | 0.00%             | 2027-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341628697.UL.NBM                      | 341628697.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        92 | PA      | $91.67        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342198079.UL.NBM                      | 342198079.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       695 | PA      | $686.94       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342198267.UL.NBM                      | 342198267.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1400 | PA      | $1377.07      | 0.00%             | 2027-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341958752.UL.NBM                      | 341958752.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        91 | PA      | $90.95        | 0.00%             | 2026-02-22      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341958770.UL.NBM                      | 341958770.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        99 | PA      | $98.04        | 0.00%             | 2026-02-22      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| CBM5872657.UP.NBM                     | CBM5872657.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1550 | PA      | $1545.47      | 0.00%             | 2030-08-26      | Fixed         | 28.78%                | Yes           |                  3 | On Loan: No      |
| CBM5872691.UP.NBM                     | CBM5872691.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2592 | PA      | $2479.69      | 0.00%             | 2030-08-26      | Fixed         | 20.08%                | Yes           |                  3 | On Loan: No      |
| 10101048.SQ.NBM                       | 10101048.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5281 | PA      | $5023.00      | 0.01%             | 2027-05-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10101215.SQ.NBM                       | 10101215.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     26886 | PA      | $25238.21     | 0.03%             | 2027-05-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341632660.UL.NBM                      | 341632660.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       262 | PA      | $260.31       | 0.00%             | 2026-05-31      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341635301.UL.NBM                      | 341635301.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       145 | PA      | $144.41       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342198430.UL.NBM                      | 342198430.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       154 | PA      | $154.02       | 0.00%             | 2026-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342198761.UL.NBM                      | 342198761.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       286 | PA      | $284.16       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5872717.UP.NBM                     | CBM5872717.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3189 | PA      | $3126.79      | 0.00%             | 2028-08-26      | Fixed         | 28.28%                | Yes           |                  3 | On Loan: No      |
| CBM5873139.UP.NBM                     | CBM5873139.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2809 | PA      | $2792.47      | 0.00%             | 2030-08-26      | Fixed         | 28.59%                | Yes           |                  3 | On Loan: No      |
| 341958829.UL.NBM                      | 341958829.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       440 | PA      | $436.98       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341958882.UL.NBM                      | 341958882.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       349 | PA      | $346.67       | 0.00%             | 2026-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343504789.UL.NBM                      | 343504789.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2013 | PA      | $1984.60      | 0.00%             | 2027-02-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343504801.UL.NBM                      | 343504801.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       438 | PA      | $435.49       | 0.00%             | 2026-05-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341636032.UL.NBM                      | 341636032.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       128 | PA      | $127.54       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341639249.UL.NBM                      | 341639249.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        99 | PA      | $98.62        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10101844.SQ.NBM                       | 10101844.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1745 | PA      | $1442.06      | 0.00%             | 2027-05-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10107378.SQ.NBM                       | 10107378.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3651 | PA      | $3329.31      | 0.00%             | 2027-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| CBM5873297.UP.NBM                     | CBM5873297.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2262 | PA      | $2180.59      | 0.00%             | 2031-01-26      | Fixed         | 26.26%                | Yes           |                  3 | On Loan: No      |
| CBM5873321.UP.NBM                     | CBM5873321.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5120 | PA      | $5095.34      | 0.01%             | 2030-08-26      | Fixed         | 28.78%                | Yes           |                  3 | On Loan: No      |
| 341959343.UL.NBM                      | 341959343.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       312 | PA      | $133.52       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341959478.UL.NBM                      | 341959478.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       310 | PA      | $293.89       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342198844.UL.NBM                      | 342198844.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       520 | PA      | $265.36       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342257623.UL.NBM                      | 342257623.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1145 | PA      | $1058.37      | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341664639.UL.NBM                      | 341664639.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        32 | PA      | $31.59        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341664680.UL.NBM                      | 341664680.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        41 | PA      | $40.54        | 0.00%             | 2026-02-21      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342939195.UL.NBM                      | 342939195.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       132 | PA      | $131.28       | 0.00%             | 2026-02-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342939484.UL.NBM                      | 342939484.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2064 | PA      | $2032.86      | 0.00%             | 2027-02-25      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 10107557.SQ.NBM                       | 10107557.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     72726 | PA      | $68337.41     | 0.09%             | 2027-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10107935.SQ.NBM                       | 10107935.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     41820 | PA      | $39574.60     | 0.05%             | 2027-05-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| CBM5873324.UP.NBM                     | CBM5873324.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2505 | PA      | $2474.43      | 0.00%             | 2028-08-26      | Fixed         | 29.82%                | Yes           |                  3 | On Loan: No      |
| CBM5873354.UP.NBM                     | CBM5873354.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3160 | PA      | $3122.07      | 0.00%             | 2030-09-07      | Fixed         | 28.37%                | Yes           |                  3 | On Loan: No      |
| 342257964.UL.NBM                      | 342257964.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        76 | PA      | $75.09        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342259419.UL.NBM                      | 342259419.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1964 | PA      | $1967.58      | 0.00%             | 2027-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341665065.UL.NBM                      | 341665065.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       793 | PA      | $783.98       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341717612.UL.NBM                      | 341717612.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        63 | PA      | $62.61        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342939585.UL.NBM                      | 342939585.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       170 | PA      | $169.07       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342939760.UL.NBM                      | 342939760.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       264 | PA      | $261.90       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343280518.UL.NBM                      | 343280518.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       221 | PA      | $219.28       | 0.00%             | 2026-05-26      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 343285580.UL.NBM                      | 343285580.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       150 | PA      | $149.47       | 0.00%             | 2026-02-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| CBM5873398.UP.NBM                     | CBM5873398.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1554 | PA      | $1617.81      | 0.00%             | 2030-08-26      | Fixed         | 31.65%                | Yes           |                  3 | On Loan: No      |
| CBM5873518.UP.NBM                     | CBM5873518.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2054 | PA      | $2103.30      | 0.00%             | 2031-01-26      | Fixed         | 30.28%                | Yes           |                  3 | On Loan: No      |
| 10108671.SQ.NBM                       | 10108671.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6105 | PA      | $5505.73      | 0.01%             | 2027-05-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10169724.SQ.NBM                       | 10169724.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15891 | PA      | $14914.16     | 0.02%             | 2027-06-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341721583.UL.NBM                      | 341721583.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       114 | PA      | $112.89       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341721654.UL.NBM                      | 341721654.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3521 | PA      | $3496.90      | 0.00%             | 2026-07-21      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342875180.UL.NBM                      | 342875180.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       522 | PA      | $519.37       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342875443.UL.NBM                      | 342875443.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1699 | PA      | $1671.16      | 0.00%             | 2027-08-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342976080.UL.NBM                      | 342976080.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3744 | PA      | $3485.40      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342976142.UL.NBM                      | 342976142.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       841 | PA      | $833.51       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341592958.UL.NBM                      | 341592958.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        59 | PA      | $58.39        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341593246.UL.NBM                      | 341593246.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        92 | PA      | $18.41        | 0.00%             | 2035-11-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341959518.UL.NBM                      | 341959518.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       324 | PA      | $323.61       | 0.00%             | 2026-02-22      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341959526.UL.NBM                      | 341959526.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1013 | PA      | $945.32       | 0.00%             | 2026-05-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342401447.UL.NBM                      | 342401447.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        29 | PA      | $29.26        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342402326.UL.NBM                      | 342402326.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        86 | PA      | $85.66        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342976300.UL.NBM                      | 342976300.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       875 | PA      | $821.09       | 0.00%             | 2026-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342976549.UL.NBM                      | 342976549.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       298 | PA      | $296.36       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343286074.UL.NBM                      | 343286074.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       959 | PA      | $948.98       | 0.00%             | 2026-07-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343286745.UL.NBM                      | 343286745.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       467 | PA      | $462.90       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342875671.UL.NBM                      | 342875671.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1676 | PA      | $554.78       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342875825.UL.NBM                      | 342875825.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       804 | PA      | $748.39       | 0.00%             | 2026-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341959627.UL.NBM                      | 341959627.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       252 | PA      | $251.01       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341959675.UL.NBM                      | 341959675.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2263 | PA      | $2236.75      | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342260047.UL.NBM                      | 342260047.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       232 | PA      | $229.36       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342261128.UL.NBM                      | 342261128.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       262 | PA      | $260.41       | 0.00%             | 2026-02-22      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341194698.UL.NBM                      | 341194698.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       921 | PA      | $909.71       | 0.00%             | 2026-07-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341195792.UL.NBM                      | 341195792.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       142 | PA      | $141.23       | 0.00%             | 2026-02-19      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858858.UP.NBM                     | DRB5858858.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1938 | PA      | $1946.96      | 0.00%             | 2030-08-22      | Fixed         | 29.39%                | Yes           |                  3 | On Loan: No      |
| DRB5858871.UP.NBM                     | DRB5858871.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     26078 | PA      | $24845.05     | 0.03%             | 2030-08-22      | Fixed         | 25.93%                | Yes           |                  3 | On Loan: No      |
| 341959767.UL.NBM                      | 341959767.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        45 | PA      | $44.26        | 0.00%             | 2026-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341959863.UL.NBM                      | 341959863.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        87 | PA      | $86.58        | 0.00%             | 2026-02-22      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342983199.UL.NBM                      | 342983199.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       241 | PA      | $243.15       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342983371.UL.NBM                      | 342983371.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        95 | PA      | $94.54        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342402635.UL.NBM                      | 342402635.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       512 | PA      | $507.37       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342536105.UL.NBM                      | 342536105.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1298 | PA      | $1283.47      | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341963268.UL.NBM                      | 341963268.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        80 | PA      | $79.25        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341963271.UL.NBM                      | 341963271.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       274 | PA      | $273.57       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341441505.UL.NBM                      | 341441505.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       566 | PA      | $533.97       | 0.00%             | 2026-05-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341447089.UL.NBM                      | 341447089.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        97 | PA      | $96.80        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341960806.UL.NBM                      | 341960806.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       142 | PA      | $141.27       | 0.00%             | 2026-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341960910.UL.NBM                      | 341960910.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       268 | PA      | $267.12       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342814292.UL.NBM                      | 342814292.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       218 | PA      | $216.82       | 0.00%             | 2026-02-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342814515.UL.NBM                      | 342814515.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       204 | PA      | $201.60       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342567101.UL.NBM                      | 342567101.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       385 | PA      | $386.53       | 0.00%             | 2026-05-23      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342577530.UL.NBM                      | 342577530.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        72 | PA      | $71.71        | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342536429.UL.NBM                      | 342536429.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       102 | PA      | $101.23       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342537967.UL.NBM                      | 342537967.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5169 | PA      | $5114.40      | 0.01%             | 2027-08-23      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 10072015.SQ.NBM                       | 10072015.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6314 | PA      | $5976.28      | 0.01%             | 2027-05-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10072199.SQ.NBM                       | 10072199.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1148 | PA      | $1122.87      | 0.00%             | 2027-05-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342983424.UL.NBM                      | 342983424.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1278 | PA      | $1258.84      | 0.00%             | 2027-08-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342983501.UL.NBM                      | 342983501.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2756 | PA      | $2711.03      | 0.00%             | 2027-08-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341961089.UL.NBM                      | 341961089.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        59 | PA      | $58.31        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341961122.UL.NBM                      | 341961122.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        60 | PA      | $59.81        | 0.00%             | 2026-02-22      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342876385.UL.NBM                      | 342876385.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       102 | PA      | $101.83       | 0.00%             | 2026-02-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342877434.UL.NBM                      | 342877434.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       493 | PA      | $470.31       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10071227.SQ.NBM                       | 10071227.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     24077 | PA      | $22671.40     | 0.03%             | 2027-05-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10071752.SQ.NBM                       | 10071752.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7508 | PA      | $7041.93      | 0.01%             | 2027-05-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342538134.UL.NBM                      | 342538134.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       310 | PA      | $307.14       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342545113.UL.NBM                      | 342545113.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       205 | PA      | $203.23       | 0.00%             | 2026-05-23      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341195980.UL.NBM                      | 341195980.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       540 | PA      | $534.82       | 0.00%             | 2026-05-19      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341196121.UL.NBM                      | 341196121.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       336 | PA      | $59.45        | 0.00%             | 2035-11-18      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341973829.UL.NBM                      | 341973829.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       464 | PA      | $459.95       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341974081.UL.NBM                      | 341974081.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       440 | PA      | $436.26       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342814521.UL.NBM                      | 342814521.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        60 | PA      | $59.28        | 0.00%             | 2026-02-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342814672.UL.NBM                      | 342814672.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2212 | PA      | $2184.15      | 0.00%             | 2026-08-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342878349.UL.NBM                      | 342878349.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       688 | PA      | $681.55       | 0.00%             | 2026-05-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342888770.UL.NBM                      | 342888770.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       555 | PA      | $550.05       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341447162.UL.NBM                      | 341447162.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       122 | PA      | $121.63       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341447342.UL.NBM                      | 341447342.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       215 | PA      | $203.23       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341974167.UL.NBM                      | 341974167.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       608 | PA      | $253.66       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341974175.UL.NBM                      | 341974175.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       205 | PA      | $203.67       | 0.00%             | 2026-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342545281.UL.NBM                      | 342545281.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       120 | PA      | $45.67        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342545992.UL.NBM                      | 342545992.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        34 | PA      | $34.23        | 0.00%             | 2026-02-23      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341310778.UL.NBM                      | 341310778.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        57 | PA      | $56.67        | 0.00%             | 2026-02-19      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341310836.UL.NBM                      | 341310836.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       100 | PA      | $99.37        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342814982.UL.NBM                      | 342814982.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       658 | PA      | $633.58       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342815001.UL.NBM                      | 342815001.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       601 | PA      | $596.13       | 0.00%             | 2026-05-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341447443.UL.NBM                      | 341447443.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       723 | PA      | $691.91       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341463618.UL.NBM                      | 341463618.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        54 | PA      | $53.40        | 0.00%             | 2026-02-20      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341974800.UL.NBM                      | 341974800.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       104 | PA      | $103.54       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341974811.UL.NBM                      | 341974811.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       209 | PA      | $197.54       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9874980.SQ.NBM                        | 9874980.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5219 | PA      | $4955.94      | 0.01%             | 2027-04-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9875505.SQ.NBM                        | 9875505.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16496 | PA      | $15548.79     | 0.02%             | 2027-04-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342546300.UL.NBM                      | 342546300.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       648 | PA      | $644.65       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342592179.UL.NBM                      | 342592179.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1730 | PA      | $1706.37      | 0.00%             | 2027-02-23      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 342889092.UL.NBM                      | 342889092.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       479 | PA      | $456.55       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342889105.UL.NBM                      | 342889105.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        77 | PA      | $76.50        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341197085.UL.NBM                      | 341197085.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       246 | PA      | $244.67       | 0.00%             | 2026-02-18      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341197525.UL.NBM                      | 341197525.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       225 | PA      | $222.86       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341464648.UL.NBM                      | 341464648.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       294 | PA      | $290.99       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341464788.UL.NBM                      | 341464788.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        73 | PA      | $73.01        | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342815420.UL.NBM                      | 342815420.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       212 | PA      | $209.85       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342815521.UL.NBM                      | 342815521.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4409 | PA      | $4346.98      | 0.01%             | 2027-02-24      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 342592317.UL.NBM                      | 342592317.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2883 | PA      | $2847.67      | 0.00%             | 2027-02-23      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 342592406.UL.NBM                      | 342592406.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       449 | PA      | $426.41       | 0.00%             | 2026-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343307203.UL.NBM                      | 343307203.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       101 | PA      | $100.60       | 0.00%             | 2026-02-26      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343307344.UL.NBM                      | 343307344.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       488 | PA      | $483.42       | 0.00%             | 2026-05-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342889875.UL.NBM                      | 342889875.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        69 | PA      | $68.79        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342906433.UL.NBM                      | 342906433.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3072 | PA      | $3021.62      | 0.00%             | 2027-08-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858880.UP.NBM                     | DRB5858880.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7157 | PA      | $7277.89      | 0.01%             | 2030-08-22      | Fixed         | 30.52%                | Yes           |                  3 | On Loan: No      |
| DRB5858952.UP.NBM                     | DRB5858952.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       975 | PA      | $978.99       | 0.00%             | 2030-08-22      | Fixed         | 29.87%                | Yes           |                  3 | On Loan: No      |
| 341465068.UL.NBM                      | 341465068.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       272 | PA      | $270.51       | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341465437.UL.NBM                      | 341465437.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.68        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342593105.UL.NBM                      | 342593105.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       170 | PA      | $169.30       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342600798.UL.NBM                      | 342600798.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       223 | PA      | $221.36       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341974841.UL.NBM                      | 341974841.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        71 | PA      | $70.39        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341974948.UL.NBM                      | 341974948.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        78 | PA      | $77.23        | 0.00%             | 2026-02-22      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341198390.UL.NBM                      | 341198390.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       137 | PA      | $135.91       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341198433.UL.NBM                      | 341198433.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       145 | PA      | $139.54       | 0.00%             | 2026-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341311005.UL.NBM                      | 341311005.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2265 | PA      | $2244.45      | 0.00%             | 2026-05-19      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341311115.UL.NBM                      | 341311115.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       863 | PA      | $852.65       | 0.00%             | 2026-07-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341465652.UL.NBM                      | 341465652.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       789 | PA      | $794.43       | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341465717.UL.NBM                      | 341465717.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5697 | PA      | $5617.17      | 0.01%             | 2027-02-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341974958.UL.NBM                      | 341974958.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        15 | PA      | $15.34        | 0.00%             | 2026-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341975134.UL.NBM                      | 341975134.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       484 | PA      | $480.90       | 0.00%             | 2026-02-22      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342815793.UL.NBM                      | 342815793.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       299 | PA      | $297.44       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342816182.UL.NBM                      | 342816182.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       559 | PA      | $519.51       | 0.00%             | 2026-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5858953.UP.NBM                     | DRB5858953.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1949 | PA      | $1926.20      | 0.00%             | 2030-08-25      | Fixed         | 24.66%                | Yes           |                  3 | On Loan: No      |
| DRB5858955.UP.NBM                     | DRB5858955.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4432 | PA      | $979.75       | 0.00%             | 2030-08-22      | Fixed         | 28.92%                | Yes           |                  3 | On Loan: No      |
| 342600954.UL.NBM                      | 342600954.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       249 | PA      | $247.98       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342601252.UL.NBM                      | 342601252.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       302 | PA      | $293.02       | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341465757.UL.NBM                      | 341465757.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1502 | PA      | $1479.47      | 0.00%             | 2027-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341466460.UL.NBM                      | 341466460.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       146 | PA      | $144.46       | 0.00%             | 2026-05-20      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341975172.UL.NBM                      | 341975172.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1885 | PA      | $1855.32      | 0.00%             | 2027-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341975433.UL.NBM                      | 341975433.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        88 | PA      | $87.30        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342816312.UL.NBM                      | 342816312.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4167 | PA      | $3818.53      | 0.01%             | 2027-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342816544.UL.NBM                      | 342816544.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       220 | PA      | $218.50       | 0.00%             | 2026-05-24      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342906490.UL.NBM                      | 342906490.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       223 | PA      | $221.01       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342906779.UL.NBM                      | 342906779.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       143 | PA      | $142.32       | 0.00%             | 2026-02-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341595401.UL.NBM                      | 341595401.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        50 | PA      | $50.12        | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341596456.UL.NBM                      | 341596456.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2600 | PA      | $2430.03      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342601924.UL.NBM                      | 342601924.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1582 | PA      | $1572.28      | 0.00%             | 2026-07-23      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342647605.UL.NBM                      | 342647605.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        44 | PA      | $44.01        | 0.00%             | 2026-02-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341466549.UL.NBM                      | 341466549.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       266 | PA      | $252.31       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341466694.UL.NBM                      | 341466694.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1240 | PA      | $1189.44      | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341975521.UL.NBM                      | 341975521.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       100 | PA      | $96.16        | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341975631.UL.NBM                      | 341975631.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        74 | PA      | $74.07        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342816992.UL.NBM                      | 342816992.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4025 | PA      | $3779.95      | 0.01%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342817434.UL.NBM                      | 342817434.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       470 | PA      | $465.16       | 0.00%             | 2026-05-24      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 10076780.SQ.NBM                       | 10076780.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     24543 | PA      | $22820.85     | 0.03%             | 2027-05-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10194913.SQ.NBM                       | 10194913.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3995 | PA      | $3722.76      | 0.01%             | 2027-06-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343392223.UL.NBM                      | 343392223.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5365 | PA      | $5283.20      | 0.01%             | 2027-08-26      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343392564.UL.NBM                      | 343392564.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1173 | PA      | $1161.32      | 0.00%             | 2026-07-26      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 342907786.UL.NBM                      | 342907786.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       856 | PA      | $846.26       | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342908043.UL.NBM                      | 342908043.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       562 | PA      | $86.64        | 0.00%             | 2035-11-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9875811.SQ.NBM                        | 9875811.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1176 | PA      | $1105.95      | 0.00%             | 2027-04-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9875834.SQ.NBM                        | 9875834.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4674 | PA      | $4446.42      | 0.01%             | 2027-04-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341975931.UL.NBM                      | 341975931.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       704 | PA      | $645.85       | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341975992.UL.NBM                      | 341975992.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       446 | PA      | $441.23       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342817564.UL.NBM                      | 342817564.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       222 | PA      | $220.18       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342817711.UL.NBM                      | 342817711.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       430 | PA      | $431.97       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341466698.UL.NBM                      | 341466698.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       188 | PA      | $185.70       | 0.00%             | 2026-05-20      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341466928.UL.NBM                      | 341466928.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       506 | PA      | $500.80       | 0.00%             | 2026-05-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858966.UP.NBM                     | DRB5858966.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7657 | PA      | $7694.14      | 0.01%             | 2030-08-22      | Fixed         | 29.42%                | Yes           |                  3 | On Loan: No      |
| DRB5858983.UP.NBM                     | DRB5858983.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2574 | PA      | $2544.34      | 0.00%             | 2028-08-22      | Fixed         | 30.40%                | Yes           |                  3 | On Loan: No      |
| 341201073.UL.NBM                      | 341201073.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       582 | PA      | $580.28       | 0.00%             | 2026-02-19      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341366393.UL.NBM                      | 341366393.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       954 | PA      | $947.83       | 0.00%             | 2026-02-19      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341976024.UL.NBM                      | 341976024.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        43 | PA      | $42.47        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341976029.UL.NBM                      | 341976029.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        29 | PA      | $28.74        | 0.00%             | 2026-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342647617.UL.NBM                      | 342647617.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1752 | PA      | $1732.15      | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342648732.UL.NBM                      | 342648732.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       310 | PA      | $306.70       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342818380.UL.NBM                      | 342818380.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       212 | PA      | $211.25       | 0.00%             | 2026-02-24      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342818880.UL.NBM                      | 342818880.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       126 | PA      | $43.20        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9875895.SQ.NBM                        | 9875895.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     23248 | PA      | $21125.90     | 0.03%             | 2027-04-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9876176.SQ.NBM                        | 9876176.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4544 | PA      | $4323.93      | 0.01%             | 2027-04-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341976191.UL.NBM                      | 341976191.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       248 | PA      | $235.31       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341976205.UL.NBM                      | 341976205.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       786 | PA      | $776.02       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10207508.SQ.NBM                       | 10207508.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10008 | PA      | $9255.04      | 0.01%             | 2027-06-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10207812.SQ.NBM                       | 10207812.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11602 | PA      | $10752.15     | 0.01%             | 2027-06-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341467117.UL.NBM                      | 341467117.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1255 | PA      | $1166.91      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341467154.UL.NBM                      | 341467154.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       630 | PA      | $634.30       | 0.00%             | 2026-05-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341311129.UL.NBM                      | 341311129.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       185 | PA      | $183.66       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341311749.UL.NBM                      | 341311749.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       213 | PA      | $210.48       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858986.UP.NBM                     | DRB5858986.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1066 | PA      | $1071.03      | 0.00%             | 2030-08-22      | Fixed         | 29.40%                | Yes           |                  3 | On Loan: No      |
| DRB5858993.UP.NBM                     | DRB5858993.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3003 | PA      | $2986.99      | 0.00%             | 2030-08-22      | Fixed         | 28.75%                | Yes           |                  3 | On Loan: No      |
| 342819244.UL.NBM                      | 342819244.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       481 | PA      | $458.78       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342820281.UL.NBM                      | 342820281.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       273 | PA      | $270.52       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341976347.UL.NBM                      | 341976347.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       147 | PA      | $145.16       | 0.00%             | 2026-07-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341976358.UL.NBM                      | 341976358.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.25        | 0.00%             | 2026-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343441363.UL.NBM                      | 343441363.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       444 | PA      | $414.95       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343441425.UL.NBM                      | 343441425.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       278 | PA      | $276.84       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342648823.UL.NBM                      | 342648823.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       193 | PA      | $187.87       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342648975.UL.NBM                      | 342648975.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       926 | PA      | $916.32       | 0.00%             | 2026-07-24      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 341367182.UL.NBM                      | 341367182.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       135 | PA      | $134.22       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341367214.UL.NBM                      | 341367214.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1224 | PA      | $1207.13      | 0.00%             | 2027-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341467566.UL.NBM                      | 341467566.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       627 | PA      | $599.97       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341467582.UL.NBM                      | 341467582.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       619 | PA      | $574.25       | 0.00%             | 2026-05-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9876227.SQ.NBM                        | 9876227.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     57192 | PA      | $42687.55     | 0.06%             | 2027-04-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9879960.SQ.NBM                        | 9879960.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1102 | PA      | $991.93       | 0.00%             | 2027-04-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342866814.UL.NBM                      | 342866814.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       127 | PA      | $126.03       | 0.00%             | 2026-02-24      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 342866845.UL.NBM                      | 342866845.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       414 | PA      | $417.17       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342909681.UL.NBM                      | 342909681.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       170 | PA      | $168.71       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342909792.UL.NBM                      | 342909792.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       224 | PA      | $223.20       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343441588.UL.NBM                      | 343441588.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        96 | PA      | $95.87        | 0.00%             | 2026-02-26      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343442001.UL.NBM                      | 343442001.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        93 | PA      | $92.20        | 0.00%             | 2026-02-26      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341976448.UL.NBM                      | 341976448.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3088 | PA      | $3052.18      | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341976505.UL.NBM                      | 341976505.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        63 | PA      | $62.62        | 0.00%             | 2026-02-22      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342649008.UL.NBM                      | 342649008.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       164 | PA      | $163.02       | 0.00%             | 2026-02-24      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342656710.UL.NBM                      | 342656710.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       355 | PA      | $353.61       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341468677.UL.NBM                      | 341468677.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        46 | PA      | $45.57        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341468768.UL.NBM                      | 341468768.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       271 | PA      | $268.90       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342867118.UL.NBM                      | 342867118.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       133 | PA      | $132.59       | 0.00%             | 2026-02-24      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342867371.UL.NBM                      | 342867371.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2169 | PA      | $2013.96      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5858999.UP.NBM                     | DRB5858999.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2881 | PA      | $3000.55      | 0.00%             | 2030-08-22      | Fixed         | 32.12%                | Yes           |                  3 | On Loan: No      |
| DRB5859009.UP.NBM                     | DRB5859009.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3267 | PA      | $3186.64      | 0.00%             | 2028-08-22      | Fixed         | 29.04%                | Yes           |                  3 | On Loan: No      |
| 343442227.UL.NBM                      | 343442227.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       720 | PA      | $712.73       | 0.00%             | 2026-07-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343442832.UL.NBM                      | 343442832.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        43 | PA      | $42.50        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9880151.SQ.NBM                        | 9880151.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17861 | PA      | $16916.29     | 0.02%             | 2027-04-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9880534.SQ.NBM                        | 9880534.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11994 | PA      | $11392.86     | 0.02%             | 2027-04-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341976578.UL.NBM                      | 341976578.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.75        | 0.00%             | 2026-02-22      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341976581.UL.NBM                      | 341976581.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        59 | PA      | $58.93        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341469095.UL.NBM                      | 341469095.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       458 | PA      | $454.67       | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341469245.UL.NBM                      | 341469245.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       304 | PA      | $301.15       | 0.00%             | 2026-05-20      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342656725.UL.NBM                      | 342656725.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        45 | PA      | $44.94        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342656809.UL.NBM                      | 342656809.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       262 | PA      | $260.13       | 0.00%             | 2026-05-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343444213.UL.NBM                      | 343444213.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        42 | PA      | $41.48        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343445525.UL.NBM                      | 343445525.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       229 | PA      | $226.57       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341976610.UL.NBM                      | 341976610.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       209 | PA      | $206.81       | 0.00%             | 2026-05-22      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341976631.UL.NBM                      | 341976631.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       272 | PA      | $269.41       | 0.00%             | 2026-05-22      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341312068.UL.NBM                      | 341312068.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       864 | PA      | $853.87       | 0.00%             | 2026-07-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341312179.UL.NBM                      | 341312179.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       314 | PA      | $311.35       | 0.00%             | 2026-02-19      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341375709.UL.NBM                      | 341375709.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       268 | PA      | $265.82       | 0.00%             | 2026-05-19      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341375873.UL.NBM                      | 341375873.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        96 | PA      | $95.85        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341469386.UL.NBM                      | 341469386.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       308 | PA      | $304.86       | 0.00%             | 2026-05-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341469528.UL.NBM                      | 341469528.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       974 | PA      | $914.42       | 0.00%             | 2026-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343445656.UL.NBM                      | 343445656.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1444 | PA      | $1431.87      | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343446412.UL.NBM                      | 343446412.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       325 | PA      | $46.32        | 0.00%             | 2035-11-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341976703.UL.NBM                      | 341976703.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       901 | PA      | $903.80       | 0.00%             | 2026-07-22      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341976872.UL.NBM                      | 341976872.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2065 | PA      | $2034.07      | 0.00%             | 2026-12-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342910019.UL.NBM                      | 342910019.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       170 | PA      | $168.71       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342910620.UL.NBM                      | 342910620.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1115 | PA      | $1035.18      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9880954.SQ.NBM                        | 9880954.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     39998 | PA      | $34348.69     | 0.05%             | 2027-04-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9881992.SQ.NBM                        | 9881992.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11175 | PA      | $10153.37     | 0.01%             | 2027-04-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343505833.UL.NBM                      | 343505833.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       235 | PA      | $234.07       | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343506473.UL.NBM                      | 343506473.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       147 | PA      | $146.77       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341469574.UL.NBM                      | 341469574.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        40 | PA      | $39.46        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341469773.UL.NBM                      | 341469773.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       206 | PA      | $205.08       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341976954.UL.NBM                      | 341976954.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1157 | PA      | $1142.83      | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341977169.UL.NBM                      | 341977169.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       269 | PA      | $266.26       | 0.00%             | 2026-05-22      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 342656888.UL.NBM                      | 342656888.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       297 | PA      | $294.31       | 0.00%             | 2026-05-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342660613.UL.NBM                      | 342660613.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        69 | PA      | $68.48        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343446593.UL.NBM                      | 343446593.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       293 | PA      | $292.02       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343447634.UL.NBM                      | 343447634.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       140 | PA      | $134.49       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341977173.UL.NBM                      | 341977173.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       320 | PA      | $317.61       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341977623.UL.NBM                      | 341977623.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       112 | PA      | $110.90       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342879270.UL.NBM                      | 342879270.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       712 | PA      | $709.17       | 0.00%             | 2026-02-24      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 342882582.UL.NBM                      | 342882582.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1990 | PA      | $1824.12      | 0.00%             | 2027-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341469791.UL.NBM                      | 341469791.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       302 | PA      | $298.31       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341470041.UL.NBM                      | 341470041.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       100 | PA      | $96.67        | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9882173.SQ.NBM                        | 9882173.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1964 | PA      | $1861.59      | 0.00%             | 2027-04-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9882238.SQ.NBM                        | 9882238.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9095 | PA      | $8597.92      | 0.01%             | 2027-04-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341510357.UL.NBM                      | 341510357.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        94 | PA      | $93.59        | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341510425.UL.NBM                      | 341510425.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       128 | PA      | $126.92       | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343448169.UL.NBM                      | 343448169.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       243 | PA      | $230.09       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343450041.UL.NBM                      | 343450041.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       254 | PA      | $251.51       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341977636.UL.NBM                      | 341977636.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        92 | PA      | $91.65        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341977784.UL.NBM                      | 341977784.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       435 | PA      | $432.48       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341470144.UL.NBM                      | 341470144.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       288 | PA      | $285.55       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341470146.UL.NBM                      | 341470146.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       208 | PA      | $206.46       | 0.00%             | 2026-05-20      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 343451042.UL.NBM                      | 343451042.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       931 | PA      | $890.73       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343451507.UL.NBM                      | 343451507.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        83 | PA      | $83.01        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342882758.UL.NBM                      | 342882758.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       200 | PA      | $190.38       | 0.00%             | 2026-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342883329.UL.NBM                      | 342883329.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        60 | PA      | $59.27        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342660648.UL.NBM                      | 342660648.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3310 | PA      | $3262.33      | 0.00%             | 2027-08-24      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 342660724.UL.NBM                      | 342660724.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4056 | PA      | $4009.88      | 0.01%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9882375.SQ.NBM                        | 9882375.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7244 | PA      | $6581.92      | 0.01%             | 2027-04-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9882498.SQ.NBM                        | 9882498.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2733 | PA      | $2589.31      | 0.00%             | 2027-04-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343506864.UL.NBM                      | 343506864.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1050 | PA      | $1040.95      | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343506892.UL.NBM                      | 343506892.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       206 | PA      | $204.17       | 0.00%             | 2026-07-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341470354.UL.NBM                      | 341470354.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       350 | PA      | $346.14       | 0.00%             | 2026-05-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341470567.UL.NBM                      | 341470567.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       280 | PA      | $276.78       | 0.00%             | 2026-07-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343451611.UL.NBM                      | 343451611.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2377 | PA      | $2358.14      | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343451971.UL.NBM                      | 343451971.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       304 | PA      | $301.39       | 0.00%             | 2026-05-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341977804.UL.NBM                      | 341977804.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       113 | PA      | $112.83       | 0.00%             | 2026-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342040501.UL.NBM                      | 342040501.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       890 | PA      | $879.18       | 0.00%             | 2026-08-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342883485.UL.NBM                      | 342883485.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       448 | PA      | $444.24       | 0.00%             | 2026-05-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342887592.UL.NBM                      | 342887592.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       704 | PA      | $702.86       | 0.00%             | 2026-02-24      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 341596493.UL.NBM                      | 341596493.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       665 | PA      | $660.54       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341596556.UL.NBM                      | 341596556.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       182 | PA      | $180.63       | 0.00%             | 2026-05-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341510637.UL.NBM                      | 341510637.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1243 | PA      | $1150.05      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341532048.UL.NBM                      | 341532048.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       291 | PA      | $35.49        | 0.00%             | 2026-05-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9882614.SQ.NBM                        | 9882614.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9713 | PA      | $8302.25      | 0.01%             | 2027-04-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9882757.SQ.NBM                        | 9882757.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21993 | PA      | $20702.99     | 0.03%             | 2027-04-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343452084.UL.NBM                      | 343452084.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       991 | PA      | $935.71       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343452383.UL.NBM                      | 343452383.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        45 | PA      | $45.27        | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341375892.UL.NBM                      | 341375892.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2217 | PA      | $2192.77      | 0.00%             | 2027-08-19      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341409785.UL.NBM                      | 341409785.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       104 | PA      | $103.74       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343507663.UL.NBM                      | 343507663.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       182 | PA      | $179.90       | 0.00%             | 2026-05-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343584001.UL.NBM                      | 343584001.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       162 | PA      | $161.73       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342040710.UL.NBM                      | 342040710.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       289 | PA      | $285.88       | 0.00%             | 2026-05-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342041471.UL.NBM                      | 342041471.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       894 | PA      | $883.39       | 0.00%             | 2026-07-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342887731.UL.NBM                      | 342887731.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       141 | PA      | $139.76       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342887972.UL.NBM                      | 342887972.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        71 | PA      | $71.02        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341471258.UL.NBM                      | 341471258.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       276 | PA      | $275.24       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341472522.UL.NBM                      | 341472522.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1208 | PA      | $1194.00      | 0.00%             | 2026-07-20      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342660850.UL.NBM                      | 342660850.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       574 | PA      | $569.30       | 0.00%             | 2026-05-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342660919.UL.NBM                      | 342660919.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1094 | PA      | $1092.09      | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343452425.UL.NBM                      | 343452425.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       153 | PA      | $153.11       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343452639.UL.NBM                      | 343452639.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       155 | PA      | $154.59       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341532051.UL.NBM                      | 341532051.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       185 | PA      | $184.02       | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341532319.UL.NBM                      | 341532319.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        99 | PA      | $98.39        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342044215.UL.NBM                      | 342044215.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       173 | PA      | $162.95       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342052435.UL.NBM                      | 342052435.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1331 | PA      | $1315.93      | 0.00%             | 2026-12-31      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341474777.UL.NBM                      | 341474777.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3518 | PA      | $3472.86      | 0.00%             | 2026-08-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341474962.UL.NBM                      | 341474962.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       898 | PA      | $886.99       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343453079.UL.NBM                      | 343453079.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       225 | PA      | $212.73       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343453328.UL.NBM                      | 343453328.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2544 | PA      | $2521.14      | 0.00%             | 2027-08-30      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342887982.UL.NBM                      | 342887982.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       321 | PA      | $319.45       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342908361.UL.NBM                      | 342908361.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        82 | PA      | $81.31        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342496942.UL.NBM                      | 342496942.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        96 | PA      | $96.04        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342498724.UL.NBM                      | 342498724.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       417 | PA      | $414.83       | 0.00%             | 2026-07-23      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342661380.UL.NBM                      | 342661380.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       128 | PA      | $123.61       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342764856.UL.NBM                      | 342764856.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1870 | PA      | $1849.11      | 0.00%             | 2027-08-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342053466.UL.NBM                      | 342053466.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1191 | PA      | $1196.63      | 0.00%             | 2026-07-22      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342053518.UL.NBM                      | 342053518.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1327 | PA      | $1245.05      | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341475132.UL.NBM                      | 341475132.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       568 | PA      | $563.16       | 0.00%             | 2026-05-20      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341500192.UL.NBM                      | 341500192.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       556 | PA      | $529.75       | 0.00%             | 2026-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9821355.SQ.NBM                        | 9821355.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1429 | PA      | $1370.10      | 0.00%             | 2027-03-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9821394.SQ.NBM                        | 9821394.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6054 | PA      | $5711.64      | 0.01%             | 2027-03-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341532452.UL.NBM                      | 341532452.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        53 | PA      | $52.39        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341534714.UL.NBM                      | 341534714.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8577 | PA      | $7917.78      | 0.01%             | 2027-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343584604.UL.NBM                      | 343584604.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       221 | PA      | $218.84       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343584721.UL.NBM                      | 343584721.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       739 | PA      | $734.99       | 0.00%             | 2026-02-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342909024.UL.NBM                      | 342909024.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       108 | PA      | $107.76       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342909202.UL.NBM                      | 342909202.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       329 | PA      | $313.31       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342054302.UL.NBM                      | 342054302.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       168 | PA      | $166.87       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342054392.UL.NBM                      | 342054392.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        41 | PA      | $41.12        | 0.00%             | 2026-02-22      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342764989.UL.NBM                      | 342764989.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       146 | PA      | $144.85       | 0.00%             | 2026-02-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342765132.UL.NBM                      | 342765132.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       413 | PA      | $24.26        | 0.00%             | 2035-11-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341500917.UL.NBM                      | 341500917.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        76 | PA      | $75.13        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341501130.UL.NBM                      | 341501130.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       173 | PA      | $163.64       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9883667.SQ.NBM                        | 9883667.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     23262 | PA      | $21897.59     | 0.03%             | 2027-04-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9884171.SQ.NBM                        | 9884171.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2314 | PA      | $2196.00      | 0.00%             | 2027-04-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9821457.SQ.NBM                        | 9821457.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1618 | PA      | $1586.18      | 0.00%             | 2027-03-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9821520.SQ.NBM                        | 9821520.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2562 | PA      | $2251.74      | 0.00%             | 2027-03-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5859017.UP.NBM                     | DRB5859017.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1945 | PA      | $1890.24      | 0.00%             | 2028-08-22      | Fixed         | 28.39%                | Yes           |                  3 | On Loan: No      |
| DRB5859027.UP.NBM                     | DRB5859027.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2121 | PA      | $2166.57      | 0.00%             | 2030-08-25      | Fixed         | 30.54%                | Yes           |                  3 | On Loan: No      |
| 342765169.UL.NBM                      | 342765169.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1061 | PA      | $979.79       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342765313.UL.NBM                      | 342765313.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       237 | PA      | $234.47       | 0.00%             | 2026-05-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341501364.UL.NBM                      | 341501364.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        24 | PA      | $24.22        | 0.00%             | 2035-11-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341501397.UL.NBM                      | 341501397.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1366 | PA      | $1258.67      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343585408.UL.NBM                      | 343585408.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        51 | PA      | $51.07        | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343586279.UL.NBM                      | 343586279.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1331 | PA      | $1318.83      | 0.00%             | 2026-07-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342054408.UL.NBM                      | 342054408.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       760 | PA      | $246.78       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342055415.UL.NBM                      | 342055415.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2673 | PA      | $2628.69      | 0.00%             | 2027-08-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9884198.SQ.NBM                        | 9884198.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     42151 | PA      | $38296.65     | 0.05%             | 2027-04-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9884480.SQ.NBM                        | 9884480.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4196 | PA      | $3273.61      | 0.00%             | 2027-04-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342765353.UL.NBM                      | 342765353.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       434 | PA      | $430.01       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342765382.UL.NBM                      | 342765382.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        98 | PA      | $97.00        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9963874.SQ.NBM                        | 9963874.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6944 | PA      | $6568.63      | 0.01%             | 2027-04-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9963967.SQ.NBM                        | 9963967.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1070 | PA      | $981.94       | 0.00%             | 2027-04-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341501849.UL.NBM                      | 341501849.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       409 | PA      | $406.35       | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341502393.UL.NBM                      | 341502393.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       284 | PA      | $281.51       | 0.00%             | 2026-05-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342909283.UL.NBM                      | 342909283.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        82 | PA      | $81.20        | 0.00%             | 2026-02-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342916115.UL.NBM                      | 342916115.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       451 | PA      | $446.90       | 0.00%             | 2026-05-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342059790.UL.NBM                      | 342059790.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       291 | PA      | $289.29       | 0.00%             | 2026-05-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342059806.UL.NBM                      | 342059806.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       215 | PA      | $203.31       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343586443.UL.NBM                      | 343586443.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       110 | PA      | $23.12        | 0.00%             | 2035-11-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343586467.UL.NBM                      | 343586467.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        33 | PA      | $32.55        | 0.00%             | 2026-02-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9884526.SQ.NBM                        | 9884526.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4083 | PA      | $3881.87      | 0.01%             | 2027-04-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9884571.SQ.NBM                        | 9884571.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     37132 | PA      | $35092.27     | 0.05%             | 2027-04-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342765951.UL.NBM                      | 342765951.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        40 | PA      | $40.21        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342771293.UL.NBM                      | 342771293.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       122 | PA      | $121.21       | 0.00%             | 2026-02-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341502533.UL.NBM                      | 341502533.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       863 | PA      | $852.96       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341502597.UL.NBM                      | 341502597.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        78 | PA      | $15.86        | 0.00%             | 2035-11-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342916350.UL.NBM                      | 342916350.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       160 | PA      | $153.77       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342916374.UL.NBM                      | 342916374.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        41 | PA      | $40.92        | 0.00%             | 2026-02-24      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342060790.UL.NBM                      | 342060790.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       712 | PA      | $707.20       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342060823.UL.NBM                      | 342060823.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       395 | PA      | $390.75       | 0.00%             | 2026-05-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343586759.UL.NBM                      | 343586759.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       268 | PA      | $267.18       | 0.00%             | 2026-05-27      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343600362.UL.NBM                      | 343600362.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        35 | PA      | $34.85        | 0.00%             | 2026-02-27      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341534806.UL.NBM                      | 341534806.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3263 | PA      | $3226.83      | 0.00%             | 2026-07-20      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 341534827.UL.NBM                      | 341534827.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1397 | PA      | $1386.18      | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342771539.UL.NBM                      | 342771539.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       117 | PA      | $116.41       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342771541.UL.NBM                      | 342771541.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       164 | PA      | $163.10       | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341502600.UL.NBM                      | 341502600.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        79 | PA      | $78.36        | 0.00%             | 2026-02-20      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341502608.UL.NBM                      | 341502608.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       778 | PA      | $768.94       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342060840.UL.NBM                      | 342060840.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       225 | PA      | $222.24       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342060914.UL.NBM                      | 342060914.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       661 | PA      | $657.39       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10072253.SQ.NBM                       | 10072253.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     29162 | PA      | $27392.91     | 0.04%             | 2027-05-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10073370.SQ.NBM                       | 10073370.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1743 | PA      | $1655.94      | 0.00%             | 2027-05-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342771687.UL.NBM                      | 342771687.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       248 | PA      | $247.23       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342777532.UL.NBM                      | 342777532.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1776 | PA      | $1756.84      | 0.00%             | 2026-07-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341269552.UL.NBM                      | 341269552.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        81 | PA      | $80.01        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341269575.UL.NBM                      | 341269575.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       175 | PA      | $172.97       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9914178.SQ.NBM                        | 9914178.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2394 | PA      | $2237.03      | 0.00%             | 2027-04-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9914287.SQ.NBM                        | 9914287.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9553 | PA      | $9032.67      | 0.01%             | 2027-04-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9963982.SQ.NBM                        | 9963982.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3777 | PA      | $3558.22      | 0.00%             | 2027-04-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9964040.SQ.NBM                        | 9964040.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7838 | PA      | $7384.83      | 0.01%             | 2027-04-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341502978.UL.NBM                      | 341502978.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       196 | PA      | $195.53       | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341503086.UL.NBM                      | 341503086.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       233 | PA      | $221.13       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342060947.UL.NBM                      | 342060947.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       196 | PA      | $195.29       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342061015.UL.NBM                      | 342061015.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       156 | PA      | $154.62       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343600373.UL.NBM                      | 343600373.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       280 | PA      | $277.09       | 0.00%             | 2026-05-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343600445.UL.NBM                      | 343600445.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3583 | PA      | $3533.44      | 0.00%             | 2027-02-27      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 342777635.UL.NBM                      | 342777635.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       450 | PA      | $453.23       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342777830.UL.NBM                      | 342777830.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       110 | PA      | $108.98       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342916405.UL.NBM                      | 342916405.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1094 | PA      | $1083.96      | 0.00%             | 2026-07-24      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 342921172.UL.NBM                      | 342921172.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       116 | PA      | $115.14       | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9996039.SQ.NBM                        | 9996039.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     69788 | PA      | $63682.87     | 0.09%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9997536.SQ.NBM                        | 9997536.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6478 | PA      | $6130.40      | 0.01%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342061206.UL.NBM                      | 342061206.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       446 | PA      | $441.88       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342062618.UL.NBM                      | 342062618.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       109 | PA      | $108.44       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341503249.UL.NBM                      | 341503249.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       254 | PA      | $252.16       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341503269.UL.NBM                      | 341503269.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       105 | PA      | $104.10       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341897519.UL.NBM                      | 341897519.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       203 | PA      | $200.44       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341899195.UL.NBM                      | 341899195.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1434 | PA      | $1342.08      | 0.00%             | 2026-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342778514.UL.NBM                      | 342778514.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       521 | PA      | $516.46       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342778682.UL.NBM                      | 342778682.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       196 | PA      | $193.79       | 0.00%             | 2026-05-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343600880.UL.NBM                      | 343600880.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1105 | PA      | $1094.46      | 0.00%             | 2026-07-27      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 343601379.UL.NBM                      | 343601379.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1091 | PA      | $1078.73      | 0.00%             | 2026-07-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342062735.UL.NBM                      | 342062735.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       231 | PA      | $218.70       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342063676.UL.NBM                      | 342063676.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       197 | PA      | $195.01       | 0.00%             | 2026-05-22      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342498828.UL.NBM                      | 342498828.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       571 | PA      | $531.40       | 0.00%             | 2026-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342499169.UL.NBM                      | 342499169.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2067 | PA      | $735.09       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341503440.UL.NBM                      | 341503440.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        42 | PA      | $41.91        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341503450.UL.NBM                      | 341503450.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1717 | PA      | $1717.44      | 0.00%             | 2027-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5859029.UP.NBM                     | DRB5859029.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3373 | PA      | $3272.81      | 0.00%             | 2030-08-22      | Fixed         | 23.75%                | Yes           |                  3 | On Loan: No      |
| DRB5859044.UP.NBM                     | DRB5859044.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3584 | PA      | $3560.01      | 0.00%             | 2030-08-22      | Fixed         | 28.66%                | Yes           |                  3 | On Loan: No      |
| 342063719.UL.NBM                      | 342063719.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       227 | PA      | $225.07       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342063979.UL.NBM                      | 342063979.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       411 | PA      | $137.29       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343601850.UL.NBM                      | 343601850.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       334 | PA      | $333.03       | 0.00%             | 2026-02-27      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343602690.UL.NBM                      | 343602690.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        60 | PA      | $59.47        | 0.00%             | 2026-02-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342921439.UL.NBM                      | 342921439.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       537 | PA      | $512.42       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342921488.UL.NBM                      | 342921488.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        75 | PA      | $74.80        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9997633.SQ.NBM                        | 9997633.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       502 | PA      | $475.78       | 0.00%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9997638.SQ.NBM                        | 9997638.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1915 | PA      | $1772.88      | 0.00%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342779009.UL.NBM                      | 342779009.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       984 | PA      | $976.84       | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342779132.UL.NBM                      | 342779132.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        37 | PA      | $36.88        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341504376.UL.NBM                      | 341504376.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       705 | PA      | $647.15       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341504634.UL.NBM                      | 341504634.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1313 | PA      | $1297.24      | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342064617.UL.NBM                      | 342064617.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       161 | PA      | $159.77       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342064654.UL.NBM                      | 342064654.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       603 | PA      | $599.80       | 0.00%             | 2026-05-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343602841.UL.NBM                      | 343602841.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       409 | PA      | $405.37       | 0.00%             | 2026-05-27      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343602937.UL.NBM                      | 343602937.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1248 | PA      | $1242.31      | 0.00%             | 2026-07-27      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342612367.UL.NBM                      | 342612367.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        49 | PA      | $48.54        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342612387.UL.NBM                      | 342612387.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       154 | PA      | $29.70        | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341535303.UL.NBM                      | 341535303.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       501 | PA      | $495.71       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341536910.UL.NBM                      | 341536910.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1276 | PA      | $1260.83      | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342779758.UL.NBM                      | 342779758.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       182 | PA      | $181.49       | 0.00%             | 2026-02-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342779980.UL.NBM                      | 342779980.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        37 | PA      | $37.15        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342064750.UL.NBM                      | 342064750.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1221 | PA      | $1134.50      | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342065112.UL.NBM                      | 342065112.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       175 | PA      | $173.81       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343603060.UL.NBM                      | 343603060.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       917 | PA      | $903.27       | 0.00%             | 2026-02-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343603076.UL.NBM                      | 343603076.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       720 | PA      | $712.29       | 0.00%             | 2026-07-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341504965.UL.NBM                      | 341504965.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       538 | PA      | $533.07       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341505015.UL.NBM                      | 341505015.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       151 | PA      | $149.73       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341963391.UL.NBM                      | 341963391.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       393 | PA      | $391.65       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341963618.UL.NBM                      | 341963618.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       499 | PA      | $494.90       | 0.00%             | 2026-05-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| CBM5853872.UP.NBM                     | CBM5853872.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11762 | PA      | $12328.64     | 0.02%             | 2030-08-25      | Fixed         | 32.14%                | Yes           |                  3 | On Loan: No      |
| CBM5857378.UP.NBM                     | CBM5857378.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3717 | PA      | $3131.52      | 0.00%             | 2030-08-22      | Fixed         | 30.10%                | Yes           |                  3 | On Loan: No      |
| 342065437.UL.NBM                      | 342065437.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       374 | PA      | $370.80       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342067689.UL.NBM                      | 342067689.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        47 | PA      | $46.52        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342921997.UL.NBM                      | 342921997.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2716 | PA      | $2676.91      | 0.00%             | 2027-08-25      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 342932517.UL.NBM                      | 342932517.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       125 | PA      | $124.85       | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343603246.UL.NBM                      | 343603246.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       272 | PA      | $271.39       | 0.00%             | 2026-02-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343603298.UL.NBM                      | 343603298.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       414 | PA      | $399.40       | 0.00%             | 2026-02-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341505055.UL.NBM                      | 341505055.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        98 | PA      | $97.31        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341505148.UL.NBM                      | 341505148.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2088 | PA      | $2066.93      | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342780092.UL.NBM                      | 342780092.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       187 | PA      | $186.49       | 0.00%             | 2026-02-24      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342780214.UL.NBM                      | 342780214.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       212 | PA      | $209.64       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341537002.UL.NBM                      | 341537002.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        43 | PA      | $5.29         | 0.00%             | 2035-11-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341537108.UL.NBM                      | 341537108.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       843 | PA      | $833.28       | 0.00%             | 2026-07-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342068376.UL.NBM                      | 342068376.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       470 | PA      | $464.51       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342113143.UL.NBM                      | 342113143.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       146 | PA      | $145.43       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343603419.UL.NBM                      | 343603419.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       462 | PA      | $459.92       | 0.00%             | 2026-02-27      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343603492.UL.NBM                      | 343603492.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       612 | PA      | $605.25       | 0.00%             | 2026-02-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341505977.UL.NBM                      | 341505977.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       433 | PA      | $428.28       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341505987.UL.NBM                      | 341505987.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       225 | PA      | $223.28       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9914467.SQ.NBM                        | 9914467.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       666 | PA      | $624.66       | 0.00%             | 2027-04-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9914505.SQ.NBM                        | 9914505.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11166 | PA      | $10002.89     | 0.01%             | 2027-04-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342780853.UL.NBM                      | 342780853.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       170 | PA      | $168.61       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342781178.UL.NBM                      | 342781178.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       473 | PA      | $47.18        | 0.00%             | 2026-05-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| DRB5859061.UP.NBM                     | DRB5859061.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11415 | PA      | $10767.70     | 0.01%             | 2028-08-22      | Fixed         | 19.80%                | Yes           |                  3 | On Loan: No      |
| DRB5859068.UP.NBM                     | DRB5859068.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2698 | PA      | $2473.23      | 0.00%             | 2030-08-22      | Fixed         | 23.46%                | Yes           |                  3 | On Loan: No      |
| CBM5857625.UP.NBM                     | CBM5857625.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12205 | PA      | $11453.07     | 0.02%             | 2030-08-22      | Fixed         | 14.47%                | Yes           |                  3 | On Loan: No      |
| CBM5857892.UP.NBM                     | CBM5857892.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3331 | PA      | $2896.76      | 0.00%             | 2030-08-22      | Fixed         | 32.32%                | Yes           |                  3 | On Loan: No      |
| 343603615.UL.NBM                      | 343603615.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       222 | PA      | $221.05       | 0.00%             | 2026-02-27      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343603738.UL.NBM                      | 343603738.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       522 | PA      | $517.51       | 0.00%             | 2026-05-27      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341506036.UL.NBM                      | 341506036.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        98 | PA      | $97.65        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341506225.UL.NBM                      | 341506225.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       294 | PA      | $290.64       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342781186.UL.NBM                      | 342781186.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       314 | PA      | $311.06       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342781205.UL.NBM                      | 342781205.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       142 | PA      | $140.97       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342113935.UL.NBM                      | 342113935.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       455 | PA      | $450.28       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342114172.UL.NBM                      | 342114172.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        65 | PA      | $65.01        | 0.00%             | 2026-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341537246.UL.NBM                      | 341537246.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       149 | PA      | $148.37       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341537264.UL.NBM                      | 341537264.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       446 | PA      | $448.31       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341313375.UL.NBM                      | 341313375.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1056 | PA      | $1043.00      | 0.00%             | 2026-07-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341313855.UL.NBM                      | 341313855.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       257 | PA      | $254.23       | 0.00%             | 2026-05-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342781377.UL.NBM                      | 342781377.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        74 | PA      | $74.08        | 0.00%             | 2026-02-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342781948.UL.NBM                      | 342781948.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        64 | PA      | $61.51        | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| CBM5865167.UP.NBM                     | CBM5865167.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5700 | PA      | $5734.37      | 0.01%             | 2030-08-25      | Fixed         | 25.99%                | Yes           |                  3 | On Loan: No      |
| CBM5865243.UP.NBM                     | CBM5865243.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3173 | PA      | $3295.67      | 0.00%             | 2030-08-25      | Fixed         | 31.97%                | Yes           |                  3 | On Loan: No      |
| 342114396.UL.NBM                      | 342114396.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        53 | PA      | $52.64        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342114692.UL.NBM                      | 342114692.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        46 | PA      | $45.56        | 0.00%             | 2026-02-22      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342613028.UL.NBM                      | 342613028.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       137 | PA      | $136.49       | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342613205.UL.NBM                      | 342613205.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        90 | PA      | $89.76        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341506265.UL.NBM                      | 341506265.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       327 | PA      | $311.84       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341506358.UL.NBM                      | 341506358.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       378 | PA      | $147.93       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343604388.UL.NBM                      | 343604388.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2796 | PA      | $926.56       | 0.00%             | 2026-07-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9732078.SQ.NBM                        | 9732078.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     22546 | PA      | $21272.10     | 0.03%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342114890.UL.NBM                      | 342114890.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       774 | PA      | $769.19       | 0.00%             | 2026-07-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342114953.UL.NBM                      | 342114953.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1758 | PA      | $1740.13      | 0.00%             | 2027-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5865244.UP.NBM                     | CBM5865244.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4578 | PA      | $4753.96      | 0.01%             | 2030-08-25      | Fixed         | 31.75%                | Yes           |                  3 | On Loan: No      |
| CBM5865276.UP.NBM                     | CBM5865276.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3360 | PA      | $3185.05      | 0.00%             | 2030-08-25      | Fixed         | 22.38%                | Yes           |                  3 | On Loan: No      |
| 341537504.UL.NBM                      | 341537504.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1354 | PA      | $1336.39      | 0.00%             | 2026-08-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341537552.UL.NBM                      | 341537552.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       113 | PA      | $112.63       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341506583.UL.NBM                      | 341506583.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        54 | PA      | $54.03        | 0.00%             | 2026-02-20      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341506695.UL.NBM                      | 341506695.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       191 | PA      | $189.48       | 0.00%             | 2026-05-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9733045.SQ.NBM                        | 9733045.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     22437 | PA      | $20472.69     | 0.03%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9733562.SQ.NBM                        | 9733562.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7787 | PA      | $7267.70      | 0.01%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342115037.UL.NBM                      | 342115037.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       952 | PA      | $947.87       | 0.00%             | 2026-02-22      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 342115702.UL.NBM                      | 342115702.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       915 | PA      | $843.21       | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9914760.SQ.NBM                        | 9914760.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7365 | PA      | $6950.47      | 0.01%             | 2027-04-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9914969.SQ.NBM                        | 9914969.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12645 | PA      | $11878.88     | 0.02%             | 2027-04-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341431015.UL.NBM                      | 341431015.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        52 | PA      | $51.53        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341431817.UL.NBM                      | 341431817.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       100 | PA      | $99.21        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9733666.SQ.NBM                        | 9733666.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1951 | PA      | $1819.36      | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9733698.SQ.NBM                        | 9733698.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1638 | PA      | $1448.91      | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342116487.UL.NBM                      | 342116487.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4216 | PA      | $815.73       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342117941.UL.NBM                      | 342117941.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       265 | PA      | $263.40       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341506719.UL.NBM                      | 341506719.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        32 | PA      | $31.49        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341507241.UL.NBM                      | 341507241.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        60 | PA      | $57.81        | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342615711.UL.NBM                      | 342615711.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       724 | PA      | $715.50       | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342615967.UL.NBM                      | 342615967.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        57 | PA      | $56.75        | 0.00%             | 2026-02-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| DRB5859080.UP.NBM                     | DRB5859080.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7460 | PA      | $7435.21      | 0.01%             | 2030-08-22      | Fixed         | 28.88%                | Yes           |                  3 | On Loan: No      |
| DRB5859082.UP.NBM                     | DRB5859082.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3873 | PA      | $3830.07      | 0.01%             | 2030-08-22      | Fixed         | 28.36%                | Yes           |                  3 | On Loan: No      |
| CBM5866018.UP.NBM                     | CBM5866018.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2810 | PA      | $2969.88      | 0.00%             | 2030-08-25      | Fixed         | 29.18%                | Yes           |                  3 | On Loan: No      |
| CBM5866025.UP.NBM                     | CBM5866025.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5479 | PA      | $5515.81      | 0.01%             | 2028-08-25      | Fixed         | 26.58%                | Yes           |                  3 | On Loan: No      |
| 9733725.SQ.NBM                        | 9733725.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10970 | PA      | $10420.00     | 0.01%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9733898.SQ.NBM                        | 9733898.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1690 | PA      | $1615.27      | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342118856.UL.NBM                      | 342118856.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       437 | PA      | $416.82       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342119795.UL.NBM                      | 342119795.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        89 | PA      | $85.23        | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341507300.UL.NBM                      | 341507300.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       142 | PA      | $141.28       | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341507828.UL.NBM                      | 341507828.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       273 | PA      | $271.00       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9915500.SQ.NBM                        | 9915500.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1811 | PA      | $1673.68      | 0.00%             | 2027-04-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9915539.SQ.NBM                        | 9915539.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1595 | PA      | $1525.37      | 0.00%             | 2027-04-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342617081.UL.NBM                      | 342617081.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1862 | PA      | $1753.39      | 0.00%             | 2026-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342617102.UL.NBM                      | 342617102.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1128 | PA      | $1121.18      | 0.00%             | 2026-07-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9733955.SQ.NBM                        | 9733955.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4534 | PA      | $4269.28      | 0.01%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9734024.SQ.NBM                        | 9734024.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5468 | PA      | $5120.41      | 0.01%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342119970.UL.NBM                      | 342119970.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        61 | PA      | $60.69        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342119984.UL.NBM                      | 342119984.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        36 | PA      | $35.97        | 0.00%             | 2026-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341510903.UL.NBM                      | 341510903.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       390 | PA      | $385.94       | 0.00%             | 2026-05-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341511053.UL.NBM                      | 341511053.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        74 | PA      | $73.45        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341537979.UL.NBM                      | 341537979.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2093 | PA      | $2060.13      | 0.00%             | 2027-08-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341539266.UL.NBM                      | 341539266.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4072 | PA      | $4004.29      | 0.01%             | 2027-08-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5859084.UP.NBM                     | DRB5859084.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3188 | PA      | $3208.28      | 0.00%             | 2030-08-22      | Fixed         | 26.08%                | Yes           |                  3 | On Loan: No      |
| DRB5859085.UP.NBM                     | DRB5859085.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1231 | PA      | $1224.23      | 0.00%             | 2030-08-22      | Fixed         | 28.93%                | Yes           |                  3 | On Loan: No      |
| 9743805.SQ.NBM                        | 9743805.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3771 | PA      | $3601.18      | 0.00%             | 2027-03-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9743828.SQ.NBM                        | 9743828.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     22488 | PA      | $21576.04     | 0.03%             | 2027-03-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342120020.UL.NBM                      | 342120020.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       368 | PA      | $366.14       | 0.00%             | 2026-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342120838.UL.NBM                      | 342120838.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        55 | PA      | $54.21        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5866087.UP.NBM                     | CBM5866087.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4300 | PA      | $-20.86       | -0.00%            | 2028-08-25      | Fixed         | 30.39%                | Yes           |                  3 | On Loan: No      |
| CBM5866128.UP.NBM                     | CBM5866128.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1647 | PA      | $1639.40      | 0.00%             | 2030-08-25      | Fixed         | 28.71%                | Yes           |                  3 | On Loan: No      |
| 341511093.UL.NBM                      | 341511093.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       309 | PA      | $306.12       | 0.00%             | 2026-05-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341511135.UL.NBM                      | 341511135.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        57 | PA      | $56.59        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342617272.UL.NBM                      | 342617272.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       855 | PA      | $845.04       | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342617298.UL.NBM                      | 342617298.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       133 | PA      | $131.99       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341540242.UL.NBM                      | 341540242.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        93 | PA      | $89.78        | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341540465.UL.NBM                      | 341540465.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2098 | PA      | $1957.07      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9744019.SQ.NBM                        | 9744019.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     25824 | PA      | $11734.18     | 0.02%             | 2027-03-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9744370.SQ.NBM                        | 9744370.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4058 | PA      | $3826.20      | 0.01%             | 2027-03-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341511249.UL.NBM                      | 341511249.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2089 | PA      | $2057.15      | 0.00%             | 2027-08-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341528987.UL.NBM                      | 341528987.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       203 | PA      | $204.27       | 0.00%             | 2026-02-20      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 9915589.SQ.NBM                        | 9915589.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1378 | PA      | $1298.20      | 0.00%             | 2027-04-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9915723.SQ.NBM                        | 9915723.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     39681 | PA      | $33442.46     | 0.05%             | 2027-04-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342120859.UL.NBM                      | 342120859.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       946 | PA      | $938.64       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342120943.UL.NBM                      | 342120943.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1294 | PA      | $1210.02      | 0.00%             | 2026-05-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342617500.UL.NBM                      | 342617500.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        94 | PA      | $91.77        | 0.00%             | 2026-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342617684.UL.NBM                      | 342617684.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       187 | PA      | $188.80       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9746085.SQ.NBM                        | 9746085.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5803 | PA      | $5583.57      | 0.01%             | 2027-03-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9746371.SQ.NBM                        | 9746371.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8589 | PA      | $8246.48      | 0.01%             | 2027-03-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341529055.UL.NBM                      | 341529055.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       379 | PA      | $357.29       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341529089.UL.NBM                      | 341529089.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        76 | PA      | $75.78        | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| CBM5867589.UP.NBM                     | CBM5867589.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       917 | PA      | $901.94       | 0.00%             | 2028-08-25      | Fixed         | 24.31%                | Yes           |                  3 | On Loan: No      |
| CBM5867628.UP.NBM                     | CBM5867628.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3279 | PA      | $222.23       | 0.00%             | 2030-08-25      | Fixed         | 32.19%                | Yes           |                  3 | On Loan: No      |
| 342123055.UL.NBM                      | 342123055.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       594 | PA      | $590.65       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342123532.UL.NBM                      | 342123532.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       358 | PA      | $354.31       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9916378.SQ.NBM                        | 9916378.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1627 | PA      | $816.22       | 0.00%             | 2027-04-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9916416.SQ.NBM                        | 9916416.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4637 | PA      | $4309.61      | 0.01%             | 2027-04-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341346753.UL.NBM                      | 341346753.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       147 | PA      | $146.20       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341346935.UL.NBM                      | 341346935.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       174 | PA      | $169.46       | 0.00%             | 2026-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5859111.UP.NBM                     | DRB5859111.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5613 | PA      | $5580.47      | 0.01%             | 2030-08-22      | Fixed         | 28.84%                | Yes           |                  3 | On Loan: No      |
| DRB5859113.UP.NBM                     | DRB5859113.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5725 | PA      | $5859.96      | 0.01%             | 2030-08-22      | Fixed         | 30.65%                | Yes           |                  3 | On Loan: No      |
| 341540607.UL.NBM                      | 341540607.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       147 | PA      | $145.62       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341540807.UL.NBM                      | 341540807.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        26 | PA      | $25.80        | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342123748.UL.NBM                      | 342123748.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        49 | PA      | $49.15        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342124014.UL.NBM                      | 342124014.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       357 | PA      | $355.22       | 0.00%             | 2026-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| CBM5867639.UP.NBM                     | CBM5867639.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1386 | PA      | $1323.52      | 0.00%             | 2028-08-25      | Fixed         | 26.49%                | Yes           |                  3 | On Loan: No      |
| CBM5867683.UP.NBM                     | CBM5867683.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7790 | PA      | $7660.94      | 0.01%             | 2030-08-25      | Fixed         | 24.82%                | Yes           |                  3 | On Loan: No      |
| 9746705.SQ.NBM                        | 9746705.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       520 | PA      | $467.61       | 0.00%             | 2027-03-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9746741.SQ.NBM                        | 9746741.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2180 | PA      | $2104.13      | 0.00%             | 2027-03-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9916537.SQ.NBM                        | 9916537.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4215 | PA      | $3832.52      | 0.01%             | 2027-04-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9916608.SQ.NBM                        | 9916608.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2488 | PA      | $2288.92      | 0.00%             | 2027-04-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341529334.UL.NBM                      | 341529334.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       230 | PA      | $228.69       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341529400.UL.NBM                      | 341529400.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       164 | PA      | $163.12       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341432359.UL.NBM                      | 341432359.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        55 | PA      | $55.13        | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341432360.UL.NBM                      | 341432360.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       347 | PA      | $330.56       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342124122.UL.NBM                      | 342124122.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       293 | PA      | $291.18       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342124260.UL.NBM                      | 342124260.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       708 | PA      | $652.88       | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342617986.UL.NBM                      | 342617986.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       111 | PA      | $110.50       | 0.00%             | 2026-02-23      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342618288.UL.NBM                      | 342618288.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       429 | PA      | $408.96       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5858290.UP.NBM                     | DRB5858290.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1546 | PA      | $1758.56      | 0.00%             | 2030-08-22      | Fixed         | 26.45%                | Yes           |                  3 | On Loan: No      |
| DRB5858295.UP.NBM                     | DRB5858295.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1392 | PA      | $1380.91      | 0.00%             | 2028-08-22      | Fixed         | 30.42%                | Yes           |                  3 | On Loan: No      |
| DRB5859119.UP.NBM                     | DRB5859119.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     22148 | PA      | $21490.62     | 0.03%             | 2030-08-22      | Fixed         | 27.12%                | Yes           |                  3 | On Loan: No      |
| DRB5859131.UP.NBM                     | DRB5859131.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1565 | PA      | $1316.82      | 0.00%             | 2030-08-22      | Fixed         | 30.02%                | Yes           |                  3 | On Loan: No      |
| 341562678.UL.NBM                      | 341562678.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       123 | PA      | $122.01       | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341562816.UL.NBM                      | 341562816.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       194 | PA      | $190.70       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341529937.UL.NBM                      | 341529937.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        88 | PA      | $87.33        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341530056.UL.NBM                      | 341530056.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       566 | PA      | $532.08       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342124275.UL.NBM                      | 342124275.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       218 | PA      | $216.74       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342125018.UL.NBM                      | 342125018.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1055 | PA      | $1042.76      | 0.00%             | 2026-07-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342618888.UL.NBM                      | 342618888.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       597 | PA      | $589.59       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342619039.UL.NBM                      | 342619039.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2142 | PA      | $1989.10      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341347200.UL.NBM                      | 341347200.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       371 | PA      | $368.61       | 0.00%             | 2026-02-19      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341347331.UL.NBM                      | 341347331.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       895 | PA      | $883.64       | 0.00%             | 2026-07-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341432427.UL.NBM                      | 341432427.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       487 | PA      | $461.24       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341432900.UL.NBM                      | 341432900.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       888 | PA      | $827.28       | 0.00%             | 2026-05-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342783292.UL.NBM                      | 342783292.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       468 | PA      | $463.93       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342805339.UL.NBM                      | 342805339.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       340 | PA      | $336.65       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342125049.UL.NBM                      | 342125049.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2661 | PA      | $2621.25      | 0.00%             | 2027-08-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342157450.UL.NBM                      | 342157450.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       789 | PA      | $783.08       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341530409.UL.NBM                      | 341530409.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       157 | PA      | $156.46       | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341530480.UL.NBM                      | 341530480.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       823 | PA      | $765.82       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342619755.UL.NBM                      | 342619755.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       392 | PA      | $390.23       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342619873.UL.NBM                      | 342619873.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        96 | PA      | $95.22        | 0.00%             | 2026-02-23      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341388107.UL.NBM                      | 341388107.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       542 | PA      | $536.44       | 0.00%             | 2026-05-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341388172.UL.NBM                      | 341388172.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       914 | PA      | $903.43       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342157474.UL.NBM                      | 342157474.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       160 | PA      | $153.85       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342157530.UL.NBM                      | 342157530.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       179 | PA      | $168.74       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341563002.UL.NBM                      | 341563002.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        89 | PA      | $88.12        | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341563051.UL.NBM                      | 341563051.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       175 | PA      | $174.06       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342932687.UL.NBM                      | 342932687.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       318 | PA      | $301.67       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342932701.UL.NBM                      | 342932701.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2835 | PA      | $2811.32      | 0.00%             | 2027-02-25      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 10172495.SQ.NBM                       | 10172495.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6792 | PA      | $6368.55      | 0.01%             | 2027-06-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10172687.SQ.NBM                       | 10172687.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9657 | PA      | $8982.73      | 0.01%             | 2027-06-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341312300.UL.NBM                      | 341312300.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       945 | PA      | $934.65       | 0.00%             | 2026-07-19      | Fixed         | 25.99%                | Yes           |                  3 | On Loan: No      |
| 341312386.UL.NBM                      | 341312386.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        73 | PA      | $72.66        | 0.00%             | 2026-02-19      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342619963.UL.NBM                      | 342619963.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       810 | PA      | $753.72       | 0.00%             | 2026-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342620433.UL.NBM                      | 342620433.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2841 | PA      | $2811.13      | 0.00%             | 2027-08-23      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341530876.UL.NBM                      | 341530876.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        62 | PA      | $61.50        | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341530911.UL.NBM                      | 341530911.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1068 | PA      | $985.98       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342158222.UL.NBM                      | 342158222.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        82 | PA      | $81.43        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342158393.UL.NBM                      | 342158393.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       175 | PA      | $174.22       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5862239.UP.NBM                     | DRB5862239.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4018 | PA      | $4120.01      | 0.01%             | 2030-08-25      | Fixed         | 30.41%                | Yes           |                  3 | On Loan: No      |
| DRB5862378.UP.NBM                     | DRB5862378.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1058 | PA      | $995.55       | 0.00%             | 2030-08-25      | Fixed         | 21.77%                | Yes           |                  3 | On Loan: No      |
| 341563395.UL.NBM                      | 341563395.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       226 | PA      | $214.61       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341563697.UL.NBM                      | 341563697.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       207 | PA      | $205.09       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858320.UP.NBM                     | DRB5858320.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1059 | PA      | $1015.99      | 0.00%             | 2030-08-22      | Fixed         | 23.02%                | Yes           |                  3 | On Loan: No      |
| DRB5858326.UP.NBM                     | DRB5858326.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5815 | PA      | $5973.44      | 0.01%             | 2030-08-22      | Fixed         | 31.88%                | Yes           |                  3 | On Loan: No      |
| 342932764.UL.NBM                      | 342932764.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       363 | PA      | $28.75        | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342932774.UL.NBM                      | 342932774.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       369 | PA      | $366.35       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341531281.UL.NBM                      | 341531281.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       231 | PA      | $229.00       | 0.00%             | 2026-05-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341531534.UL.NBM                      | 341531534.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3669 | PA      | $3611.22      | 0.00%             | 2027-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342911534.UL.NBM                      | 342911534.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       765 | PA      | $757.35       | 0.00%             | 2026-07-24      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 342911617.UL.NBM                      | 342911617.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       408 | PA      | $403.69       | 0.00%             | 2026-05-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342620528.UL.NBM                      | 342620528.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1021 | PA      | $1009.16      | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342621423.UL.NBM                      | 342621423.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       191 | PA      | $190.06       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342158466.UL.NBM                      | 342158466.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       399 | PA      | $397.10       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342159188.UL.NBM                      | 342159188.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       309 | PA      | $114.04       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858483.UP.NBM                     | DRB5858483.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14259 | PA      | $14514.66     | 0.02%             | 2030-08-22      | Fixed         | 30.28%                | Yes           |                  3 | On Loan: No      |
| DRB5858493.UP.NBM                     | DRB5858493.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1479 | PA      | $330.65       | 0.00%             | 2030-08-22      | Fixed         | 30.91%                | Yes           |                  3 | On Loan: No      |
| 341563774.UL.NBM                      | 341563774.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2062 | PA      | $2064.16      | 0.00%             | 2027-08-20      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341563829.UL.NBM                      | 341563829.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       826 | PA      | $816.73       | 0.00%             | 2026-07-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| DRB5862904.UP.NBM                     | DRB5862904.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2817 | PA      | $2943.23      | 0.00%             | 2030-08-25      | Fixed         | 31.92%                | Yes           |                  3 | On Loan: No      |
| DRB5862963.UP.NBM                     | DRB5862963.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3143 | PA      | $3080.62      | 0.00%             | 2028-08-25      | Fixed         | 29.48%                | Yes           |                  3 | On Loan: No      |
| 341531967.UL.NBM                      | 341531967.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        81 | PA      | $80.51        | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341532876.UL.NBM                      | 341532876.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1345 | PA      | $1251.75      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341388244.UL.NBM                      | 341388244.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       192 | PA      | $190.34       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341388436.UL.NBM                      | 341388436.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       318 | PA      | $315.23       | 0.00%             | 2026-05-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342159259.UL.NBM                      | 342159259.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       264 | PA      | $261.85       | 0.00%             | 2026-05-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342160512.UL.NBM                      | 342160512.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       192 | PA      | $190.72       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341433016.UL.NBM                      | 341433016.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       193 | PA      | $192.25       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341433888.UL.NBM                      | 341433888.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       286 | PA      | $283.65       | 0.00%             | 2026-05-20      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341563938.UL.NBM                      | 341563938.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       107 | PA      | $106.45       | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341564145.UL.NBM                      | 341564145.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        30 | PA      | $29.82        | 0.00%             | 2026-02-20      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858509.UP.NBM                     | DRB5858509.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8637 | PA      | $8597.55      | 0.01%             | 2028-08-22      | Fixed         | 30.80%                | Yes           |                  3 | On Loan: No      |
| DRB5858511.UP.NBM                     | DRB5858511.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2388 | PA      | $2371.64      | 0.00%             | 2030-08-22      | Fixed         | 28.83%                | Yes           |                  3 | On Loan: No      |
| 341532977.UL.NBM                      | 341532977.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1010 | PA      | $1000.66      | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341539639.UL.NBM                      | 341539639.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        78 | PA      | $4.40         | 0.00%             | 2035-11-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342160741.UL.NBM                      | 342160741.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $67.11        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342161298.UL.NBM                      | 342161298.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       903 | PA      | $892.32       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342621464.UL.NBM                      | 342621464.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       348 | PA      | $346.41       | 0.00%             | 2026-05-23      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342621826.UL.NBM                      | 342621826.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       223 | PA      | $210.53       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341564165.UL.NBM                      | 341564165.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       384 | PA      | $137.89       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341564198.UL.NBM                      | 341564198.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       239 | PA      | $237.69       | 0.00%             | 2026-05-20      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341539655.UL.NBM                      | 341539655.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.03        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341539908.UL.NBM                      | 341539908.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1202 | PA      | $1187.54      | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5859236.UP.NBM                     | DRB5859236.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4423 | PA      | $4195.57      | 0.01%             | 2030-08-22      | Fixed         | 25.78%                | Yes           |                  3 | On Loan: No      |
| DRB5859254.UP.NBM                     | DRB5859254.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       980 | PA      | $998.73       | 0.00%             | 2030-08-22      | Fixed         | 16.43%                | Yes           |                  3 | On Loan: No      |
| 342161639.UL.NBM                      | 342161639.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4078 | PA      | $4012.05      | 0.01%             | 2027-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342161940.UL.NBM                      | 342161940.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       223 | PA      | $222.04       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341388509.UL.NBM                      | 341388509.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       262 | PA      | $39.03        | 0.00%             | 2035-11-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341388515.UL.NBM                      | 341388515.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       784 | PA      | $774.86       | 0.00%             | 2026-07-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342621844.UL.NBM                      | 342621844.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       929 | PA      | $920.33       | 0.00%             | 2026-07-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342621927.UL.NBM                      | 342621927.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        68 | PA      | $67.62        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341564763.UL.NBM                      | 341564763.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       255 | PA      | $235.61       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341564942.UL.NBM                      | 341564942.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       766 | PA      | $756.71       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342805520.UL.NBM                      | 342805520.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       106 | PA      | $102.36       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342805778.UL.NBM                      | 342805778.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       371 | PA      | $367.92       | 0.00%             | 2026-05-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341435057.UL.NBM                      | 341435057.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        76 | PA      | $75.64        | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341488814.UL.NBM                      | 341488814.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        82 | PA      | $81.03        | 0.00%             | 2026-02-20      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342162122.UL.NBM                      | 342162122.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       786 | PA      | $741.36       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342162195.UL.NBM                      | 342162195.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        45 | PA      | $44.71        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341540135.UL.NBM                      | 341540135.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3262 | PA      | $3035.54      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341557528.UL.NBM                      | 341557528.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        23 | PA      | $23.27        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341565344.UL.NBM                      | 341565344.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       241 | PA      | $239.60       | 0.00%             | 2026-05-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341565410.UL.NBM                      | 341565410.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       313 | PA      | $309.52       | 0.00%             | 2026-05-20      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 342621954.UL.NBM                      | 342621954.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       245 | PA      | $242.51       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342622322.UL.NBM                      | 342622322.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       229 | PA      | $216.91       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5859256.UP.NBM                     | DRB5859256.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4176 | PA      | $4333.13      | 0.01%             | 2030-08-22      | Fixed         | 31.57%                | Yes           |                  3 | On Loan: No      |
| DRB5859265.UP.NBM                     | DRB5859265.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4837 | PA      | $4720.60      | 0.01%             | 2030-08-22      | Fixed         | 27.49%                | Yes           |                  3 | On Loan: No      |
| 342162518.UL.NBM                      | 342162518.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1237 | PA      | $1217.77      | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342162668.UL.NBM                      | 342162668.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1452 | PA      | $337.03       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341557720.UL.NBM                      | 341557720.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1817 | PA      | $1686.21      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341557979.UL.NBM                      | 341557979.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       840 | PA      | $773.19       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341489147.UL.NBM                      | 341489147.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       193 | PA      | $182.48       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341495273.UL.NBM                      | 341495273.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        43 | PA      | $41.68        | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342806164.UL.NBM                      | 342806164.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2724 | PA      | $2545.62      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342806524.UL.NBM                      | 342806524.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2575 | PA      | $2385.02      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341721681.UL.NBM                      | 341721681.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       205 | PA      | $202.52       | 0.00%             | 2026-05-21      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341722231.UL.NBM                      | 341722231.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       319 | PA      | $317.48       | 0.00%             | 2026-05-25      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341388880.UL.NBM                      | 341388880.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       422 | PA      | $417.57       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341388905.UL.NBM                      | 341388905.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        68 | PA      | $67.66        | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342162708.UL.NBM                      | 342162708.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       406 | PA      | $402.22       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342163064.UL.NBM                      | 342163064.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       317 | PA      | $315.59       | 0.00%             | 2026-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9916633.SQ.NBM                        | 9916633.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15894 | PA      | $15018.43     | 0.02%             | 2027-04-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9917034.SQ.NBM                        | 9917034.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15592 | PA      | $14734.02     | 0.02%             | 2027-04-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5859596.UP.NBM                     | DRB5859596.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1570 | PA      | $1522.93      | 0.00%             | 2028-08-22      | Fixed         | 28.46%                | Yes           |                  3 | On Loan: No      |
| DRB5859602.UP.NBM                     | DRB5859602.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5733 | PA      | $5998.04      | 0.01%             | 2030-08-22      | Fixed         | 32.13%                | Yes           |                  3 | On Loan: No      |
| 341558109.UL.NBM                      | 341558109.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       938 | PA      | $886.65       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341558138.UL.NBM                      | 341558138.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       293 | PA      | $289.42       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341495481.UL.NBM                      | 341495481.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |         8 | PA      | $7.98         | 0.00%             | 2035-11-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341495612.UL.NBM                      | 341495612.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1080 | PA      | $1023.37      | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342163960.UL.NBM                      | 342163960.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       171 | PA      | $6.35         | 0.00%             | 2035-11-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342164070.UL.NBM                      | 342164070.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       389 | PA      | $371.52       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341388977.UL.NBM                      | 341388977.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       286 | PA      | $282.92       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341389323.UL.NBM                      | 341389323.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       203 | PA      | $201.26       | 0.00%             | 2026-05-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342622457.UL.NBM                      | 342622457.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       751 | PA      | $720.60       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342623561.UL.NBM                      | 342623561.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1333 | PA      | $1264.33      | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342806740.UL.NBM                      | 342806740.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       354 | PA      | $352.32       | 0.00%             | 2026-02-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342809195.UL.NBM                      | 342809195.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        51 | PA      | $50.86        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341558423.UL.NBM                      | 341558423.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       113 | PA      | $112.63       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341558434.UL.NBM                      | 341558434.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       321 | PA      | $319.01       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341565465.UL.NBM                      | 341565465.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        48 | PA      | $47.55        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341565600.UL.NBM                      | 341565600.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       390 | PA      | $386.21       | 0.00%             | 2026-05-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| DRB5859618.UP.NBM                     | DRB5859618.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4470 | PA      | $4456.34      | 0.01%             | 2030-08-22      | Fixed         | 29.09%                | Yes           |                  3 | On Loan: No      |
| DRB5859626.UP.NBM                     | DRB5859626.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2719 | PA      | $2821.99      | 0.00%             | 2030-08-22      | Fixed         | 31.58%                | Yes           |                  3 | On Loan: No      |
| 341495618.UL.NBM                      | 341495618.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       344 | PA      | $340.35       | 0.00%             | 2026-05-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341495981.UL.NBM                      | 341495981.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       349 | PA      | $52.01        | 0.00%             | 2035-11-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342164182.UL.NBM                      | 342164182.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       684 | PA      | $675.63       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342164864.UL.NBM                      | 342164864.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       197 | PA      | $196.46       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341558470.UL.NBM                      | 341558470.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       376 | PA      | $372.22       | 0.00%             | 2026-05-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341558535.UL.NBM                      | 341558535.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        49 | PA      | $48.55        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342809262.UL.NBM                      | 342809262.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       353 | PA      | $349.45       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342809781.UL.NBM                      | 342809781.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       209 | PA      | $208.36       | 0.00%             | 2026-02-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341496586.UL.NBM                      | 341496586.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.84        | 0.00%             | 2026-05-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341496704.UL.NBM                      | 341496704.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       175 | PA      | $173.89       | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| DRB5859630.UP.NBM                     | DRB5859630.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19285 | PA      | $19332.05     | 0.03%             | 2030-08-22      | Fixed         | 29.26%                | Yes           |                  3 | On Loan: No      |
| DRB5859646.UP.NBM                     | DRB5859646.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1550 | PA      | $1552.36      | 0.00%             | 2030-08-22      | Fixed         | 29.18%                | Yes           |                  3 | On Loan: No      |
| 342165191.UL.NBM                      | 342165191.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3651 | PA      | $3449.26      | 0.00%             | 2026-05-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342165828.UL.NBM                      | 342165828.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       168 | PA      | $167.48       | 0.00%             | 2026-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342624365.UL.NBM                      | 342624365.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       225 | PA      | $97.04        | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342624420.UL.NBM                      | 342624420.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       132 | PA      | $132.13       | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341558562.UL.NBM                      | 341558562.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       524 | PA      | $519.16       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341558632.UL.NBM                      | 341558632.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        25 | PA      | $5.08         | 0.00%             | 2035-11-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342809896.UL.NBM                      | 342809896.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       223 | PA      | $222.16       | 0.00%             | 2026-02-24      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342810004.UL.NBM                      | 342810004.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1389 | PA      | $1292.71      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341565748.UL.NBM                      | 341565748.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       260 | PA      | $257.16       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341565841.UL.NBM                      | 341565841.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       279 | PA      | $265.88       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341963647.UL.NBM                      | 341963647.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       226 | PA      | $223.98       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341963656.UL.NBM                      | 341963656.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       129 | PA      | $128.11       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342166315.UL.NBM                      | 342166315.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       180 | PA      | $179.00       | 0.00%             | 2026-02-22      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342166700.UL.NBM                      | 342166700.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3876 | PA      | $3814.65      | 0.01%             | 2027-08-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341389388.UL.NBM                      | 341389388.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |         5 | PA      | $5.29         | 0.00%             | 2035-11-20      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341389413.UL.NBM                      | 341389413.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       318 | PA      | $314.50       | 0.00%             | 2026-05-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341497098.UL.NBM                      | 341497098.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       315 | PA      | $310.88       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341497117.UL.NBM                      | 341497117.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1548 | PA      | $1529.65      | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341560624.UL.NBM                      | 341560624.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       185 | PA      | $183.30       | 0.00%             | 2026-05-20      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341560869.UL.NBM                      | 341560869.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       280 | PA      | $266.60       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342810230.UL.NBM                      | 342810230.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3265 | PA      | $3053.47      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342810319.UL.NBM                      | 342810319.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       966 | PA      | $890.65       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341566562.UL.NBM                      | 341566562.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        68 | PA      | $67.47        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341566638.UL.NBM                      | 341566638.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       177 | PA      | $174.87       | 0.00%             | 2026-05-21      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342166749.UL.NBM                      | 342166749.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       235 | PA      | $222.55       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342166794.UL.NBM                      | 342166794.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       390 | PA      | $387.21       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342624484.UL.NBM                      | 342624484.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1009 | PA      | $997.83       | 0.00%             | 2026-07-23      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342625172.UL.NBM                      | 342625172.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1260 | PA      | $1193.14      | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341497129.UL.NBM                      | 341497129.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        93 | PA      | $92.78        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341497322.UL.NBM                      | 341497322.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1763 | PA      | $1741.86      | 0.00%             | 2026-07-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341561200.UL.NBM                      | 341561200.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        97 | PA      | $96.79        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341561226.UL.NBM                      | 341561226.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1510 | PA      | $1454.65      | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342810492.UL.NBM                      | 342810492.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       797 | PA      | $788.61       | 0.00%             | 2026-07-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342810722.UL.NBM                      | 342810722.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.81        | 0.00%             | 2026-02-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341566816.UL.NBM                      | 341566816.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       451 | PA      | $447.56       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341567061.UL.NBM                      | 341567061.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       388 | PA      | $384.28       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342167383.UL.NBM                      | 342167383.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       237 | PA      | $235.06       | 0.00%             | 2026-05-22      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 342167410.UL.NBM                      | 342167410.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       363 | PA      | $342.08       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10145470.SQ.NBM                       | 10145470.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12900 | PA      | $11871.61     | 0.02%             | 2027-06-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10146233.SQ.NBM                       | 10146233.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2835 | PA      | $2643.72      | 0.00%             | 2027-06-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342625586.UL.NBM                      | 342625586.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       231 | PA      | $230.19       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342627039.UL.NBM                      | 342627039.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1415 | PA      | $1317.27      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341389612.UL.NBM                      | 341389612.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        30 | PA      | $29.48        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341389725.UL.NBM                      | 341389725.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       903 | PA      | $905.67       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341497961.UL.NBM                      | 341497961.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       245 | PA      | $243.13       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341498246.UL.NBM                      | 341498246.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       656 | PA      | $36.80        | 0.00%             | 2035-11-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341561461.UL.NBM                      | 341561461.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       685 | PA      | $643.87       | 0.00%             | 2026-05-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341561950.UL.NBM                      | 341561950.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       157 | PA      | $12.55        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342169096.UL.NBM                      | 342169096.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       934 | PA      | $928.55       | 0.00%             | 2026-07-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342169238.UL.NBM                      | 342169238.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2815 | PA      | $2771.39      | 0.00%             | 2027-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341567371.UL.NBM                      | 341567371.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       147 | PA      | $148.21       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341567421.UL.NBM                      | 341567421.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       326 | PA      | $323.99       | 0.00%             | 2026-05-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342627134.UL.NBM                      | 342627134.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       107 | PA      | $106.37       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342627342.UL.NBM                      | 342627342.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        96 | PA      | $95.18        | 0.00%             | 2026-02-23      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342810799.UL.NBM                      | 342810799.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       280 | PA      | $278.80       | 0.00%             | 2026-02-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342813837.UL.NBM                      | 342813837.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       635 | PA      | $632.00       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341498326.UL.NBM                      | 341498326.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       527 | PA      | $522.27       | 0.00%             | 2026-05-20      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341498413.UL.NBM                      | 341498413.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       943 | PA      | $933.64       | 0.00%             | 2026-07-20      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 341562391.UL.NBM                      | 341562391.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        41 | PA      | $40.91        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341562532.UL.NBM                      | 341562532.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        87 | PA      | $85.91        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342169408.UL.NBM                      | 342169408.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1105 | PA      | $1027.47      | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342170714.UL.NBM                      | 342170714.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1031 | PA      | $1019.23      | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5863001.UP.NBM                     | DRB5863001.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5618 | PA      | $5707.70      | 0.01%             | 2030-08-25      | Fixed         | 30.25%                | Yes           |                  3 | On Loan: No      |
| DRB5863003.UP.NBM                     | DRB5863003.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13746 | PA      | $13712.11     | 0.02%             | 2028-08-25      | Fixed         | 30.85%                | Yes           |                  3 | On Loan: No      |
| 342627853.UL.NBM                      | 342627853.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       100 | PA      | $100.73       | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342627935.UL.NBM                      | 342627935.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        74 | PA      | $73.89        | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342938131.UL.NBM                      | 342938131.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1018 | PA      | $77.91        | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342938183.UL.NBM                      | 342938183.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       377 | PA      | $375.12       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342814077.UL.NBM                      | 342814077.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1914 | PA      | $1785.64      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342814111.UL.NBM                      | 342814111.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       444 | PA      | $440.38       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341563117.UL.NBM                      | 341563117.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       166 | PA      | $164.99       | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341563182.UL.NBM                      | 341563182.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        49 | PA      | $48.80        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5860861.UP.NBM                      | FW5860861.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2005 | PA      | $1906.73      | 0.00%             | 2028-08-22      | Fixed         | 16.19%                | Yes           |                  3 | On Loan: No      |
| FW5860871.UP.NBM                      | FW5860871.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5303 | PA      | $5171.69      | 0.01%             | 2030-08-22      | Fixed         | 24.08%                | Yes           |                  3 | On Loan: No      |
| 342225070.UL.NBM                      | 342225070.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       262 | PA      | $259.24       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342225188.UL.NBM                      | 342225188.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       125 | PA      | $124.61       | 0.00%             | 2026-02-22      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341498420.UL.NBM                      | 341498420.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       368 | PA      | $369.79       | 0.00%             | 2026-05-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341498578.UL.NBM                      | 341498578.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       823 | PA      | $113.72       | 0.00%             | 2035-11-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342730656.UL.NBM                      | 342730656.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       353 | PA      | $349.85       | 0.00%             | 2026-05-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342730797.UL.NBM                      | 342730797.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       123 | PA      | $122.54       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341567450.UL.NBM                      | 341567450.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1549 | PA      | $1536.74      | 0.00%             | 2026-07-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341567451.UL.NBM                      | 341567451.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       830 | PA      | $820.66       | 0.00%             | 2026-07-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342814197.UL.NBM                      | 342814197.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        90 | PA      | $89.70        | 0.00%             | 2026-02-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342819720.UL.NBM                      | 342819720.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1193 | PA      | $1180.24      | 0.00%             | 2026-07-24      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341563251.UL.NBM                      | 341563251.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       289 | PA      | $110.28       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341563281.UL.NBM                      | 341563281.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       700 | PA      | $697.50       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341498829.UL.NBM                      | 341498829.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       182 | PA      | $176.88       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341498902.UL.NBM                      | 341498902.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       398 | PA      | $393.96       | 0.00%             | 2026-05-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341391296.UL.NBM                      | 341391296.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       279 | PA      | $265.13       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341391321.UL.NBM                      | 341391321.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       120 | PA      | $14.58        | 0.00%             | 2035-11-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342730825.UL.NBM                      | 342730825.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       192 | PA      | $191.11       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342730987.UL.NBM                      | 342730987.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       143 | PA      | $141.76       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10146377.SQ.NBM                       | 10146377.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5083 | PA      | $4769.51      | 0.01%             | 2027-06-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10146738.SQ.NBM                       | 10146738.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5404 | PA      | $5072.59      | 0.01%             | 2027-06-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342819821.UL.NBM                      | 342819821.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       177 | PA      | $175.30       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342820091.UL.NBM                      | 342820091.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        98 | PA      | $97.06        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341563298.UL.NBM                      | 341563298.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        66 | PA      | $65.39        | 0.00%             | 2026-02-17      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341575681.UL.NBM                      | 341575681.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        86 | PA      | $85.81        | 0.00%             | 2026-02-21      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341567639.UL.NBM                      | 341567639.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       539 | PA      | $515.10       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341567712.UL.NBM                      | 341567712.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1762 | PA      | $1733.82      | 0.00%             | 2027-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341498981.UL.NBM                      | 341498981.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       264 | PA      | $262.06       | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341549762.UL.NBM                      | 341549762.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       115 | PA      | $114.50       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342225299.UL.NBM                      | 342225299.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       727 | PA      | $718.29       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342227767.UL.NBM                      | 342227767.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        87 | PA      | $86.56        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342732621.UL.NBM                      | 342732621.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       377 | PA      | $375.49       | 0.00%             | 2026-05-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342732869.UL.NBM                      | 342732869.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       291 | PA      | $289.18       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342820273.UL.NBM                      | 342820273.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1813 | PA      | $1793.12      | 0.00%             | 2026-07-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342880622.UL.NBM                      | 342880622.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       849 | PA      | $786.04       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341575982.UL.NBM                      | 341575982.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       258 | PA      | $256.61       | 0.00%             | 2026-07-21      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341576169.UL.NBM                      | 341576169.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        90 | PA      | $89.01        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341567730.UL.NBM                      | 341567730.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       838 | PA      | $830.59       | 0.00%             | 2026-07-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341568393.UL.NBM                      | 341568393.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        96 | PA      | $92.34        | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341550060.UL.NBM                      | 341550060.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3570 | PA      | $3509.10      | 0.00%             | 2027-08-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341550292.UL.NBM                      | 341550292.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       301 | PA      | $100.21       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342229940.UL.NBM                      | 342229940.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       101 | PA      | $100.26       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342230175.UL.NBM                      | 342230175.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       268 | PA      | $265.53       | 0.00%             | 2026-05-22      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342880624.UL.NBM                      | 342880624.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       246 | PA      | $244.64       | 0.00%             | 2026-02-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342880916.UL.NBM                      | 342880916.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       446 | PA      | $424.83       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342732954.UL.NBM                      | 342732954.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1004 | PA      | $981.76       | 0.00%             | 2026-08-01      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 342733175.UL.NBM                      | 342733175.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       350 | PA      | $332.56       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341576316.UL.NBM                      | 341576316.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       386 | PA      | $384.80       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341576490.UL.NBM                      | 341576490.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       393 | PA      | $388.82       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341550508.UL.NBM                      | 341550508.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2596 | PA      | $2554.18      | 0.00%             | 2027-08-20      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 341550615.UL.NBM                      | 341550615.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       649 | PA      | $638.92       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342230506.UL.NBM                      | 342230506.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       189 | PA      | $188.02       | 0.00%             | 2026-05-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342230934.UL.NBM                      | 342230934.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3435 | PA      | $3402.23      | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342881006.UL.NBM                      | 342881006.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       775 | PA      | $712.33       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342882488.UL.NBM                      | 342882488.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       124 | PA      | $123.79       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341391355.UL.NBM                      | 341391355.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       103 | PA      | $14.30        | 0.00%             | 2035-11-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341391442.UL.NBM                      | 341391442.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       194 | PA      | $40.54        | 0.00%             | 2035-11-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341576612.UL.NBM                      | 341576612.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        58 | PA      | $57.87        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341576702.UL.NBM                      | 341576702.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       811 | PA      | $806.49       | 0.00%             | 2026-07-21      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 341550810.UL.NBM                      | 341550810.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1837 | PA      | $1814.66      | 0.00%             | 2026-07-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341550946.UL.NBM                      | 341550946.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       655 | PA      | $272.65       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342231074.UL.NBM                      | 342231074.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1326 | PA      | $1236.94      | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342231418.UL.NBM                      | 342231418.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       380 | PA      | $376.59       | 0.00%             | 2026-05-22      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342884005.UL.NBM                      | 342884005.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       394 | PA      | $392.02       | 0.00%             | 2026-02-24      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342884370.UL.NBM                      | 342884370.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1844 | PA      | $1719.91      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9808548.SQ.NBM                        | 9808548.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5912 | PA      | $5544.58      | 0.01%             | 2027-03-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9808618.SQ.NBM                        | 9808618.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       796 | PA      | $760.30       | 0.00%             | 2027-03-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341550985.UL.NBM                      | 341550985.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       409 | PA      | $390.22       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341589793.UL.NBM                      | 341589793.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       139 | PA      | $138.48       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342231640.UL.NBM                      | 342231640.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       275 | PA      | $272.10       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342231965.UL.NBM                      | 342231965.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       267 | PA      | $265.51       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341575724.UL.NBM                      | 341575724.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1629 | PA      | $1510.19      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341575755.UL.NBM                      | 341575755.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       371 | PA      | $368.31       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341393739.UL.NBM                      | 341393739.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       176 | PA      | $169.24       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341393778.UL.NBM                      | 341393778.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       593 | PA      | $586.93       | 0.00%             | 2026-05-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341589950.UL.NBM                      | 341589950.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       103 | PA      | $102.02       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341590102.UL.NBM                      | 341590102.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       673 | PA      | $38.18        | 0.00%             | 2035-11-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342733819.UL.NBM                      | 342733819.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       506 | PA      | $505.09       | 0.00%             | 2026-02-24      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342739281.UL.NBM                      | 342739281.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       430 | PA      | $423.29       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342289450.UL.NBM                      | 342289450.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       501 | PA      | $465.64       | 0.00%             | 2026-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342289457.UL.NBM                      | 342289457.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       323 | PA      | $108.44       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10230278.SQ.NBM                       | 10230278.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     50995 | PA      | $47100.15     | 0.06%             | 2027-06-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10231782.SQ.NBM                       | 10231782.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14755 | PA      | $13823.76     | 0.02%             | 2027-06-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341576710.UL.NBM                      | 341576710.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1058 | PA      | $1045.31      | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341576726.UL.NBM                      | 341576726.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       323 | PA      | $37.64        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341590167.UL.NBM                      | 341590167.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       752 | PA      | $743.02       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341590245.UL.NBM                      | 341590245.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        96 | PA      | $95.01        | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341393820.UL.NBM                      | 341393820.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       310 | PA      | $306.30       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341393839.UL.NBM                      | 341393839.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       100 | PA      | $99.70        | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342289482.UL.NBM                      | 342289482.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        97 | PA      | $93.86        | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342289695.UL.NBM                      | 342289695.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       225 | PA      | $223.56       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341575934.UL.NBM                      | 341575934.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       134 | PA      | $133.53       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341575950.UL.NBM                      | 341575950.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       988 | PA      | $976.17       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342884910.UL.NBM                      | 342884910.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        40 | PA      | $39.33        | 0.00%             | 2026-02-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342885148.UL.NBM                      | 342885148.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       687 | PA      | $56.66        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5863103.UP.NBM                     | DRB5863103.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4715 | PA      | $4635.42      | 0.01%             | 2030-08-25      | Fixed         | 28.02%                | Yes           |                  3 | On Loan: No      |
| DRB5863131.UP.NBM                     | DRB5863131.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2842 | PA      | $2967.02      | 0.00%             | 2030-08-25      | Fixed         | 32.14%                | Yes           |                  3 | On Loan: No      |
| 341590313.UL.NBM                      | 341590313.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        39 | PA      | $39.20        | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341590821.UL.NBM                      | 341590821.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       267 | PA      | $264.79       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341576727.UL.NBM                      | 341576727.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       974 | PA      | $963.15       | 0.00%             | 2026-07-21      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341576811.UL.NBM                      | 341576811.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       842 | PA      | $831.10       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342304682.UL.NBM                      | 342304682.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       254 | PA      | $251.98       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342305134.UL.NBM                      | 342305134.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       444 | PA      | $441.96       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341578412.UL.NBM                      | 341578412.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1007 | PA      | $995.44       | 0.00%             | 2026-07-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341578429.UL.NBM                      | 341578429.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       230 | PA      | $227.98       | 0.00%             | 2026-05-21      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342739430.UL.NBM                      | 342739430.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $66.50        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342739658.UL.NBM                      | 342739658.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2739 | PA      | $2695.85      | 0.00%             | 2027-08-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342885296.UL.NBM                      | 342885296.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       841 | PA      | $835.81       | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342885624.UL.NBM                      | 342885624.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       500 | PA      | $471.59       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341393950.UL.NBM                      | 341393950.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1336 | PA      | $1236.84      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341394028.UL.NBM                      | 341394028.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       270 | PA      | $269.68       | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341576888.UL.NBM                      | 341576888.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       626 | PA      | $629.11       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341576978.UL.NBM                      | 341576978.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       271 | PA      | $59.10        | 0.00%             | 2035-11-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9809412.SQ.NBM                        | 9809412.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1584 | PA      | $1534.44      | 0.00%             | 2027-03-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9809444.SQ.NBM                        | 9809444.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1275 | PA      | $1045.20      | 0.00%             | 2027-03-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10232099.SQ.NBM                       | 10232099.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     23989 | PA      | $21818.88     | 0.03%             | 2027-06-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10232686.SQ.NBM                       | 10232686.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       931 | PA      | $859.35       | 0.00%             | 2027-06-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342740060.UL.NBM                      | 342740060.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        52 | PA      | $51.83        | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342746702.UL.NBM                      | 342746702.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1543 | PA      | $1437.30      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342885827.UL.NBM                      | 342885827.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        86 | PA      | $85.19        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342886041.UL.NBM                      | 342886041.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2404 | PA      | $2376.81      | 0.00%             | 2027-02-24      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341394053.UL.NBM                      | 341394053.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       174 | PA      | $172.62       | 0.00%             | 2026-02-20      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341394096.UL.NBM                      | 341394096.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       991 | PA      | $163.50       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341576997.UL.NBM                      | 341576997.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       392 | PA      | $387.75       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341577080.UL.NBM                      | 341577080.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       828 | PA      | $817.92       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341578434.UL.NBM                      | 341578434.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       818 | PA      | $752.92       | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341578496.UL.NBM                      | 341578496.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       627 | PA      | $599.55       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342305175.UL.NBM                      | 342305175.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       464 | PA      | $442.30       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342305238.UL.NBM                      | 342305238.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       433 | PA      | $430.77       | 0.00%             | 2026-05-23      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342829069.UL.NBM                      | 342829069.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        86 | PA      | $82.65        | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342829072.UL.NBM                      | 342829072.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       278 | PA      | $263.35       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341579418.UL.NBM                      | 341579418.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       801 | PA      | $791.21       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341579465.UL.NBM                      | 341579465.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       230 | PA      | $227.52       | 0.00%             | 2026-05-21      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342886104.UL.NBM                      | 342886104.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       130 | PA      | $129.35       | 0.00%             | 2026-02-24      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 342886262.UL.NBM                      | 342886262.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       267 | PA      | $264.39       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341590850.UL.NBM                      | 341590850.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       186 | PA      | $184.29       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341590856.UL.NBM                      | 341590856.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        73 | PA      | $72.08        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342829090.UL.NBM                      | 342829090.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       861 | PA      | $824.01       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342829451.UL.NBM                      | 342829451.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       129 | PA      | $124.16       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343168819.UL.NBM                      | 343168819.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1422 | PA      | $1414.46      | 0.00%             | 2026-07-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343168960.UL.NBM                      | 343168960.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       690 | PA      | $640.60       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341394197.UL.NBM                      | 341394197.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1036 | PA      | $971.34       | 0.00%             | 2026-05-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341394223.UL.NBM                      | 341394223.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       886 | PA      | $880.12       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342976951.UL.NBM                      | 342976951.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       218 | PA      | $217.35       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342977077.UL.NBM                      | 342977077.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       209 | PA      | $42.63        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10242050.SQ.NBM                       | 10242050.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     66178 | PA      | $61325.07     | 0.08%             | 2027-06-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10249922.SQ.NBM                       | 10249922.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3311 | PA      | $3018.17      | 0.00%             | 2027-06-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342886397.UL.NBM                      | 342886397.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1169 | PA      | $1156.61      | 0.00%             | 2026-07-24      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 342886406.UL.NBM                      | 342886406.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       470 | PA      | $465.91       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341590863.UL.NBM                      | 341590863.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       628 | PA      | $621.61       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341590887.UL.NBM                      | 341590887.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       519 | PA      | $513.61       | 0.00%             | 2026-05-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343169029.UL.NBM                      | 343169029.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       375 | PA      | $355.74       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343184318.UL.NBM                      | 343184318.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       500 | PA      | $497.61       | 0.00%             | 2026-02-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342837857.UL.NBM                      | 342837857.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       113 | PA      | $108.72       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342837930.UL.NBM                      | 342837930.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       111 | PA      | $110.91       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341394296.UL.NBM                      | 341394296.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       171 | PA      | $172.42       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341394593.UL.NBM                      | 341394593.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       266 | PA      | $263.45       | 0.00%             | 2026-05-20      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342886570.UL.NBM                      | 342886570.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       506 | PA      | $29.72        | 0.00%             | 2035-11-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342886936.UL.NBM                      | 342886936.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        69 | PA      | $68.68        | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341579482.UL.NBM                      | 341579482.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        83 | PA      | $82.37        | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341579610.UL.NBM                      | 341579610.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       311 | PA      | $295.78       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9809483.SQ.NBM                        | 9809483.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2219 | PA      | $2114.11      | 0.00%             | 2027-03-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9809515.SQ.NBM                        | 9809515.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2237 | PA      | $2102.09      | 0.00%             | 2027-03-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341590943.UL.NBM                      | 341590943.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       218 | PA      | $217.62       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341590953.UL.NBM                      | 341590953.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        89 | PA      | $88.54        | 0.00%             | 2026-02-21      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342977428.UL.NBM                      | 342977428.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       101 | PA      | $100.44       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342977511.UL.NBM                      | 342977511.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        44 | PA      | $7.05         | 0.00%             | 2035-11-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341394678.UL.NBM                      | 341394678.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       148 | PA      | $146.74       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341394698.UL.NBM                      | 341394698.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       518 | PA      | $514.63       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342887056.UL.NBM                      | 342887056.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       233 | PA      | $231.23       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342887188.UL.NBM                      | 342887188.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        78 | PA      | $77.77        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341579627.UL.NBM                      | 341579627.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       852 | PA      | $838.45       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341579895.UL.NBM                      | 341579895.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       355 | PA      | $352.67       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341591032.UL.NBM                      | 341591032.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1113 | PA      | $63.19        | 0.00%             | 2035-11-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341591087.UL.NBM                      | 341591087.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        50 | PA      | $49.88        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342838178.UL.NBM                      | 342838178.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       253 | PA      | $250.56       | 0.00%             | 2026-05-24      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 342838388.UL.NBM                      | 342838388.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        90 | PA      | $89.53        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9809543.SQ.NBM                        | 9809543.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4458 | PA      | $3921.10      | 0.01%             | 2027-03-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9812276.SQ.NBM                        | 9812276.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2651 | PA      | $2528.62      | 0.00%             | 2027-03-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343184387.UL.NBM                      | 343184387.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       532 | PA      | $535.34       | 0.00%             | 2026-05-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343184411.UL.NBM                      | 343184411.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       105 | PA      | $104.65       | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341580029.UL.NBM                      | 341580029.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        94 | PA      | $93.22        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341580038.UL.NBM                      | 341580038.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       267 | PA      | $264.24       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341591092.UL.NBM                      | 341591092.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       211 | PA      | $208.94       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341591143.UL.NBM                      | 341591143.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       167 | PA      | $166.19       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342887349.UL.NBM                      | 342887349.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1996 | PA      | $1892.82      | 0.00%             | 2026-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342887433.UL.NBM                      | 342887433.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       214 | PA      | $213.76       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342922378.UL.NBM                      | 342922378.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       334 | PA      | $330.44       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342922424.UL.NBM                      | 342922424.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1847 | PA      | $1820.10      | 0.00%             | 2027-08-25      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341402319.UL.NBM                      | 341402319.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       342 | PA      | $338.49       | 0.00%             | 2026-05-20      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341402366.UL.NBM                      | 341402366.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       197 | PA      | $186.35       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5863147.UP.NBM                     | DRB5863147.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1553 | PA      | $1604.27      | 0.00%             | 2030-08-25      | Fixed         | 31.15%                | Yes           |                  3 | On Loan: No      |
| DRB5863208.UP.NBM                     | DRB5863208.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1656 | PA      | $1548.53      | 0.00%             | 2030-08-25      | Fixed         | 24.59%                | Yes           |                  3 | On Loan: No      |
| 341591437.UL.NBM                      | 341591437.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3570 | PA      | $3515.60      | 0.00%             | 2027-08-21      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341591442.UL.NBM                      | 341591442.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       554 | PA      | $42.23        | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342922458.UL.NBM                      | 342922458.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       555 | PA      | $32.99        | 0.00%             | 2035-11-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342922465.UL.NBM                      | 342922465.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1239 | PA      | $1225.22      | 0.00%             | 2026-07-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341402411.UL.NBM                      | 341402411.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1081 | PA      | $1003.18      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341402751.UL.NBM                      | 341402751.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        77 | PA      | $76.15        | 0.00%             | 2026-02-20      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343184433.UL.NBM                      | 343184433.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       281 | PA      | $279.76       | 0.00%             | 2026-02-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343184435.UL.NBM                      | 343184435.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       433 | PA      | $414.52       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341580041.UL.NBM                      | 341580041.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       537 | PA      | $533.62       | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341580081.UL.NBM                      | 341580081.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1522 | PA      | $1498.46      | 0.00%             | 2027-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341591704.UL.NBM                      | 341591704.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        86 | PA      | $85.11        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341591816.UL.NBM                      | 341591816.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1030 | PA      | $203.03       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9843214.SQ.NBM                        | 9843214.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       846 | PA      | $827.19       | 0.00%             | 2027-03-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9843313.SQ.NBM                        | 9843313.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       556 | PA      | $436.60       | 0.00%             | 2027-03-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5863232.UP.NBM                     | DRB5863232.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16431 | PA      | $16323.06     | 0.02%             | 2028-08-25      | Fixed         | 30.43%                | Yes           |                  3 | On Loan: No      |
| DRB5863335.UP.NBM                     | DRB5863335.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4271 | PA      | $4413.04      | 0.01%             | 2030-08-25      | Fixed         | 31.17%                | Yes           |                  3 | On Loan: No      |
| 342977542.UL.NBM                      | 342977542.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       828 | PA      | $821.53       | 0.00%             | 2026-07-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342977681.UL.NBM                      | 342977681.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       730 | PA      | $689.46       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342922466.UL.NBM                      | 342922466.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1715 | PA      | $1590.11      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342923066.UL.NBM                      | 342923066.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       216 | PA      | $203.64       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341403020.UL.NBM                      | 341403020.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        81 | PA      | $80.14        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341403395.UL.NBM                      | 341403395.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       299 | PA      | $284.38       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341591842.UL.NBM                      | 341591842.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       261 | PA      | $258.06       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341591928.UL.NBM                      | 341591928.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       260 | PA      | $256.99       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341580227.UL.NBM                      | 341580227.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       125 | PA      | $124.19       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341580245.UL.NBM                      | 341580245.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        52 | PA      | $52.80        | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9843314.SQ.NBM                        | 9843314.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3515 | PA      | $3318.66      | 0.00%             | 2027-03-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9843478.SQ.NBM                        | 9843478.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3226 | PA      | $3076.17      | 0.00%             | 2027-03-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343184503.UL.NBM                      | 343184503.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3808 | PA      | $3746.67      | 0.01%             | 2027-08-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343184553.UL.NBM                      | 343184553.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       134 | PA      | $133.16       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342923171.UL.NBM                      | 342923171.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       634 | PA      | $605.32       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342923201.UL.NBM                      | 342923201.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       347 | PA      | $343.36       | 0.00%             | 2026-07-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| DRB5863365.UP.NBM                     | DRB5863365.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2229 | PA      | $2230.86      | 0.00%             | 2030-08-25      | Fixed         | 29.07%                | Yes           |                  3 | On Loan: No      |
| DRB5863372.UP.NBM                     | DRB5863372.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1592 | PA      | $1586.23      | 0.00%             | 2030-08-25      | Fixed         | 29.18%                | Yes           |                  3 | On Loan: No      |
| 341312715.UL.NBM                      | 341312715.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       394 | PA      | $392.19       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341313979.UL.NBM                      | 341313979.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       737 | PA      | $727.51       | 0.00%             | 2026-07-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341580313.UL.NBM                      | 341580313.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       148 | PA      | $143.83       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341580503.UL.NBM                      | 341580503.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1611 | PA      | $532.40       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341403418.UL.NBM                      | 341403418.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       159 | PA      | $153.28       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341403475.UL.NBM                      | 341403475.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       228 | PA      | $225.63       | 0.00%             | 2026-05-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342923330.UL.NBM                      | 342923330.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       465 | PA      | $460.74       | 0.00%             | 2026-05-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342923344.UL.NBM                      | 342923344.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2526 | PA      | $2490.01      | 0.00%             | 2027-08-25      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 343184575.UL.NBM                      | 343184575.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       306 | PA      | $303.06       | 0.00%             | 2026-05-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343184652.UL.NBM                      | 343184652.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       269 | PA      | $267.10       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341591936.UL.NBM                      | 341591936.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       288 | PA      | $284.93       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341591950.UL.NBM                      | 341591950.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       259 | PA      | $257.47       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9843647.SQ.NBM                        | 9843647.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5874 | PA      | $4789.52      | 0.01%             | 2027-03-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9843896.SQ.NBM                        | 9843896.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4505 | PA      | $4305.01      | 0.01%             | 2027-03-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341580534.UL.NBM                      | 341580534.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       766 | PA      | $761.17       | 0.00%             | 2026-07-21      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341580535.UL.NBM                      | 341580535.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1083 | PA      | $1069.30      | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342977723.UL.NBM                      | 342977723.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       107 | PA      | $106.34       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342978059.UL.NBM                      | 342978059.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       134 | PA      | $127.58       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342923356.UL.NBM                      | 342923356.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       184 | PA      | $183.45       | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342923406.UL.NBM                      | 342923406.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       295 | PA      | $279.87       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343184698.UL.NBM                      | 343184698.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        38 | PA      | $38.21        | 0.00%             | 2026-02-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343184894.UL.NBM                      | 343184894.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       754 | PA      | $746.14       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341591968.UL.NBM                      | 341591968.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2983 | PA      | $2948.25      | 0.00%             | 2026-07-21      | Fixed         | 25.99%                | Yes           |                  3 | On Loan: No      |
| 341592113.UL.NBM                      | 341592113.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       684 | PA      | $676.12       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9844001.SQ.NBM                        | 9844001.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3226 | PA      | $3081.60      | 0.00%             | 2027-03-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9844052.SQ.NBM                        | 9844052.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2049 | PA      | $1810.83      | 0.00%             | 2027-03-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341580716.UL.NBM                      | 341580716.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1010 | PA      | $998.46       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341581065.UL.NBM                      | 341581065.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       234 | PA      | $231.36       | 0.00%             | 2026-05-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341403624.UL.NBM                      | 341403624.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        80 | PA      | $79.59        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341403704.UL.NBM                      | 341403704.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        66 | PA      | $65.51        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342923510.UL.NBM                      | 342923510.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1251 | PA      | $1156.85      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342923680.UL.NBM                      | 342923680.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       784 | PA      | $754.98       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341592144.UL.NBM                      | 341592144.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        10 | PA      | $9.83         | 0.00%             | 2035-11-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341592223.UL.NBM                      | 341592223.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       245 | PA      | $242.13       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9844081.SQ.NBM                        | 9844081.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6924 | PA      | $6648.14      | 0.01%             | 2027-03-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9844337.SQ.NBM                        | 9844337.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3963 | PA      | $3537.95      | 0.00%             | 2027-03-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341581081.UL.NBM                      | 341581081.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       826 | PA      | $760.05       | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341581141.UL.NBM                      | 341581141.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       345 | PA      | $340.48       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341403744.UL.NBM                      | 341403744.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       488 | PA      | $484.99       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341403751.UL.NBM                      | 341403751.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       206 | PA      | $204.12       | 0.00%             | 2026-05-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343184948.UL.NBM                      | 343184948.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       383 | PA      | $365.13       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343185175.UL.NBM                      | 343185175.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1118 | PA      | $1105.00      | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341592237.UL.NBM                      | 341592237.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       188 | PA      | $186.59       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341592276.UL.NBM                      | 341592276.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       891 | PA      | $881.12       | 0.00%             | 2026-07-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 340811465.UL.NBM                      | 340811465.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       240 | PA      | $238.14       | 0.00%             | 2026-02-17      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 340817235.UL.NBM                      | 340817235.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       679 | PA      | $673.90       | 0.00%             | 2026-02-17      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342978736.UL.NBM                      | 342978736.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        40 | PA      | $39.76        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342978739.UL.NBM                      | 342978739.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1044 | PA      | $1031.97      | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341581191.UL.NBM                      | 341581191.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1574 | PA      | $1550.62      | 0.00%             | 2027-02-21      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341581347.UL.NBM                      | 341581347.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        78 | PA      | $77.87        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341403848.UL.NBM                      | 341403848.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       276 | PA      | $272.88       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341403855.UL.NBM                      | 341403855.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       112 | PA      | $111.23       | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341592319.UL.NBM                      | 341592319.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       181 | PA      | $178.73       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341755335.UL.NBM                      | 341755335.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2336 | PA      | $2315.11      | 0.00%             | 2026-05-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343185219.UL.NBM                      | 343185219.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       682 | PA      | $674.81       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343185258.UL.NBM                      | 343185258.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        69 | PA      | $69.09        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10250135.SQ.NBM                       | 10250135.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3694 | PA      | $3363.44      | 0.00%             | 2027-06-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10250215.SQ.NBM                       | 10250215.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13234 | PA      | $12060.00     | 0.02%             | 2027-06-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9844404.SQ.NBM                        | 9844404.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1287 | PA      | $1200.52      | 0.00%             | 2027-03-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9844439.SQ.NBM                        | 9844439.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3119 | PA      | $2878.09      | 0.00%             | 2027-03-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341581385.UL.NBM                      | 341581385.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       339 | PA      | $337.20       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341581421.UL.NBM                      | 341581421.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       300 | PA      | $44.88        | 0.00%             | 2035-11-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342923692.UL.NBM                      | 342923692.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       935 | PA      | $924.20       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342923712.UL.NBM                      | 342923712.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        28 | PA      | $27.73        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341756552.UL.NBM                      | 341756552.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       503 | PA      | $464.52       | 0.00%             | 2026-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341756649.UL.NBM                      | 341756649.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       120 | PA      | $119.01       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343185324.UL.NBM                      | 343185324.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2552 | PA      | $2512.29      | 0.00%             | 2027-08-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343185330.UL.NBM                      | 343185330.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        74 | PA      | $74.13        | 0.00%             | 2026-02-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341403936.UL.NBM                      | 341403936.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       574 | PA      | $548.67       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341404031.UL.NBM                      | 341404031.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       202 | PA      | $67.13        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342887498.UL.NBM                      | 342887498.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       257 | PA      | $254.77       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342888004.UL.NBM                      | 342888004.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1189 | PA      | $1110.41      | 0.00%             | 2026-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9844497.SQ.NBM                        | 9844497.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3521 | PA      | $3146.79      | 0.00%             | 2027-03-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9844561.SQ.NBM                        | 9844561.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4023 | PA      | $3788.34      | 0.01%             | 2027-03-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5863511.UP.NBM                     | DRB5863511.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5906 | PA      | $5871.10      | 0.01%             | 2030-08-25      | Fixed         | 28.20%                | Yes           |                  3 | On Loan: No      |
| DRB5863729.UP.NBM                     | DRB5863729.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4177 | PA      | $4149.02      | 0.01%             | 2028-08-25      | Fixed         | 30.41%                | Yes           |                  3 | On Loan: No      |
| 341756809.UL.NBM                      | 341756809.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       188 | PA      | $176.76       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341756881.UL.NBM                      | 341756881.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       274 | PA      | $273.23       | 0.00%             | 2026-05-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343185345.UL.NBM                      | 343185345.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        69 | PA      | $68.76        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343185408.UL.NBM                      | 343185408.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       177 | PA      | $176.65       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341404135.UL.NBM                      | 341404135.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       262 | PA      | $259.54       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341404266.UL.NBM                      | 341404266.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        63 | PA      | $62.31        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342923755.UL.NBM                      | 342923755.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        92 | PA      | $91.31        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342924095.UL.NBM                      | 342924095.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        90 | PA      | $89.79        | 0.00%             | 2026-02-25      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 9844728.SQ.NBM                        | 9844728.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7691 | PA      | $7277.15      | 0.01%             | 2027-03-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9844947.SQ.NBM                        | 9844947.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5189 | PA      | $3740.76      | 0.01%             | 2027-03-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341757097.UL.NBM                      | 341757097.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       142 | PA      | $142.49       | 0.00%             | 2026-02-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341757782.UL.NBM                      | 341757782.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       110 | PA      | $108.84       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343185431.UL.NBM                      | 343185431.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       177 | PA      | $166.42       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343185534.UL.NBM                      | 343185534.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        65 | PA      | $65.08        | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341593295.UL.NBM                      | 341593295.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       262 | PA      | $259.34       | 0.00%             | 2026-05-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341593429.UL.NBM                      | 341593429.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       404 | PA      | $400.26       | 0.00%             | 2026-05-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 10208190.SQ.NBM                       | 10208190.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3700 | PA      | $3388.02      | 0.00%             | 2027-06-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10209284.SQ.NBM                       | 10209284.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     36656 | PA      | $34123.91     | 0.05%             | 2027-06-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5863758.UP.NBM                     | DRB5863758.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1358 | PA      | $1380.94      | 0.00%             | 2030-08-25      | Fixed         | 30.12%                | Yes           |                  3 | On Loan: No      |
| DRB5863773.UP.NBM                     | DRB5863773.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       969 | PA      | $966.86       | 0.00%             | 2030-08-25      | Fixed         | 28.87%                | Yes           |                  3 | On Loan: No      |
| 342924096.UL.NBM                      | 342924096.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       103 | PA      | $102.76       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342924124.UL.NBM                      | 342924124.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       521 | PA      | $516.37       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341404285.UL.NBM                      | 341404285.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        73 | PA      | $72.21        | 0.00%             | 2026-02-20      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341404449.UL.NBM                      | 341404449.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       442 | PA      | $437.24       | 0.00%             | 2026-05-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342888022.UL.NBM                      | 342888022.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       270 | PA      | $267.57       | 0.00%             | 2026-05-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342888111.UL.NBM                      | 342888111.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       201 | PA      | $200.44       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9845078.SQ.NBM                        | 9845078.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14150 | PA      | $13264.42     | 0.02%             | 2027-03-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9845344.SQ.NBM                        | 9845344.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1850 | PA      | $1751.52      | 0.00%             | 2027-03-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343185565.UL.NBM                      | 343185565.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       376 | PA      | $374.56       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343185590.UL.NBM                      | 343185590.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       152 | PA      | $151.21       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341593433.UL.NBM                      | 341593433.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        54 | PA      | $53.73        | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341593476.UL.NBM                      | 341593476.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       291 | PA      | $287.60       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5863939.UP.NBM                     | DRB5863939.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3918 | PA      | $4013.48      | 0.01%             | 2030-08-25      | Fixed         | 30.34%                | Yes           |                  3 | On Loan: No      |
| DRB5864064.UP.NBM                     | DRB5864064.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3678 | PA      | $3570.35      | 0.00%             | 2028-08-25      | Fixed         | 22.82%                | Yes           |                  3 | On Loan: No      |
| 342924157.UL.NBM                      | 342924157.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1663 | PA      | $1644.14      | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342924166.UL.NBM                      | 342924166.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       157 | PA      | $156.54       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341405884.UL.NBM                      | 341405884.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       304 | PA      | $300.82       | 0.00%             | 2026-05-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341406646.UL.NBM                      | 341406646.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       543 | PA      | $537.64       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341758060.UL.NBM                      | 341758060.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        76 | PA      | $75.38        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341760681.UL.NBM                      | 341760681.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       104 | PA      | $103.02       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343185591.UL.NBM                      | 343185591.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1493 | PA      | $1479.84      | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5865312.UP.NBM                       | L5865312.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10762 | PA      | $10147.22     | 0.01%             | 2030-08-25      | Fixed         | 25.31%                | Yes           |                  3 | On Loan: No      |
| 342888183.UL.NBM                      | 342888183.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       452 | PA      | $449.72       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342915036.UL.NBM                      | 342915036.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1031 | PA      | $345.57       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9845383.SQ.NBM                        | 9845383.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2226 | PA      | $2142.33      | 0.00%             | 2027-03-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9848052.SQ.NBM                        | 9848052.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8361 | PA      | $5616.30      | 0.01%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342924233.UL.NBM                      | 342924233.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       141 | PA      | $140.14       | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342924275.UL.NBM                      | 342924275.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       382 | PA      | $378.87       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341593617.UL.NBM                      | 341593617.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       422 | PA      | $417.67       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341593628.UL.NBM                      | 341593628.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       288 | PA      | $285.18       | 0.00%             | 2026-05-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341760690.UL.NBM                      | 341760690.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       364 | PA      | $360.79       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341760792.UL.NBM                      | 341760792.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       187 | PA      | $186.37       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5865315.UP.NBM                       | L5865315.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3479 | PA      | $3337.39      | 0.00%             | 2030-08-25      | Fixed         | 26.29%                | Yes           |                  3 | On Loan: No      |
| L5865332.UP.NBM                       | L5865332.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1534 | PA      | $1441.79      | 0.00%             | 2030-08-25      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341406780.UL.NBM                      | 341406780.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       791 | PA      | $781.75       | 0.00%             | 2026-07-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341406867.UL.NBM                      | 341406867.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       264 | PA      | $261.47       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342915762.UL.NBM                      | 342915762.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       990 | PA      | $918.08       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342916656.UL.NBM                      | 342916656.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       440 | PA      | $435.09       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342924405.UL.NBM                      | 342924405.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        74 | PA      | $73.42        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342924494.UL.NBM                      | 342924494.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       196 | PA      | $43.93        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5864158.UP.NBM                     | DRB5864158.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6586 | PA      | $6552.35      | 0.01%             | 2030-08-25      | Fixed         | 28.66%                | Yes           |                  3 | On Loan: No      |
| DRB5864719.UP.NBM                     | DRB5864719.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1955 | PA      | $1983.35      | 0.00%             | 2030-08-25      | Fixed         | 30.29%                | Yes           |                  3 | On Loan: No      |
| 341760802.UL.NBM                      | 341760802.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1326 | PA      | $1233.77      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341760983.UL.NBM                      | 341760983.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       218 | PA      | $215.26       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5865334.UP.NBM                       | L5865334.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       902 | PA      | $915.71       | 0.00%             | 2028-08-25      | Fixed         | 19.11%                | Yes           |                  3 | On Loan: No      |
| L5865372.UP.NBM                       | L5865372.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     27314 | PA      | $25800.51     | 0.04%             | 2028-08-25      | Fixed         | 15.51%                | Yes           |                  3 | On Loan: No      |
| 341408757.UL.NBM                      | 341408757.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        90 | PA      | $86.50        | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341408940.UL.NBM                      | 341408940.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       765 | PA      | $755.07       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342916774.UL.NBM                      | 342916774.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       794 | PA      | $734.05       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342917922.UL.NBM                      | 342917922.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       394 | PA      | $390.82       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342924729.UL.NBM                      | 342924729.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       808 | PA      | $803.28       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342924768.UL.NBM                      | 342924768.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2215 | PA      | $2189.60      | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341761578.UL.NBM                      | 341761578.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       302 | PA      | $298.54       | 0.00%             | 2026-07-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342209736.UL.NBM                      | 342209736.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        45 | PA      | $44.63        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5864767.UP.NBM                     | DRB5864767.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4042 | PA      | $917.05       | 0.00%             | 2030-08-25      | Fixed         | 31.60%                | Yes           |                  3 | On Loan: No      |
| DRB5864863.UP.NBM                     | DRB5864863.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3163 | PA      | $3334.92      | 0.00%             | 2030-08-25      | Fixed         | 31.95%                | Yes           |                  3 | On Loan: No      |
| L5865400.UP.NBM                       | L5865400.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2863 | PA      | $2834.84      | 0.00%             | 2030-08-25      | Fixed         | 17.76%                | Yes           |                  3 | On Loan: No      |
| L5865425.UP.NBM                       | L5865425.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9820 | PA      | $9374.94      | 0.01%             | 2030-08-25      | Fixed         | 22.67%                | Yes           |                  3 | On Loan: No      |
| 341593634.UL.NBM                      | 341593634.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        79 | PA      | $78.13        | 0.00%             | 2026-02-21      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341593649.UL.NBM                      | 341593649.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       193 | PA      | $191.69       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342924811.UL.NBM                      | 342924811.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       425 | PA      | $420.93       | 0.00%             | 2026-05-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342924820.UL.NBM                      | 342924820.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       552 | PA      | $548.88       | 0.00%             | 2026-05-30      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5874710.UP.NBM                       | L5874710.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11310 | PA      | $10589.96     | 0.01%             | 2030-08-26      | Fixed         | 18.74%                | Yes           |                  3 | On Loan: No      |
| L5874719.UP.NBM                       | L5874719.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10545 | PA      | $9895.92      | 0.01%             | 2030-08-26      | Fixed         | 18.88%                | Yes           |                  3 | On Loan: No      |
| 341409159.UL.NBM                      | 341409159.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       998 | PA      | $920.60       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341409171.UL.NBM                      | 341409171.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        93 | PA      | $92.78        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342924863.UL.NBM                      | 342924863.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       333 | PA      | $329.65       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342924870.UL.NBM                      | 342924870.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       629 | PA      | $623.29       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| DRB5864936.UP.NBM                     | DRB5864936.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1351 | PA      | $1396.56      | 0.00%             | 2030-08-25      | Fixed         | 31.36%                | Yes           |                  3 | On Loan: No      |
| DRB5865109.UP.NBM                     | DRB5865109.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1260 | PA      | $1260.94      | 0.00%             | 2030-08-25      | Fixed         | 29.07%                | Yes           |                  3 | On Loan: No      |
| 341593671.UL.NBM                      | 341593671.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       122 | PA      | $121.56       | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341593715.UL.NBM                      | 341593715.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       567 | PA      | $561.49       | 0.00%             | 2026-05-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342917957.UL.NBM                      | 342917957.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       816 | PA      | $750.36       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342918110.UL.NBM                      | 342918110.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       276 | PA      | $273.36       | 0.00%             | 2026-05-24      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| L5874742.UP.NBM                       | L5874742.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5448 | PA      | $5276.73      | 0.01%             | 2030-08-26      | Fixed         | 16.34%                | Yes           |                  3 | On Loan: No      |
| L5874749.UP.NBM                       | L5874749.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       969 | PA      | $938.05       | 0.00%             | 2030-09-01      | Fixed         | 16.44%                | Yes           |                  3 | On Loan: No      |
| 342210353.UL.NBM                      | 342210353.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        35 | PA      | $4.12         | 0.00%             | 2035-11-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342210741.UL.NBM                      | 342210741.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       303 | PA      | $300.78       | 0.00%             | 2026-02-22      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342924897.UL.NBM                      | 342924897.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1022 | PA      | $1010.84      | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342924953.UL.NBM                      | 342924953.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       311 | PA      | $295.81       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5865123.UP.NBM                     | DRB5865123.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2227 | PA      | $2201.43      | 0.00%             | 2030-08-25      | Fixed         | 17.49%                | Yes           |                  3 | On Loan: No      |
| DRB5865165.UP.NBM                     | DRB5865165.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4215 | PA      | $4172.88      | 0.01%             | 2030-08-25      | Fixed         | 22.40%                | Yes           |                  3 | On Loan: No      |
| 341409295.UL.NBM                      | 341409295.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        97 | PA      | $96.07        | 0.00%             | 2026-02-20      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 341409305.UL.NBM                      | 341409305.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       171 | PA      | $169.53       | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342918443.UL.NBM                      | 342918443.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       142 | PA      | $134.91       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342918667.UL.NBM                      | 342918667.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       856 | PA      | $851.91       | 0.00%             | 2026-02-24      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342210785.UL.NBM                      | 342210785.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       171 | PA      | $169.64       | 0.00%             | 2026-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342210837.UL.NBM                      | 342210837.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        40 | PA      | $40.15        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5874765.UP.NBM                       | L5874765.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1433 | PA      | $1384.19      | 0.00%             | 2030-08-26      | Fixed         | 16.16%                | Yes           |                  3 | On Loan: No      |
| L5874775.UP.NBM                       | L5874775.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2212 | PA      | $2084.45      | 0.00%             | 2030-08-26      | Fixed         | 21.83%                | Yes           |                  3 | On Loan: No      |
| 342924977.UL.NBM                      | 342924977.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       277 | PA      | $262.58       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342925115.UL.NBM                      | 342925115.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       304 | PA      | $284.17       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5866809.UP.NBM                     | DRB5866809.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5109 | PA      | $5110.56      | 0.01%             | 2030-08-25      | Fixed         | 29.16%                | Yes           |                  3 | On Loan: No      |
| DRB5866828.UP.NBM                     | DRB5866828.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3810 | PA      | $3791.51      | 0.01%             | 2030-08-25      | Fixed         | 28.49%                | Yes           |                  3 | On Loan: No      |
| 341409388.UL.NBM                      | 341409388.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       281 | PA      | $277.94       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341409447.UL.NBM                      | 341409447.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        35 | PA      | $34.84        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342210933.UL.NBM                      | 342210933.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       816 | PA      | $805.92       | 0.00%             | 2026-07-22      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342211125.UL.NBM                      | 342211125.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        91 | PA      | $91.01        | 0.00%             | 2026-02-22      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342918702.UL.NBM                      | 342918702.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       347 | PA      | $329.98       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342919125.UL.NBM                      | 342919125.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1446 | PA      | $1431.18      | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342925204.UL.NBM                      | 342925204.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1201 | PA      | $1124.49      | 0.00%             | 2026-08-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342925235.UL.NBM                      | 342925235.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       460 | PA      | $457.70       | 0.00%             | 2026-02-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| DRB5866852.UP.NBM                     | DRB5866852.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1841 | PA      | $1846.46      | 0.00%             | 2030-08-25      | Fixed         | 29.19%                | Yes           |                  3 | On Loan: No      |
| DRB5866856.UP.NBM                     | DRB5866856.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1963 | PA      | $423.70       | 0.00%             | 2030-08-25      | Fixed         | 22.47%                | Yes           |                  3 | On Loan: No      |
| 341593940.UL.NBM                      | 341593940.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       118 | PA      | $117.69       | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341594353.UL.NBM                      | 341594353.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       246 | PA      | $244.18       | 0.00%             | 2026-05-21      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342211156.UL.NBM                      | 342211156.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       819 | PA      | $755.68       | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342211932.UL.NBM                      | 342211932.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7448 | PA      | $7326.68      | 0.01%             | 2027-08-22      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341452273.UL.NBM                      | 341452273.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       226 | PA      | $224.81       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341452280.UL.NBM                      | 341452280.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       488 | PA      | $489.94       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342925347.UL.NBM                      | 342925347.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        85 | PA      | $84.32        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342925570.UL.NBM                      | 342925570.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       206 | PA      | $204.69       | 0.00%             | 2026-07-25      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 9856784.SQ.NBM                        | 9856784.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1124 | PA      | $1042.32      | 0.00%             | 2027-03-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9856792.SQ.NBM                        | 9856792.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17958 | PA      | $15049.02     | 0.02%             | 2027-03-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5866877.UP.NBM                     | DRB5866877.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1165 | PA      | $1203.58      | 0.00%             | 2030-08-25      | Fixed         | 31.17%                | Yes           |                  3 | On Loan: No      |
| DRB5866910.UP.NBM                     | DRB5866910.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9548 | PA      | $9410.29      | 0.01%             | 2028-08-25      | Fixed         | 29.98%                | Yes           |                  3 | On Loan: No      |
| 341594401.UL.NBM                      | 341594401.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       134 | PA      | $132.73       | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341594405.UL.NBM                      | 341594405.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        62 | PA      | $62.07        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9744420.SQ.NBM                        | 9744420.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     28379 | PA      | $26879.55     | 0.04%             | 2027-03-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9745655.SQ.NBM                        | 9745655.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3810 | PA      | $3663.09      | 0.01%             | 2027-03-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342925663.UL.NBM                      | 342925663.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       767 | PA      | $770.40       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342925666.UL.NBM                      | 342925666.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1224 | PA      | $1209.64      | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5866920.UP.NBM                     | DRB5866920.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4770 | PA      | $4833.05      | 0.01%             | 2030-08-25      | Fixed         | 19.17%                | Yes           |                  3 | On Loan: No      |
| DRB5866935.UP.NBM                     | DRB5866935.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4537 | PA      | $4414.58      | 0.01%             | 2028-08-25      | Fixed         | 28.34%                | Yes           |                  3 | On Loan: No      |
| 341452442.UL.NBM                      | 341452442.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1294 | PA      | $1278.81      | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341452617.UL.NBM                      | 341452617.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        45 | PA      | $44.77        | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| L5874864.UP.NBM                       | L5874864.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10961 | PA      | $10273.09     | 0.01%             | 2030-08-26      | Fixed         | 21.50%                | Yes           |                  3 | On Loan: No      |
| L5874901.UP.NBM                       | L5874901.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6745 | PA      | $6816.75      | 0.01%             | 2030-08-26      | Fixed         | 23.55%                | Yes           |                  3 | On Loan: No      |
| 341594433.UL.NBM                      | 341594433.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       395 | PA      | $391.56       | 0.00%             | 2026-05-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341594527.UL.NBM                      | 341594527.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1429 | PA      | $1405.75      | 0.00%             | 2027-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9945822.SQ.NBM                        | 9945822.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18310 | PA      | $17041.41     | 0.02%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| CBM5858437.UP.NBM                     | CBM5858437.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1062 | PA      | $1000.91      | 0.00%             | 2030-08-22      | Fixed         | 25.24%                | Yes           |                  3 | On Loan: No      |
| 9856937.SQ.NBM                        | 9856937.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4976 | PA      | $4646.50      | 0.01%             | 2027-03-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9856974.SQ.NBM                        | 9856974.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5357 | PA      | $5148.99      | 0.01%             | 2027-03-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342212323.UL.NBM                      | 342212323.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       128 | PA      | $127.49       | 0.00%             | 2026-02-22      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342212340.UL.NBM                      | 342212340.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        61 | PA      | $60.17        | 0.00%             | 2026-02-22      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342919303.UL.NBM                      | 342919303.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1980 | PA      | $1851.45      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342919316.UL.NBM                      | 342919316.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       778 | PA      | $768.73       | 0.00%             | 2026-07-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341452997.UL.NBM                      | 341452997.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       112 | PA      | $110.97       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341453006.UL.NBM                      | 341453006.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        39 | PA      | $38.66        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343288030.UL.NBM                      | 343288030.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       296 | PA      | $293.93       | 0.00%             | 2026-05-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343288572.UL.NBM                      | 343288572.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        33 | PA      | $32.86        | 0.00%             | 2026-02-26      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| DRB5859717.UP.NBM                     | DRB5859717.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7651 | PA      | $7591.12      | 0.01%             | 2030-08-22      | Fixed         | 28.58%                | Yes           |                  3 | On Loan: No      |
| DRB5859719.UP.NBM                     | DRB5859719.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1226 | PA      | $1212.39      | 0.00%             | 2030-08-25      | Fixed         | 28.73%                | Yes           |                  3 | On Loan: No      |
| 342212689.UL.NBM                      | 342212689.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       302 | PA      | $299.53       | 0.00%             | 2026-05-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342212739.UL.NBM                      | 342212739.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       497 | PA      | $491.83       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9857021.SQ.NBM                        | 9857021.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9279 | PA      | $8574.13      | 0.01%             | 2027-03-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9857102.SQ.NBM                        | 9857102.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4615 | PA      | $4343.25      | 0.01%             | 2027-03-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341594577.UL.NBM                      | 341594577.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $66.79        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341594587.UL.NBM                      | 341594587.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       361 | PA      | $343.57       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341533067.UL.NBM                      | 341533067.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       105 | PA      | $104.29       | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341533211.UL.NBM                      | 341533211.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       291 | PA      | $286.56       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342212847.UL.NBM                      | 342212847.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       212 | PA      | $209.60       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342213409.UL.NBM                      | 342213409.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        40 | PA      | $39.90        | 0.00%             | 2026-02-22      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 10172988.SQ.NBM                       | 10172988.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8938 | PA      | $8384.03      | 0.01%             | 2027-06-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10173249.SQ.NBM                       | 10173249.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1617 | PA      | $1474.11      | 0.00%             | 2027-06-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 340923298.UL.NBM                      | 340923298.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       192 | PA      | $190.12       | 0.00%             | 2026-02-17      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 340946124.UL.NBM                      | 340946124.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        66 | PA      | $65.17        | 0.00%             | 2026-02-17      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341594873.UL.NBM                      | 341594873.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       631 | PA      | $627.21       | 0.00%             | 2026-02-21      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341594911.UL.NBM                      | 341594911.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       557 | PA      | $548.45       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9857143.SQ.NBM                        | 9857143.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9383 | PA      | $8801.95      | 0.01%             | 2027-03-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9857223.SQ.NBM                        | 9857223.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1434 | PA      | $1351.13      | 0.00%             | 2027-03-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342213463.UL.NBM                      | 342213463.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        86 | PA      | $85.26        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342213708.UL.NBM                      | 342213708.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       773 | PA      | $713.84       | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341533213.UL.NBM                      | 341533213.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       807 | PA      | $746.21       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341533283.UL.NBM                      | 341533283.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       163 | PA      | $38.71        | 0.00%             | 2035-11-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341453023.UL.NBM                      | 341453023.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1051 | PA      | $975.90       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341453288.UL.NBM                      | 341453288.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       164 | PA      | $162.93       | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9918582.SQ.NBM                        | 9918582.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       980 | PA      | $938.55       | 0.00%             | 2027-04-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9918595.SQ.NBM                        | 9918595.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5477 | PA      | $5195.19      | 0.01%             | 2027-04-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342213843.UL.NBM                      | 342213843.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       360 | PA      | $355.47       | 0.00%             | 2026-07-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342213987.UL.NBM                      | 342213987.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        66 | PA      | $65.51        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341594990.UL.NBM                      | 341594990.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       235 | PA      | $232.55       | 0.00%             | 2026-05-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341594997.UL.NBM                      | 341594997.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       230 | PA      | $218.54       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341533290.UL.NBM                      | 341533290.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       187 | PA      | $185.23       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341533454.UL.NBM                      | 341533454.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       378 | PA      | $349.25       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9857385.SQ.NBM                        | 9857385.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1233 | PA      | $1116.82      | 0.00%             | 2027-03-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9857394.SQ.NBM                        | 9857394.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       616 | PA      | $595.79       | 0.00%             | 2027-03-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341453763.UL.NBM                      | 341453763.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1571 | PA      | $1552.19      | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341454005.UL.NBM                      | 341454005.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        22 | PA      | $3.23         | 0.00%             | 2035-11-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342214195.UL.NBM                      | 342214195.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       157 | PA      | $151.28       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342216027.UL.NBM                      | 342216027.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        60 | PA      | $59.27        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341595271.UL.NBM                      | 341595271.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        91 | PA      | $90.24        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341595309.UL.NBM                      | 341595309.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1180 | PA      | $1165.45      | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341533811.UL.NBM                      | 341533811.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       142 | PA      | $140.61       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341533927.UL.NBM                      | 341533927.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1333 | PA      | $1239.82      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10040163.SQ.NBM                       | 10040163.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     25498 | PA      | $24180.06     | 0.03%             | 2027-05-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10040709.SQ.NBM                       | 10040709.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8136 | PA      | $7496.06      | 0.01%             | 2027-05-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342925744.UL.NBM                      | 342925744.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       348 | PA      | $330.50       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342925828.UL.NBM                      | 342925828.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       205 | PA      | $204.17       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342216556.UL.NBM                      | 342216556.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       213 | PA      | $201.39       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342216592.UL.NBM                      | 342216592.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       234 | PA      | $231.57       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341269696.UL.NBM                      | 341269696.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       457 | PA      | $453.40       | 0.00%             | 2026-02-19      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341269950.UL.NBM                      | 341269950.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       539 | PA      | $533.96       | 0.00%             | 2026-05-19      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341595347.UL.NBM                      | 341595347.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       657 | PA      | $652.81       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341596655.UL.NBM                      | 341596655.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       205 | PA      | $204.12       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341534041.UL.NBM                      | 341534041.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       392 | PA      | $387.59       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341534064.UL.NBM                      | 341534064.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       530 | PA      | $524.17       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341454033.UL.NBM                      | 341454033.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       322 | PA      | $318.45       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341454055.UL.NBM                      | 341454055.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       258 | PA      | $255.25       | 0.00%             | 2026-05-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9857405.SQ.NBM                        | 9857405.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9823 | PA      | $9323.47      | 0.01%             | 2027-03-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9857529.SQ.NBM                        | 9857529.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       964 | PA      | $924.29       | 0.00%             | 2027-03-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342216857.UL.NBM                      | 342216857.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       323 | PA      | $320.52       | 0.00%             | 2026-05-22      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342217025.UL.NBM                      | 342217025.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       155 | PA      | $153.73       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342925856.UL.NBM                      | 342925856.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1074 | PA      | $1061.14      | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342925935.UL.NBM                      | 342925935.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1277 | PA      | $1181.33      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5859729.UP.NBM                     | DRB5859729.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1457 | PA      | $1521.00      | 0.00%             | 2030-08-22      | Fixed         | 31.97%                | Yes           |                  3 | On Loan: No      |
| DRB5859751.UP.NBM                     | DRB5859751.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18960 | PA      | $19802.03     | 0.03%             | 2030-08-22      | Fixed         | 32.01%                | Yes           |                  3 | On Loan: No      |
| 341534240.UL.NBM                      | 341534240.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       112 | PA      | $108.09       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341535468.UL.NBM                      | 341535468.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2052 | PA      | $1898.60      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341454524.UL.NBM                      | 341454524.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       702 | PA      | $693.76       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341454528.UL.NBM                      | 341454528.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       432 | PA      | $429.36       | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9857545.SQ.NBM                        | 9857545.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1400 | PA      | $1340.75      | 0.00%             | 2027-03-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9857564.SQ.NBM                        | 9857564.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1007 | PA      | $924.03       | 0.00%             | 2027-03-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341598231.UL.NBM                      | 341598231.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2873 | PA      | $2830.41      | 0.00%             | 2027-02-21      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341598345.UL.NBM                      | 341598345.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       243 | PA      | $231.15       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341596679.UL.NBM                      | 341596679.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        81 | PA      | $12.29        | 0.00%             | 2035-11-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341596956.UL.NBM                      | 341596956.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       360 | PA      | $356.56       | 0.00%             | 2026-05-21      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342493030.UL.NBM                      | 342493030.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       123 | PA      | $122.09       | 0.00%             | 2026-02-23      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342493155.UL.NBM                      | 342493155.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       415 | PA      | $409.70       | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342932906.UL.NBM                      | 342932906.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1187 | PA      | $1173.79      | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342933043.UL.NBM                      | 342933043.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       260 | PA      | $257.75       | 0.00%             | 2026-05-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341535652.UL.NBM                      | 341535652.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.72        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341535715.UL.NBM                      | 341535715.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        44 | PA      | $44.09        | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341454548.UL.NBM                      | 341454548.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       211 | PA      | $209.21       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341455028.UL.NBM                      | 341455028.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       376 | PA      | $373.80       | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342923759.UL.NBM                      | 342923759.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1838 | PA      | $1810.44      | 0.00%             | 2027-02-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342923762.UL.NBM                      | 342923762.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        58 | PA      | $58.03        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9857584.SQ.NBM                        | 9857584.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1908 | PA      | $1830.95      | 0.00%             | 2027-03-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9857624.SQ.NBM                        | 9857624.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1488 | PA      | $1365.39      | 0.00%             | 2027-03-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341596966.UL.NBM                      | 341596966.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       496 | PA      | $492.30       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341597108.UL.NBM                      | 341597108.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1054 | PA      | $1042.34      | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342926047.UL.NBM                      | 342926047.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       562 | PA      | $557.19       | 0.00%             | 2026-05-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342926175.UL.NBM                      | 342926175.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2847 | PA      | $2800.50      | 0.00%             | 2027-08-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342923867.UL.NBM                      | 342923867.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       183 | PA      | $181.57       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342924010.UL.NBM                      | 342924010.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       357 | PA      | $357.08       | 0.00%             | 2026-02-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| DRB5859756.UP.NBM                     | DRB5859756.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9521 | PA      | $9948.55      | 0.01%             | 2030-08-22      | Fixed         | 32.04%                | Yes           |                  3 | On Loan: No      |
| DRB5859760.UP.NBM                     | DRB5859760.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1356 | PA      | $1340.49      | 0.00%             | 2030-08-22      | Fixed         | 28.36%                | Yes           |                  3 | On Loan: No      |
| 341455047.UL.NBM                      | 341455047.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        94 | PA      | $93.34        | 0.00%             | 2026-02-20      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341455255.UL.NBM                      | 341455255.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       156 | PA      | $154.27       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341535760.UL.NBM                      | 341535760.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       146 | PA      | $140.47       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341535830.UL.NBM                      | 341535830.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       478 | PA      | $118.26       | 0.00%             | 2035-11-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341597138.UL.NBM                      | 341597138.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        98 | PA      | $97.03        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341597176.UL.NBM                      | 341597176.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       402 | PA      | $399.82       | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342953965.UL.NBM                      | 342953965.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       267 | PA      | $265.92       | 0.00%             | 2026-05-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342953984.UL.NBM                      | 342953984.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $66.87        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342926179.UL.NBM                      | 342926179.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       214 | PA      | $212.97       | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342926195.UL.NBM                      | 342926195.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       246 | PA      | $245.00       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341455592.UL.NBM                      | 341455592.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        71 | PA      | $70.15        | 0.00%             | 2026-02-20      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341455808.UL.NBM                      | 341455808.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        81 | PA      | $80.63        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341535959.UL.NBM                      | 341535959.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5175 | PA      | $5094.61      | 0.01%             | 2027-02-20      | Fixed         | 25.99%                | Yes           |                  3 | On Loan: No      |
| 341536062.UL.NBM                      | 341536062.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       231 | PA      | $229.91       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342954286.UL.NBM                      | 342954286.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       170 | PA      | $167.99       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342954836.UL.NBM                      | 342954836.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       484 | PA      | $462.71       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10151903.SQ.NBM                       | 10151903.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21258 | PA      | $19726.23     | 0.03%             | 2027-06-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10152571.SQ.NBM                       | 10152571.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     22145 | PA      | $20208.35     | 0.03%             | 2027-06-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5860880.UP.NBM                      | FW5860880.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13169 | PA      | $13396.92     | 0.02%             | 2030-08-22      | Fixed         | 30.37%                | Yes           |                  3 | On Loan: No      |
| FW5860902.UP.NBM                      | FW5860902.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1066 | PA      | $1077.16      | 0.00%             | 2030-08-22      | Fixed         | 29.76%                | Yes           |                  3 | On Loan: No      |
| 9857638.SQ.NBM                        | 9857638.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4773 | PA      | $4099.47      | 0.01%             | 2027-03-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9859024.SQ.NBM                        | 9859024.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1786 | PA      | $1724.72      | 0.00%             | 2027-03-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341536304.UL.NBM                      | 341536304.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3789 | PA      | $3726.16      | 0.01%             | 2027-08-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341536419.UL.NBM                      | 341536419.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1438 | PA      | $1339.01      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342970246.UL.NBM                      | 342970246.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        94 | PA      | $90.37        | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342970338.UL.NBM                      | 342970338.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       304 | PA      | $305.90       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342926227.UL.NBM                      | 342926227.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1099 | PA      | $1091.54      | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342926373.UL.NBM                      | 342926373.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       474 | PA      | $472.05       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9859521.SQ.NBM                        | 9859521.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       731 | PA      | $662.54       | 0.00%             | 2027-03-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9866449.SQ.NBM                        | 9866449.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6333 | PA      | $5897.92      | 0.01%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341455814.UL.NBM                      | 341455814.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       388 | PA      | $383.79       | 0.00%             | 2027-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341455973.UL.NBM                      | 341455973.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       269 | PA      | $270.46       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342970500.UL.NBM                      | 342970500.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       223 | PA      | $221.70       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342970819.UL.NBM                      | 342970819.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       132 | PA      | $130.70       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5859787.UP.NBM                     | DRB5859787.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9414 | PA      | $9545.93      | 0.01%             | 2030-08-22      | Fixed         | 30.16%                | Yes           |                  3 | On Loan: No      |
| DRB5859850.UP.NBM                     | DRB5859850.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5255 | PA      | $5203.54      | 0.01%             | 2028-08-22      | Fixed         | 24.87%                | Yes           |                  3 | On Loan: No      |
| 9866597.SQ.NBM                        | 9866597.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3476 | PA      | $3298.36      | 0.00%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9866762.SQ.NBM                        | 9866762.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2989 | PA      | $2768.48      | 0.00%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342933319.UL.NBM                      | 342933319.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        73 | PA      | $70.45        | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342933450.UL.NBM                      | 342933450.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        37 | PA      | $35.65        | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341598370.UL.NBM                      | 341598370.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       261 | PA      | $258.65       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341598510.UL.NBM                      | 341598510.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       397 | PA      | $392.88       | 0.00%             | 2026-05-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343051148.UL.NBM                      | 343051148.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1693 | PA      | $1569.91      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343051158.UL.NBM                      | 343051158.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       448 | PA      | $441.45       | 0.00%             | 2027-08-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342926395.UL.NBM                      | 342926395.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       557 | PA      | $554.46       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342926397.UL.NBM                      | 342926397.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        83 | PA      | $82.48        | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341597240.UL.NBM                      | 341597240.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1301 | PA      | $268.60       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341597366.UL.NBM                      | 341597366.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        32 | PA      | $31.62        | 0.00%             | 2026-02-21      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 9866955.SQ.NBM                        | 9866955.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5859 | PA      | $5511.04      | 0.01%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9867107.SQ.NBM                        | 9867107.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3856 | PA      | $3575.18      | 0.00%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5860593.UP.NBM                     | DRB5860593.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3276 | PA      | $3166.43      | 0.00%             | 2030-08-22      | Fixed         | 23.51%                | Yes           |                  3 | On Loan: No      |
| DRB5860595.UP.NBM                     | DRB5860595.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1743 | PA      | $1730.19      | 0.00%             | 2030-08-22      | Fixed         | 28.60%                | Yes           |                  3 | On Loan: No      |
| 341456541.UL.NBM                      | 341456541.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        62 | PA      | $61.92        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341456602.UL.NBM                      | 341456602.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       218 | PA      | $39.52        | 0.00%             | 2035-11-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5859865.UP.NBM                     | DRB5859865.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     47973 | PA      | $48966.00     | 0.07%             | 2030-08-22      | Fixed         | 19.59%                | Yes           |                  3 | On Loan: No      |
| DRB5859866.UP.NBM                     | DRB5859866.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1116 | PA      | $1144.99      | 0.00%             | 2030-08-22      | Fixed         | 31.17%                | Yes           |                  3 | On Loan: No      |
| 342933658.UL.NBM                      | 342933658.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       159 | PA      | $157.09       | 0.00%             | 2026-03-02      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342933663.UL.NBM                      | 342933663.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        51 | PA      | $51.08        | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 9867197.SQ.NBM                        | 9867197.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2959 | PA      | $2835.12      | 0.00%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9867249.SQ.NBM                        | 9867249.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6681 | PA      | $6362.22      | 0.01%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342926480.UL.NBM                      | 342926480.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       619 | PA      | $199.54       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342926499.UL.NBM                      | 342926499.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       158 | PA      | $157.63       | 0.00%             | 2026-02-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341536576.UL.NBM                      | 341536576.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       121 | PA      | $120.40       | 0.00%             | 2026-02-20      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341536750.UL.NBM                      | 341536750.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       290 | PA      | $286.77       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341456694.UL.NBM                      | 341456694.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       979 | PA      | $966.70       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341456808.UL.NBM                      | 341456808.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       833 | PA      | $826.17       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341597626.UL.NBM                      | 341597626.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       455 | PA      | $456.51       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341597677.UL.NBM                      | 341597677.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        74 | PA      | $74.91        | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9867379.SQ.NBM                        | 9867379.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2389 | PA      | $2264.82      | 0.00%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9867400.SQ.NBM                        | 9867400.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11122 | PA      | $10434.77     | 0.01%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5859908.UP.NBM                     | DRB5859908.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2712 | PA      | $2692.77      | 0.00%             | 2030-08-22      | Fixed         | 28.62%                | Yes           |                  3 | On Loan: No      |
| DRB5859953.UP.NBM                     | DRB5859953.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1062 | PA      | $1002.24      | 0.00%             | 2030-08-22      | Fixed         | 25.32%                | Yes           |                  3 | On Loan: No      |
| 342926530.UL.NBM                      | 342926530.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1212 | PA      | $1160.70      | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342926609.UL.NBM                      | 342926609.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       160 | PA      | $159.02       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341536858.UL.NBM                      | 341536858.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       803 | PA      | $792.77       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341578162.UL.NBM                      | 341578162.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       203 | PA      | $49.94        | 0.00%             | 2035-11-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341457144.UL.NBM                      | 341457144.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       214 | PA      | $211.40       | 0.00%             | 2026-05-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341457180.UL.NBM                      | 341457180.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       131 | PA      | $131.85       | 0.00%             | 2026-02-28      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342946375.UL.NBM                      | 342946375.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       484 | PA      | $480.06       | 0.00%             | 2026-05-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342946547.UL.NBM                      | 342946547.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1000 | PA      | $998.62       | 0.00%             | 2026-02-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| DRB5860606.UP.NBM                     | DRB5860606.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5704 | PA      | $5575.08      | 0.01%             | 2030-08-22      | Fixed         | 27.77%                | Yes           |                  3 | On Loan: No      |
| DRB5860607.UP.NBM                     | DRB5860607.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2059 | PA      | $1751.36      | 0.00%             | 2030-08-22      | Fixed         | 29.87%                | Yes           |                  3 | On Loan: No      |
| DRB5859986.UP.NBM                     | DRB5859986.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1062 | PA      | $1008.88      | 0.00%             | 2030-08-22      | Fixed         | 25.72%                | Yes           |                  3 | On Loan: No      |
| DRB5860071.UP.NBM                     | DRB5860071.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4348 | PA      | $4355.56      | 0.01%             | 2030-08-22      | Fixed         | 25.79%                | Yes           |                  3 | On Loan: No      |
| 342946722.UL.NBM                      | 342946722.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       279 | PA      | $278.02       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342946743.UL.NBM                      | 342946743.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       221 | PA      | $220.10       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341270444.UL.NBM                      | 341270444.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       189 | PA      | $187.49       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341270791.UL.NBM                      | 341270791.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.42        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341679031.UL.NBM                      | 341679031.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2783 | PA      | $2544.46      | 0.00%             | 2027-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341680725.UL.NBM                      | 341680725.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       467 | PA      | $466.14       | 0.00%             | 2026-02-21      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342933664.UL.NBM                      | 342933664.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        47 | PA      | $46.95        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342933762.UL.NBM                      | 342933762.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1181 | PA      | $1185.20      | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5860072.UP.NBM                     | DRB5860072.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3788 | PA      | $3940.48      | 0.01%             | 2030-08-22      | Fixed         | 31.74%                | Yes           |                  3 | On Loan: No      |
| DRB5860077.UP.NBM                     | DRB5860077.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2554 | PA      | $2404.28      | 0.00%             | 2028-08-22      | Fixed         | 20.10%                | Yes           |                  3 | On Loan: No      |
| 341457289.UL.NBM                      | 341457289.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3033 | PA      | $3011.97      | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341457301.UL.NBM                      | 341457301.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       547 | PA      | $506.22       | 0.00%             | 2026-05-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9867510.SQ.NBM                        | 9867510.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12082 | PA      | $11468.68     | 0.02%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9867695.SQ.NBM                        | 9867695.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3979 | PA      | $3692.10      | 0.01%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342947075.UL.NBM                      | 342947075.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       252 | PA      | $250.04       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342971197.UL.NBM                      | 342971197.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       179 | PA      | $36.26        | 0.00%             | 2035-11-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341578207.UL.NBM                      | 341578207.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       347 | PA      | $345.49       | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341578226.UL.NBM                      | 341578226.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1514 | PA      | $1496.81      | 0.00%             | 2026-07-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341680967.UL.NBM                      | 341680967.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1759 | PA      | $1742.38      | 0.00%             | 2026-07-21      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341681332.UL.NBM                      | 341681332.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       807 | PA      | $798.58       | 0.00%             | 2026-07-21      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342933782.UL.NBM                      | 342933782.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       325 | PA      | $321.89       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342933980.UL.NBM                      | 342933980.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       122 | PA      | $121.84       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9867789.SQ.NBM                        | 9867789.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4440 | PA      | $4112.15      | 0.01%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9867853.SQ.NBM                        | 9867853.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3707 | PA      | $3536.52      | 0.00%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342971208.UL.NBM                      | 342971208.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1495 | PA      | $1385.06      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342971729.UL.NBM                      | 342971729.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       235 | PA      | $232.35       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343289433.UL.NBM                      | 343289433.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       219 | PA      | $211.48       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343289761.UL.NBM                      | 343289761.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2638 | PA      | $878.88       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341578255.UL.NBM                      | 341578255.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       563 | PA      | $521.57       | 0.00%             | 2026-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341578328.UL.NBM                      | 341578328.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       238 | PA      | $52.83        | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342934165.UL.NBM                      | 342934165.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        88 | PA      | $87.95        | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342934179.UL.NBM                      | 342934179.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1012 | PA      | $1000.93      | 0.00%             | 2026-07-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341682640.UL.NBM                      | 341682640.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       292 | PA      | $290.00       | 0.00%             | 2026-02-21      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341682851.UL.NBM                      | 341682851.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       224 | PA      | $220.79       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342972111.UL.NBM                      | 342972111.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       245 | PA      | $244.18       | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342972118.UL.NBM                      | 342972118.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        60 | PA      | $60.07        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341457594.UL.NBM                      | 341457594.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       524 | PA      | $518.71       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341458403.UL.NBM                      | 341458403.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       229 | PA      | $28.83        | 0.00%             | 2035-11-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343051331.UL.NBM                      | 343051331.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       234 | PA      | $231.58       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343051340.UL.NBM                      | 343051340.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       513 | PA      | $510.06       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341578706.UL.NBM                      | 341578706.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       309 | PA      | $306.85       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341578813.UL.NBM                      | 341578813.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       221 | PA      | $219.14       | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342934186.UL.NBM                      | 342934186.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1656 | PA      | $1540.43      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342934254.UL.NBM                      | 342934254.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       504 | PA      | $480.40       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342972127.UL.NBM                      | 342972127.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       105 | PA      | $104.55       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342972349.UL.NBM                      | 342972349.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       250 | PA      | $248.29       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341683308.UL.NBM                      | 341683308.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       109 | PA      | $108.41       | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341683683.UL.NBM                      | 341683683.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       124 | PA      | $123.12       | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9745716.SQ.NBM                        | 9745716.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3249 | PA      | $3151.16      | 0.00%             | 2027-03-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9745958.SQ.NBM                        | 9745958.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4790 | PA      | $4318.43      | 0.01%             | 2027-03-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343054400.UL.NBM                      | 343054400.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        51 | PA      | $51.12        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343054423.UL.NBM                      | 343054423.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1659 | PA      | $1640.15      | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341458488.UL.NBM                      | 341458488.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       141 | PA      | $140.32       | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341458503.UL.NBM                      | 341458503.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       363 | PA      | $360.00       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342934282.UL.NBM                      | 342934282.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       368 | PA      | $366.51       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342934297.UL.NBM                      | 342934297.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       929 | PA      | $914.91       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9867906.SQ.NBM                        | 9867906.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3226 | PA      | $2938.07      | 0.00%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9867947.SQ.NBM                        | 9867947.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7079 | PA      | $6742.97      | 0.01%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341683896.UL.NBM                      | 341683896.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        73 | PA      | $72.18        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341684679.UL.NBM                      | 341684679.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       180 | PA      | $169.44       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343054626.UL.NBM                      | 343054626.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       897 | PA      | $830.58       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343054637.UL.NBM                      | 343054637.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1145 | PA      | $1058.18      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342972628.UL.NBM                      | 342972628.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       140 | PA      | $139.10       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342972640.UL.NBM                      | 342972640.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        75 | PA      | $74.10        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9868024.SQ.NBM                        | 9868024.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16254 | PA      | $15501.70     | 0.02%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9924511.SQ.NBM                        | 9924511.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1240 | PA      | $1170.50      | 0.00%             | 2027-04-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341685994.UL.NBM                      | 341685994.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        86 | PA      | $85.03        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341687981.UL.NBM                      | 341687981.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       162 | PA      | $160.71       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9748826.SQ.NBM                        | 9748826.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6935 | PA      | $3876.42      | 0.01%             | 2027-03-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9748873.SQ.NBM                        | 9748873.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5591 | PA      | $5320.70      | 0.01%             | 2027-03-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343056418.UL.NBM                      | 343056418.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       204 | PA      | $202.57       | 0.00%             | 2026-05-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343056805.UL.NBM                      | 343056805.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       429 | PA      | $408.64       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5860081.UP.NBM                     | DRB5860081.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1451 | PA      | $1489.80      | 0.00%             | 2030-08-22      | Fixed         | 27.38%                | Yes           |                  3 | On Loan: No      |
| DRB5860090.UP.NBM                     | DRB5860090.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6396 | PA      | $6394.38      | 0.01%             | 2030-08-22      | Fixed         | 29.08%                | Yes           |                  3 | On Loan: No      |
| 341458558.UL.NBM                      | 341458558.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        45 | PA      | $44.71        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341458755.UL.NBM                      | 341458755.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       940 | PA      | $924.95       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343049827.UL.NBM                      | 343049827.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        85 | PA      | $84.11        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343049905.UL.NBM                      | 343049905.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       295 | PA      | $279.85       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9924520.SQ.NBM                        | 9924520.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14569 | PA      | $13829.74     | 0.02%             | 2027-04-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9924596.SQ.NBM                        | 9924596.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1355 | PA      | $1024.03      | 0.00%             | 2027-04-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343057834.UL.NBM                      | 343057834.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       155 | PA      | $153.50       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343057885.UL.NBM                      | 343057885.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       659 | PA      | $129.23       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341578838.UL.NBM                      | 341578838.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       473 | PA      | $468.74       | 0.00%             | 2026-05-21      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341578878.UL.NBM                      | 341578878.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       366 | PA      | $362.20       | 0.00%             | 2026-05-21      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| DRB5860094.UP.NBM                     | DRB5860094.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1959 | PA      | $1694.06      | 0.00%             | 2030-08-22      | Fixed         | 31.94%                | Yes           |                  3 | On Loan: No      |
| DRB5860112.UP.NBM                     | DRB5860112.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1158 | PA      | $1202.80      | 0.00%             | 2030-08-22      | Fixed         | 28.30%                | Yes           |                  3 | On Loan: No      |
| 341458935.UL.NBM                      | 341458935.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       989 | PA      | $917.12       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341458943.UL.NBM                      | 341458943.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2017 | PA      | $1983.11      | 0.00%             | 2027-08-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343049957.UL.NBM                      | 343049957.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4249 | PA      | $4185.31      | 0.01%             | 2027-08-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343050200.UL.NBM                      | 343050200.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        62 | PA      | $61.62        | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343057935.UL.NBM                      | 343057935.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1069 | PA      | $1057.25      | 0.00%             | 2026-07-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343058044.UL.NBM                      | 343058044.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        58 | PA      | $57.41        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9924637.SQ.NBM                        | 9924637.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1418 | PA      | $1326.69      | 0.00%             | 2027-04-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9924645.SQ.NBM                        | 9924645.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12930 | PA      | $11029.56     | 0.02%             | 2027-04-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341579068.UL.NBM                      | 341579068.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       421 | PA      | $418.02       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341579124.UL.NBM                      | 341579124.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       290 | PA      | $286.88       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5858459.UP.NBM                     | CBM5858459.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2804 | PA      | $2811.46      | 0.00%             | 2030-08-22      | Fixed         | 29.97%                | Yes           |                  3 | On Loan: No      |
| CBM5858463.UP.NBM                     | CBM5858463.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1649 | PA      | $1682.84      | 0.00%             | 2030-08-22      | Fixed         | 30.44%                | Yes           |                  3 | On Loan: No      |
| 9748951.SQ.NBM                        | 9748951.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1764 | PA      | $1675.95      | 0.00%             | 2027-03-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9749046.SQ.NBM                        | 9749046.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3970 | PA      | $3765.20      | 0.01%             | 2027-03-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343050320.UL.NBM                      | 343050320.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1193 | PA      | $1179.55      | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343050335.UL.NBM                      | 343050335.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       388 | PA      | $362.23       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343097560.UL.NBM                      | 343097560.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1298 | PA      | $266.43       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343098392.UL.NBM                      | 343098392.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1390 | PA      | $1299.66      | 0.00%             | 2026-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9924752.SQ.NBM                        | 9924752.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2688 | PA      | $2498.14      | 0.00%             | 2027-04-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9924779.SQ.NBM                        | 9924779.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     32770 | PA      | $30100.90     | 0.04%             | 2027-04-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5860148.UP.NBM                     | DRB5860148.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21751 | PA      | $17332.14     | 0.02%             | 2030-08-22      | Fixed         | 26.27%                | Yes           |                  3 | On Loan: No      |
| DRB5860198.UP.NBM                     | DRB5860198.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6672 | PA      | $6450.07      | 0.01%             | 2030-08-22      | Fixed         | 26.88%                | Yes           |                  3 | On Loan: No      |
| 341579293.UL.NBM                      | 341579293.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       181 | PA      | $179.38       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341579314.UL.NBM                      | 341579314.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       754 | PA      | $745.84       | 0.00%             | 2026-07-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341458948.UL.NBM                      | 341458948.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       600 | PA      | $595.97       | 0.00%             | 2026-02-20      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341458961.UL.NBM                      | 341458961.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       817 | PA      | $812.53       | 0.00%             | 2026-07-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 9753220.SQ.NBM                        | 9753220.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       669 | PA      | $654.32       | 0.00%             | 2027-03-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9753238.SQ.NBM                        | 9753238.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     54124 | PA      | $46966.11     | 0.06%             | 2027-03-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343098746.UL.NBM                      | 343098746.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1282 | PA      | $1274.30      | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343098818.UL.NBM                      | 343098818.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       157 | PA      | $18.26        | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9925271.SQ.NBM                        | 9925271.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       704 | PA      | $644.47       | 0.00%             | 2027-04-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9925283.SQ.NBM                        | 9925283.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5136 | PA      | $4738.07      | 0.01%             | 2027-04-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343050366.UL.NBM                      | 343050366.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       836 | PA      | $768.95       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343050596.UL.NBM                      | 343050596.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       321 | PA      | $150.34       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| DRB5860218.UP.NBM                     | DRB5860218.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16738 | PA      | $17377.82     | 0.02%             | 2030-08-22      | Fixed         | 31.74%                | Yes           |                  3 | On Loan: No      |
| DRB5860283.UP.NBM                     | DRB5860283.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9391 | PA      | $9253.65      | 0.01%             | 2030-08-22      | Fixed         | 28.13%                | Yes           |                  3 | On Loan: No      |
| 341461447.UL.NBM                      | 341461447.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       241 | PA      | $239.13       | 0.00%             | 2026-02-20      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341461467.UL.NBM                      | 341461467.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        75 | PA      | $72.13        | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341688465.UL.NBM                      | 341688465.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1582 | PA      | $1460.07      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341690475.UL.NBM                      | 341690475.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       221 | PA      | $219.90       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9925360.SQ.NBM                        | 9925360.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1757 | PA      | $1541.56      | 0.00%             | 2027-04-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9925394.SQ.NBM                        | 9925394.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1984 | PA      | $1867.62      | 0.00%             | 2027-04-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9753757.SQ.NBM                        | 9753757.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11837 | PA      | $11366.75     | 0.02%             | 2027-03-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9753899.SQ.NBM                        | 9753899.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     38548 | PA      | $36355.17     | 0.05%             | 2027-03-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343050857.UL.NBM                      | 343050857.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        78 | PA      | $77.59        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343050910.UL.NBM                      | 343050910.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       180 | PA      | $179.56       | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| DRB5860294.UP.NBM                     | DRB5860294.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11642 | PA      | $12004.53     | 0.02%             | 2030-08-22      | Fixed         | 31.28%                | Yes           |                  3 | On Loan: No      |
| DRB5865264.UP.NBM                     | DRB5865264.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1800 | PA      | $1784.44      | 0.00%             | 2028-08-25      | Fixed         | 16.47%                | Yes           |                  3 | On Loan: No      |
| 343102125.UL.NBM                      | 343102125.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1408 | PA      | $1310.55      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343102288.UL.NBM                      | 343102288.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       395 | PA      | $390.78       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9925435.SQ.NBM                        | 9925435.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3560 | PA      | $3377.92      | 0.00%             | 2027-04-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9925472.SQ.NBM                        | 9925472.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4438 | PA      | $4195.15      | 0.01%             | 2027-04-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9776507.SQ.NBM                        | 9776507.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3985 | PA      | $3328.07      | 0.00%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9776554.SQ.NBM                        | 9776554.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1119 | PA      | $898.89       | 0.00%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341690906.UL.NBM                      | 341690906.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       186 | PA      | $184.61       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341692319.UL.NBM                      | 341692319.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       102 | PA      | $101.05       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5865281.UP.NBM                     | DRB5865281.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18638 | PA      | $19491.08     | 0.03%             | 2030-08-25      | Fixed         | 32.12%                | Yes           |                  3 | On Loan: No      |
| DRB5865294.UP.NBM                     | DRB5865294.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2201 | PA      | $2114.29      | 0.00%             | 2030-08-25      | Fixed         | 23.23%                | Yes           |                  3 | On Loan: No      |
| 343052620.UL.NBM                      | 343052620.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        75 | PA      | $75.02        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343052639.UL.NBM                      | 343052639.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       156 | PA      | $155.32       | 0.00%             | 2026-02-25      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 10210751.SQ.NBM                       | 10210751.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1741 | PA      | $1574.48      | 0.00%             | 2027-06-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10210875.SQ.NBM                       | 10210875.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2722 | PA      | $2506.10      | 0.00%             | 2027-06-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343103518.UL.NBM                      | 343103518.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       429 | PA      | $408.64       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343104281.UL.NBM                      | 343104281.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       212 | PA      | $211.31       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9776568.SQ.NBM                        | 9776568.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4665 | PA      | $4421.54      | 0.01%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9776651.SQ.NBM                        | 9776651.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1244 | PA      | $940.89       | 0.00%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9925978.SQ.NBM                        | 9925978.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3436 | PA      | $3260.44      | 0.00%             | 2027-04-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9926022.SQ.NBM                        | 9926022.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18161 | PA      | $17059.73     | 0.02%             | 2027-04-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341461517.UL.NBM                      | 341461517.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       179 | PA      | $168.89       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341461521.UL.NBM                      | 341461521.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       307 | PA      | $305.10       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343056829.UL.NBM                      | 343056829.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       139 | PA      | $138.12       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343056848.UL.NBM                      | 343056848.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        58 | PA      | $57.40        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5865301.UP.NBM                     | DRB5865301.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2004 | PA      | $2081.20      | 0.00%             | 2030-08-25      | Fixed         | 31.80%                | Yes           |                  3 | On Loan: No      |
| DRB5865528.UP.NBM                     | DRB5865528.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4081 | PA      | $4280.55      | 0.01%             | 2030-08-25      | Fixed         | 32.19%                | Yes           |                  3 | On Loan: No      |
| 9788619.SQ.NBM                        | 9788619.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8813 | PA      | $8261.31      | 0.01%             | 2027-03-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9788720.SQ.NBM                        | 9788720.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1556 | PA      | $1502.50      | 0.00%             | 2027-03-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341692513.UL.NBM                      | 341692513.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       169 | PA      | $167.39       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341693538.UL.NBM                      | 341693538.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        80 | PA      | $76.94        | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343104763.UL.NBM                      | 343104763.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       584 | PA      | $574.94       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343104853.UL.NBM                      | 343104853.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        92 | PA      | $88.44        | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9926287.SQ.NBM                        | 9926287.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4614 | PA      | $4359.62      | 0.01%             | 2027-04-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9926349.SQ.NBM                        | 9926349.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1157 | PA      | $1048.38      | 0.00%             | 2027-04-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343056939.UL.NBM                      | 343056939.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       403 | PA      | $399.22       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343057746.UL.NBM                      | 343057746.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1259 | PA      | $1176.72      | 0.00%             | 2026-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343290184.UL.NBM                      | 343290184.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1348 | PA      | $1352.05      | 0.00%             | 2026-08-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343290204.UL.NBM                      | 343290204.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       615 | PA      | $610.25       | 0.00%             | 2026-05-26      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 342978819.UL.NBM                      | 342978819.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        64 | PA      | $61.49        | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342978821.UL.NBM                      | 342978821.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4545 | PA      | $4474.83      | 0.01%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5865533.UP.NBM                     | DRB5865533.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1259 | PA      | $1252.60      | 0.00%             | 2030-08-25      | Fixed         | 28.66%                | Yes           |                  3 | On Loan: No      |
| DRB5865537.UP.NBM                     | DRB5865537.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2040 | PA      | $2129.64      | 0.00%             | 2030-08-25      | Fixed         | 31.87%                | Yes           |                  3 | On Loan: No      |
| 343104919.UL.NBM                      | 343104919.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       996 | PA      | $914.03       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343105805.UL.NBM                      | 343105805.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1438 | PA      | $1357.69      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9926365.SQ.NBM                        | 9926365.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       756 | PA      | $479.59       | 0.00%             | 2027-04-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9926375.SQ.NBM                        | 9926375.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       775 | PA      | $723.41       | 0.00%             | 2027-04-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343058160.UL.NBM                      | 343058160.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       300 | PA      | $297.26       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343058342.UL.NBM                      | 343058342.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        98 | PA      | $97.64        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341695884.UL.NBM                      | 341695884.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       190 | PA      | $188.71       | 0.00%             | 2026-02-21      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341696003.UL.NBM                      | 341696003.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       577 | PA      | $551.65       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9788773.SQ.NBM                        | 9788773.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     26867 | PA      | $25711.15     | 0.04%             | 2027-03-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9800374.SQ.NBM                        | 9800374.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6541 | PA      | $4986.98      | 0.01%             | 2027-03-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343107517.UL.NBM                      | 343107517.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        98 | PA      | $97.08        | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343107614.UL.NBM                      | 343107614.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        77 | PA      | $76.27        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9926390.SQ.NBM                        | 9926390.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     23558 | PA      | $19736.93     | 0.03%             | 2027-04-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9926575.SQ.NBM                        | 9926575.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4390 | PA      | $4038.38      | 0.01%             | 2027-04-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5865539.UP.NBM                     | DRB5865539.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6575 | PA      | $6485.72      | 0.01%             | 2028-08-25      | Fixed         | 29.34%                | Yes           |                  3 | On Loan: No      |
| DRB5865550.UP.NBM                     | DRB5865550.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3011 | PA      | $2894.45      | 0.00%             | 2028-08-25      | Fixed         | 17.14%                | Yes           |                  3 | On Loan: No      |
| 9800422.SQ.NBM                        | 9800422.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4306 | PA      | $4112.88      | 0.01%             | 2027-03-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9800469.SQ.NBM                        | 9800469.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     24629 | PA      | $22881.11     | 0.03%             | 2027-03-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343107726.UL.NBM                      | 343107726.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1410 | PA      | $1387.98      | 0.00%             | 2027-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343107900.UL.NBM                      | 343107900.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        59 | PA      | $58.19        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342934301.UL.NBM                      | 342934301.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       168 | PA      | $166.63       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342934359.UL.NBM                      | 342934359.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       408 | PA      | $404.65       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343058504.UL.NBM                      | 343058504.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       177 | PA      | $176.18       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343058509.UL.NBM                      | 343058509.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1432 | PA      | $1325.63      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341697027.UL.NBM                      | 341697027.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       199 | PA      | $198.35       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341698122.UL.NBM                      | 341698122.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       221 | PA      | $219.92       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9926621.SQ.NBM                        | 9926621.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11895 | PA      | $10926.37     | 0.02%             | 2027-04-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9926728.SQ.NBM                        | 9926728.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6015 | PA      | $4169.60      | 0.01%             | 2027-04-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9800682.SQ.NBM                        | 9800682.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     36212 | PA      | $33496.20     | 0.05%             | 2027-03-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5865565.UP.NBM                     | DRB5865565.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11140 | PA      | $11097.31     | 0.02%             | 2030-08-25      | Fixed         | 28.75%                | Yes           |                  3 | On Loan: No      |
| DRB5865567.UP.NBM                     | DRB5865567.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2719 | PA      | $2824.81      | 0.00%             | 2030-08-25      | Fixed         | 31.54%                | Yes           |                  3 | On Loan: No      |
| 343108026.UL.NBM                      | 343108026.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       932 | PA      | $55.45        | 0.00%             | 2035-11-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343108336.UL.NBM                      | 343108336.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       252 | PA      | $251.00       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342979166.UL.NBM                      | 342979166.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3228 | PA      | $2953.94      | 0.00%             | 2027-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342979267.UL.NBM                      | 342979267.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1429 | PA      | $607.05       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343094945.UL.NBM                      | 343094945.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       126 | PA      | $125.32       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343095029.UL.NBM                      | 343095029.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        97 | PA      | $96.35        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9926793.SQ.NBM                        | 9926793.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5473 | PA      | $5172.01      | 0.01%             | 2027-04-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9926841.SQ.NBM                        | 9926841.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3962 | PA      | $3644.76      | 0.01%             | 2027-04-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341698656.UL.NBM                      | 341698656.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       101 | PA      | $100.68       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341698956.UL.NBM                      | 341698956.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       105 | PA      | $104.08       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343110889.UL.NBM                      | 343110889.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       800 | PA      | $264.62       | 0.00%             | 2026-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343111015.UL.NBM                      | 343111015.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       296 | PA      | $295.17       | 0.00%             | 2026-05-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| DRB5865584.UP.NBM                     | DRB5865584.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1652 | PA      | $1736.15      | 0.00%             | 2030-08-25      | Fixed         | 32.32%                | Yes           |                  3 | On Loan: No      |
| DRB5865609.UP.NBM                     | DRB5865609.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15463 | PA      | $14852.29     | 0.02%             | 2030-08-25      | Fixed         | 26.37%                | Yes           |                  3 | On Loan: No      |
| 341461708.UL.NBM                      | 341461708.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       674 | PA      | $666.05       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341462101.UL.NBM                      | 341462101.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        71 | PA      | $70.58        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10153240.SQ.NBM                       | 10153240.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7388 | PA      | $6837.70      | 0.01%             | 2027-06-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10219851.SQ.NBM                       | 10219851.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4490 | PA      | $4208.40      | 0.01%             | 2027-06-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10040883.SQ.NBM                       | 10040883.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     22752 | PA      | $21383.00     | 0.03%             | 2027-05-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10045550.SQ.NBM                       | 10045550.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2075 | PA      | $1957.32      | 0.00%             | 2027-05-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341700586.UL.NBM                      | 341700586.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       111 | PA      | $110.55       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341701092.UL.NBM                      | 341701092.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       877 | PA      | $820.82       | 0.00%             | 2026-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9926883.SQ.NBM                        | 9926883.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7675 | PA      | $5662.20      | 0.01%             | 2027-04-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9926953.SQ.NBM                        | 9926953.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2625 | PA      | $2494.76      | 0.00%             | 2027-04-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343111264.UL.NBM                      | 343111264.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       384 | PA      | $380.69       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343111487.UL.NBM                      | 343111487.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       244 | PA      | $241.81       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5865615.UP.NBM                     | DRB5865615.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8440 | PA      | $8625.66      | 0.01%             | 2030-08-25      | Fixed         | 30.44%                | Yes           |                  3 | On Loan: No      |
| DRB5865619.UP.NBM                     | DRB5865619.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5818 | PA      | $1494.98      | 0.00%             | 2030-08-25      | Fixed         | 32.05%                | Yes           |                  3 | On Loan: No      |
| 343095275.UL.NBM                      | 343095275.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        81 | PA      | $16.56        | 0.00%             | 2035-11-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343095647.UL.NBM                      | 343095647.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       761 | PA      | $699.20       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341462357.UL.NBM                      | 341462357.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        43 | PA      | $43.15        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341462675.UL.NBM                      | 341462675.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        60 | PA      | $59.62        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343111803.UL.NBM                      | 343111803.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2191 | PA      | $2166.83      | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343112102.UL.NBM                      | 343112102.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        61 | PA      | $61.17        | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341702999.UL.NBM                      | 341702999.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        90 | PA      | $20.30        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341703261.UL.NBM                      | 341703261.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1311 | PA      | $1232.07      | 0.00%             | 2026-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9926969.SQ.NBM                        | 9926969.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1529 | PA      | $1436.64      | 0.00%             | 2027-04-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9926985.SQ.NBM                        | 9926985.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1206 | PA      | $1144.78      | 0.00%             | 2027-04-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342979552.UL.NBM                      | 342979552.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       168 | PA      | $167.10       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342980099.UL.NBM                      | 342980099.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1730 | PA      | $1575.38      | 0.00%             | 2027-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5865626.UP.NBM                     | DRB5865626.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11335 | PA      | $11315.72     | 0.02%             | 2030-08-25      | Fixed         | 28.89%                | Yes           |                  3 | On Loan: No      |
| DRB5865628.UP.NBM                     | DRB5865628.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1647 | PA      | $1648.40      | 0.00%             | 2030-08-25      | Fixed         | 29.05%                | Yes           |                  3 | On Loan: No      |
| 343095843.UL.NBM                      | 343095843.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1433 | PA      | $1374.34      | 0.00%             | 2026-08-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343096109.UL.NBM                      | 343096109.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       832 | PA      | $822.85       | 0.00%             | 2026-07-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343113982.UL.NBM                      | 343113982.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       766 | PA      | $759.66       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343114285.UL.NBM                      | 343114285.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        78 | PA      | $77.71        | 0.00%             | 2026-02-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342934621.UL.NBM                      | 342934621.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       255 | PA      | $252.64       | 0.00%             | 2026-05-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342934706.UL.NBM                      | 342934706.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       359 | PA      | $356.02       | 0.00%             | 2026-05-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341462745.UL.NBM                      | 341462745.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       801 | PA      | $740.24       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341462843.UL.NBM                      | 341462843.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       375 | PA      | $372.54       | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341703693.UL.NBM                      | 341703693.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       500 | PA      | $472.09       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341703732.UL.NBM                      | 341703732.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        47 | PA      | $46.83        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9926990.SQ.NBM                        | 9926990.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     50827 | PA      | $25322.42     | 0.03%             | 2027-04-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9927323.SQ.NBM                        | 9927323.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       676 | PA      | $650.18       | 0.00%             | 2027-04-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343115173.UL.NBM                      | 343115173.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1068 | PA      | $1055.47      | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343115307.UL.NBM                      | 343115307.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1549 | PA      | $1442.59      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5865648.UP.NBM                     | DRB5865648.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2010 | PA      | $1992.59      | 0.00%             | 2030-08-25      | Fixed         | 28.93%                | Yes           |                  3 | On Loan: No      |
| DRB5865659.UP.NBM                     | DRB5865659.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3888 | PA      | $3770.11      | 0.01%             | 2028-08-25      | Fixed         | 28.28%                | Yes           |                  3 | On Loan: No      |
| 343096572.UL.NBM                      | 343096572.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       269 | PA      | $267.49       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343096731.UL.NBM                      | 343096731.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       335 | PA      | $332.19       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343290540.UL.NBM                      | 343290540.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       272 | PA      | $22.84        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343291299.UL.NBM                      | 343291299.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       749 | PA      | $687.86       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343115578.UL.NBM                      | 343115578.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       271 | PA      | $268.22       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343116324.UL.NBM                      | 343116324.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3388 | PA      | $3178.60      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341476487.UL.NBM                      | 341476487.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       708 | PA      | $700.09       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341476728.UL.NBM                      | 341476728.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        50 | PA      | $49.72        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5866947.UP.NBM                     | DRB5866947.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1162 | PA      | $1158.85      | 0.00%             | 2030-08-25      | Fixed         | 28.80%                | Yes           |                  3 | On Loan: No      |
| DRB5866960.UP.NBM                     | DRB5866960.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10259 | PA      | $11876.39     | 0.02%             | 2030-08-25      | Fixed         | 27.54%                | Yes           |                  3 | On Loan: No      |
| 9927337.SQ.NBM                        | 9927337.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2356 | PA      | $2222.18      | 0.00%             | 2027-04-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9951321.SQ.NBM                        | 9951321.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13436 | PA      | $12766.72     | 0.02%             | 2027-04-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341705339.UL.NBM                      | 341705339.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        40 | PA      | $40.20        | 0.00%             | 2026-02-21      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341706691.UL.NBM                      | 341706691.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5113 | PA      | $5116.31      | 0.01%             | 2027-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343116688.UL.NBM                      | 343116688.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       961 | PA      | $890.53       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343117926.UL.NBM                      | 343117926.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       354 | PA      | $351.02       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343096755.UL.NBM                      | 343096755.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       330 | PA      | $326.99       | 0.00%             | 2026-05-25      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 343096780.UL.NBM                      | 343096780.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        79 | PA      | $78.31        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342980362.UL.NBM                      | 342980362.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1213 | PA      | $1199.12      | 0.00%             | 2026-07-25      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 342980605.UL.NBM                      | 342980605.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       127 | PA      | $126.33       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| DRB5865661.UP.NBM                     | DRB5865661.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2039 | PA      | $2121.23      | 0.00%             | 2030-08-25      | Fixed         | 31.62%                | Yes           |                  3 | On Loan: No      |
| DRB5865678.UP.NBM                     | DRB5865678.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3846 | PA      | $3610.19      | 0.00%             | 2030-08-25      | Fixed         | 21.61%                | Yes           |                  3 | On Loan: No      |
| 9951405.SQ.NBM                        | 9951405.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1602 | PA      | $1521.44      | 0.00%             | 2027-04-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9951416.SQ.NBM                        | 9951416.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5509 | PA      | $5096.79      | 0.01%             | 2027-04-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343118405.UL.NBM                      | 343118405.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        37 | PA      | $36.41        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343118415.UL.NBM                      | 343118415.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       498 | PA      | $493.15       | 0.00%             | 2026-05-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341477006.UL.NBM                      | 341477006.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       566 | PA      | $125.45       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341477011.UL.NBM                      | 341477011.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        42 | PA      | $41.72        | 0.00%             | 2026-02-20      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343096906.UL.NBM                      | 343096906.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       384 | PA      | $382.40       | 0.00%             | 2026-02-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343097174.UL.NBM                      | 343097174.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       283 | PA      | $284.78       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342980647.UL.NBM                      | 342980647.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       774 | PA      | $711.08       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342980799.UL.NBM                      | 342980799.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       227 | PA      | $214.52       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5865753.UP.NBM                     | DRB5865753.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11111 | PA      | $11059.23     | 0.02%             | 2030-08-25      | Fixed         | 28.84%                | Yes           |                  3 | On Loan: No      |
| DRB5865773.UP.NBM                     | DRB5865773.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1454 | PA      | $1458.17      | 0.00%             | 2030-08-25      | Fixed         | 29.21%                | Yes           |                  3 | On Loan: No      |
| 343118799.UL.NBM                      | 343118799.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        33 | PA      | $33.14        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343179125.UL.NBM                      | 343179125.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        84 | PA      | $83.18        | 0.00%             | 2026-02-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 9951446.SQ.NBM                        | 9951446.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8213 | PA      | $7779.52      | 0.01%             | 2027-04-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9951515.SQ.NBM                        | 9951515.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3836 | PA      | $3469.51      | 0.00%             | 2027-04-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341776134.UL.NBM                      | 341776134.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2740 | PA      | $2561.49      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341776294.UL.NBM                      | 341776294.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       159 | PA      | $157.71       | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342935143.UL.NBM                      | 342935143.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        64 | PA      | $63.25        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342935156.UL.NBM                      | 342935156.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       958 | PA      | $947.31       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343097293.UL.NBM                      | 343097293.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        33 | PA      | $32.82        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343097505.UL.NBM                      | 343097505.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       322 | PA      | $323.22       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5866971.UP.NBM                     | DRB5866971.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1185 | PA      | $1204.89      | 0.00%             | 2030-08-25      | Fixed         | 31.38%                | Yes           |                  3 | On Loan: No      |
| DRB5866989.UP.NBM                     | DRB5866989.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14450 | PA      | $14671.43     | 0.02%             | 2030-08-25      | Fixed         | 30.01%                | Yes           |                  3 | On Loan: No      |
| 342980996.UL.NBM                      | 342980996.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        88 | PA      | $87.30        | 0.00%             | 2026-02-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342981137.UL.NBM                      | 342981137.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       125 | PA      | $124.83       | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9951546.SQ.NBM                        | 9951546.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1819 | PA      | $1169.85      | 0.00%             | 2027-04-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9951561.SQ.NBM                        | 9951561.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8680 | PA      | $8155.06      | 0.01%             | 2027-04-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343181022.UL.NBM                      | 343181022.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       946 | PA      | $939.47       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343181108.UL.NBM                      | 343181108.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        83 | PA      | $82.55        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341776762.UL.NBM                      | 341776762.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        62 | PA      | $7.19         | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341777016.UL.NBM                      | 341777016.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1223 | PA      | $1207.81      | 0.00%             | 2026-07-21      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343097532.UL.NBM                      | 343097532.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       152 | PA      | $150.78       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343099345.UL.NBM                      | 343099345.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       396 | PA      | $376.93       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5865782.UP.NBM                     | DRB5865782.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     31487 | PA      | $33198.93     | 0.05%             | 2030-08-25      | Fixed         | 32.19%                | Yes           |                  3 | On Loan: No      |
| DRB5865826.UP.NBM                     | DRB5865826.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3173 | PA      | $3079.41      | 0.00%             | 2030-08-25      | Fixed         | 27.17%                | Yes           |                  3 | On Loan: No      |
| 342981326.UL.NBM                      | 342981326.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       243 | PA      | $230.20       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342981637.UL.NBM                      | 342981637.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       328 | PA      | $323.40       | 0.00%             | 2026-06-09      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5866992.UP.NBM                     | DRB5866992.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4461 | PA      | $4291.29      | 0.01%             | 2030-08-25      | Fixed         | 23.33%                | Yes           |                  3 | On Loan: No      |
| DRB5866998.UP.NBM                     | DRB5866998.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2136 | PA      | $2202.70      | 0.00%             | 2030-08-25      | Fixed         | 31.06%                | Yes           |                  3 | On Loan: No      |
| 343181158.UL.NBM                      | 343181158.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       568 | PA      | $564.95       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343181186.UL.NBM                      | 343181186.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       259 | PA      | $258.15       | 0.00%             | 2026-02-26      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 9951639.SQ.NBM                        | 9951639.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4717 | PA      | $3706.36      | 0.01%             | 2027-04-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9951676.SQ.NBM                        | 9951676.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     30010 | PA      | $24477.98     | 0.03%             | 2027-04-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5865834.UP.NBM                     | DRB5865834.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4824 | PA      | $4917.96      | 0.01%             | 2028-08-25      | Fixed         | 26.87%                | Yes           |                  3 | On Loan: No      |
| DRB5865836.UP.NBM                     | DRB5865836.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1646 | PA      | $1632.01      | 0.00%             | 2030-08-25      | Fixed         | 28.43%                | Yes           |                  3 | On Loan: No      |
| 343099552.UL.NBM                      | 343099552.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       313 | PA      | $310.73       | 0.00%             | 2026-05-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343100136.UL.NBM                      | 343100136.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        82 | PA      | $81.72        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 10045681.SQ.NBM                       | 10045681.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       844 | PA      | $638.61       | 0.00%             | 2027-05-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10045741.SQ.NBM                       | 10045741.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5038 | PA      | $4752.44      | 0.01%             | 2027-05-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343204516.UL.NBM                      | 343204516.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       448 | PA      | $419.56       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343204591.UL.NBM                      | 343204591.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       142 | PA      | $140.88       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342981685.UL.NBM                      | 342981685.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9948 | PA      | $9796.15      | 0.01%             | 2027-08-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342981876.UL.NBM                      | 342981876.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        58 | PA      | $58.37        | 0.00%             | 2026-02-28      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| DRB5867010.UP.NBM                     | DRB5867010.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6103 | PA      | $6093.04      | 0.01%             | 2030-08-25      | Fixed         | 28.89%                | Yes           |                  3 | On Loan: No      |
| DRB5867070.UP.NBM                     | DRB5867070.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11501 | PA      | $10967.57     | 0.02%             | 2030-08-25      | Fixed         | 12.14%                | Yes           |                  3 | On Loan: No      |
| DRB5865837.UP.NBM                     | DRB5865837.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17144 | PA      | $17632.18     | 0.02%             | 2030-08-25      | Fixed         | 31.01%                | Yes           |                  3 | On Loan: No      |
| DRB5865848.UP.NBM                     | DRB5865848.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2054 | PA      | $2093.10      | 0.00%             | 2030-08-25      | Fixed         | 30.02%                | Yes           |                  3 | On Loan: No      |
| 342935159.UL.NBM                      | 342935159.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       393 | PA      | $389.21       | 0.00%             | 2026-07-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342935161.UL.NBM                      | 342935161.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3878 | PA      | $3820.87      | 0.01%             | 2027-08-25      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 9951861.SQ.NBM                        | 9951861.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8363 | PA      | $7611.64      | 0.01%             | 2027-04-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9952088.SQ.NBM                        | 9952088.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21262 | PA      | $20070.92     | 0.03%             | 2027-04-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342981998.UL.NBM                      | 342981998.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       160 | PA      | $153.74       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342982829.UL.NBM                      | 342982829.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1522 | PA      | $1498.02      | 0.00%             | 2027-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343212746.UL.NBM                      | 343212746.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       130 | PA      | $22.77        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343217368.UL.NBM                      | 343217368.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        34 | PA      | $33.37        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5867077.UP.NBM                     | DRB5867077.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18171 | PA      | $17632.08     | 0.02%             | 2028-08-25      | Fixed         | 22.97%                | Yes           |                  3 | On Loan: No      |
| DRB5867084.UP.NBM                     | DRB5867084.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     31922 | PA      | $31604.28     | 0.04%             | 2028-08-25      | Fixed         | 30.09%                | Yes           |                  3 | On Loan: No      |
| 343101629.UL.NBM                      | 343101629.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       128 | PA      | $32.13        | 0.00%             | 2035-11-25      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 343101783.UL.NBM                      | 343101783.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       512 | PA      | $115.01       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341778864.UL.NBM                      | 341778864.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       171 | PA      | $170.88       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341779173.UL.NBM                      | 341779173.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1265 | PA      | $1252.20      | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343220849.UL.NBM                      | 343220849.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       320 | PA      | $152.10       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343221249.UL.NBM                      | 343221249.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       257 | PA      | $259.07       | 0.00%             | 2026-02-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 9952250.SQ.NBM                        | 9952250.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5938 | PA      | $4513.92      | 0.01%             | 2027-04-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9952285.SQ.NBM                        | 9952285.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1360 | PA      | $1259.47      | 0.00%             | 2027-04-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5865873.UP.NBM                     | DRB5865873.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1895 | PA      | $1956.47      | 0.00%             | 2030-08-25      | Fixed         | 31.40%                | Yes           |                  3 | On Loan: No      |
| DRB5865886.UP.NBM                     | DRB5865886.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9872 | PA      | $9703.30      | 0.01%             | 2030-08-25      | Fixed         | 27.87%                | Yes           |                  3 | On Loan: No      |
| DRB5867090.UP.NBM                     | DRB5867090.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16195 | PA      | $16554.09     | 0.02%             | 2030-08-25      | Fixed         | 30.59%                | Yes           |                  3 | On Loan: No      |
| DRB5867097.UP.NBM                     | DRB5867097.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3869 | PA      | $4141.64      | 0.01%             | 2030-08-25      | Fixed         | 27.31%                | Yes           |                  3 | On Loan: No      |
| 342935167.UL.NBM                      | 342935167.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       832 | PA      | $823.35       | 0.00%             | 2026-07-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342935228.UL.NBM                      | 342935228.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        64 | PA      | $63.38        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343026583.UL.NBM                      | 343026583.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1411 | PA      | $1390.84      | 0.00%             | 2027-02-25      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 343026906.UL.NBM                      | 343026906.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       175 | PA      | $173.74       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343224063.UL.NBM                      | 343224063.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1313 | PA      | $1215.02      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343224339.UL.NBM                      | 343224339.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1670 | PA      | $1548.43      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5865898.UP.NBM                     | DRB5865898.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1568 | PA      | $1481.33      | 0.00%             | 2028-08-25      | Fixed         | 25.67%                | Yes           |                  3 | On Loan: No      |
| DRB5865957.UP.NBM                     | DRB5865957.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1081 | PA      | $1093.95      | 0.00%             | 2030-08-25      | Fixed         | 29.53%                | Yes           |                  3 | On Loan: No      |
| 341779878.UL.NBM                      | 341779878.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        64 | PA      | $63.56        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341779888.UL.NBM                      | 341779888.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1342 | PA      | $1332.82      | 0.00%             | 2026-07-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| DRB5867104.UP.NBM                     | DRB5867104.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3249 | PA      | $3392.11      | 0.00%             | 2030-08-25      | Fixed         | 16.10%                | Yes           |                  3 | On Loan: No      |
| DRB5867123.UP.NBM                     | DRB5867123.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1160 | PA      | $1125.12      | 0.00%             | 2030-08-25      | Fixed         | 26.98%                | Yes           |                  3 | On Loan: No      |
| 342947087.UL.NBM                      | 342947087.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1917 | PA      | $1887.00      | 0.00%             | 2027-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342947105.UL.NBM                      | 342947105.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       418 | PA      | $414.48       | 0.00%             | 2026-05-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343224676.UL.NBM                      | 343224676.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        24 | PA      | $5.98         | 0.00%             | 2035-11-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343225371.UL.NBM                      | 343225371.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       889 | PA      | $895.37       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9952299.SQ.NBM                        | 9952299.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4363 | PA      | $4132.56      | 0.01%             | 2027-04-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9954125.SQ.NBM                        | 9954125.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13128 | PA      | $11953.50     | 0.02%             | 2027-04-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10173299.SQ.NBM                       | 10173299.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5852 | PA      | $5349.99      | 0.01%             | 2027-06-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10173465.SQ.NBM                       | 10173465.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1737 | PA      | $1619.54      | 0.00%             | 2027-06-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5865959.UP.NBM                     | DRB5865959.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3520 | PA      | $3570.23      | 0.00%             | 2030-08-25      | Fixed         | 29.71%                | Yes           |                  3 | On Loan: No      |
| DRB5865970.UP.NBM                     | DRB5865970.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21895 | PA      | $21638.56     | 0.03%             | 2028-08-25      | Fixed         | 29.91%                | Yes           |                  3 | On Loan: No      |
| 342936386.UL.NBM                      | 342936386.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       858 | PA      | $789.53       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342936457.UL.NBM                      | 342936457.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       354 | PA      | $352.51       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5858680.UP.NBM                     | CBM5858680.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1456 | PA      | $1499.02      | 0.00%             | 2030-08-22      | Fixed         | 31.04%                | Yes           |                  3 | On Loan: No      |
| CBM5858700.UP.NBM                     | CBM5858700.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6997 | PA      | $7342.24      | 0.01%             | 2030-08-22      | Fixed         | 32.33%                | Yes           |                  3 | On Loan: No      |
| 341271564.UL.NBM                      | 341271564.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        96 | PA      | $95.03        | 0.00%             | 2026-02-19      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341272183.UL.NBM                      | 341272183.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       837 | PA      | $826.92       | 0.00%             | 2026-07-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341780548.UL.NBM                      | 341780548.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       941 | PA      | $931.36       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341780638.UL.NBM                      | 341780638.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        78 | PA      | $78.23        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343226765.UL.NBM                      | 343226765.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       179 | PA      | $178.32       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343227437.UL.NBM                      | 343227437.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       253 | PA      | $251.42       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9954868.SQ.NBM                        | 9954868.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7861 | PA      | $7449.59      | 0.01%             | 2027-04-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9955337.SQ.NBM                        | 9955337.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12291 | PA      | $11617.47     | 0.02%             | 2027-04-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5867142.UP.NBM                     | DRB5867142.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1748 | PA      | $1812.47      | 0.00%             | 2030-08-25      | Fixed         | 31.42%                | Yes           |                  3 | On Loan: No      |
| DRB5867147.UP.NBM                     | DRB5867147.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12877 | PA      | $13054.08     | 0.02%             | 2030-08-25      | Fixed         | 30.04%                | Yes           |                  3 | On Loan: No      |
| 342125110.UL.NBM                      | 342125110.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       191 | PA      | $190.00       | 0.00%             | 2026-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342125243.UL.NBM                      | 342125243.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       138 | PA      | $137.15       | 0.00%             | 2026-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| DRB5865981.UP.NBM                     | DRB5865981.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1764 | PA      | $1653.88      | 0.00%             | 2028-08-25      | Fixed         | 24.79%                | Yes           |                  3 | On Loan: No      |
| DRB5867903.UP.NBM                     | DRB5867903.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1028 | PA      | $1042.45      | 0.00%             | 2030-08-25      | Fixed         | 27.03%                | Yes           |                  3 | On Loan: No      |
| 341485654.UL.NBM                      | 341485654.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        71 | PA      | $70.45        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341485696.UL.NBM                      | 341485696.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        63 | PA      | $63.01        | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342940122.UL.NBM                      | 342940122.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       176 | PA      | $175.26       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342940148.UL.NBM                      | 342940148.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       313 | PA      | $311.44       | 0.00%             | 2026-02-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341781504.UL.NBM                      | 341781504.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        92 | PA      | $91.18        | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341782143.UL.NBM                      | 341782143.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        79 | PA      | $78.43        | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 9955726.SQ.NBM                        | 9955726.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14939 | PA      | $14077.44     | 0.02%             | 2027-04-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9956099.SQ.NBM                        | 9956099.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3110 | PA      | $2946.62      | 0.00%             | 2027-04-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343228427.UL.NBM                      | 343228427.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1022 | PA      | $953.42       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343397593.UL.NBM                      | 343397593.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       172 | PA      | $170.57       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5867172.UP.NBM                     | DRB5867172.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7525 | PA      | $7417.14      | 0.01%             | 2030-08-25      | Fixed         | 24.68%                | Yes           |                  3 | On Loan: No      |
| DRB5867174.UP.NBM                     | DRB5867174.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2615 | PA      | $2592.43      | 0.00%             | 2030-08-25      | Fixed         | 28.44%                | Yes           |                  3 | On Loan: No      |
| DRB5867909.UP.NBM                     | DRB5867909.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4461 | PA      | $4533.92      | 0.01%             | 2030-08-25      | Fixed         | 30.07%                | Yes           |                  3 | On Loan: No      |
| DRB5867917.UP.NBM                     | DRB5867917.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6680 | PA      | $6587.54      | 0.01%             | 2030-08-25      | Fixed         | 28.09%                | Yes           |                  3 | On Loan: No      |
| 342125470.UL.NBM                      | 342125470.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       594 | PA      | $550.80       | 0.00%             | 2026-05-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342126156.UL.NBM                      | 342126156.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       147 | PA      | $146.49       | 0.00%             | 2026-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342941396.UL.NBM                      | 342941396.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       324 | PA      | $320.26       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342941398.UL.NBM                      | 342941398.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1056 | PA      | $1043.77      | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5860912.UP.NBM                      | FW5860912.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10847 | PA      | $10762.16     | 0.01%             | 2030-08-22      | Fixed         | 28.58%                | Yes           |                  3 | On Loan: No      |
| FW5860921.UP.NBM                      | FW5860921.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1385 | PA      | $1170.94      | 0.00%             | 2030-08-22      | Fixed         | 29.93%                | Yes           |                  3 | On Loan: No      |
| 343397797.UL.NBM                      | 343397797.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       591 | PA      | $587.59       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343397811.UL.NBM                      | 343397811.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1351 | PA      | $286.85       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9956157.SQ.NBM                        | 9956157.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8617 | PA      | $8160.83      | 0.01%             | 2027-04-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9956365.SQ.NBM                        | 9956365.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4051 | PA      | $3838.44      | 0.01%             | 2027-04-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5867195.UP.NBM                     | DRB5867195.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5508 | PA      | $5567.67      | 0.01%             | 2030-08-25      | Fixed         | 26.29%                | Yes           |                  3 | On Loan: No      |
| DRB5867248.UP.NBM                     | DRB5867248.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2174 | PA      | $1990.41      | 0.00%             | 2030-08-25      | Fixed         | 23.37%                | Yes           |                  3 | On Loan: No      |
| 342941401.UL.NBM                      | 342941401.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        23 | PA      | $23.27        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342941742.UL.NBM                      | 342941742.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1319 | PA      | $254.63       | 0.00%             | 2026-07-31      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342126918.UL.NBM                      | 342126918.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        34 | PA      | $33.68        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342127943.UL.NBM                      | 342127943.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       179 | PA      | $177.75       | 0.00%             | 2026-02-22      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343397900.UL.NBM                      | 343397900.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       446 | PA      | $444.16       | 0.00%             | 2026-02-26      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343398150.UL.NBM                      | 343398150.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1185 | PA      | $1100.78      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9956502.SQ.NBM                        | 9956502.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13168 | PA      | $11988.68     | 0.02%             | 2027-04-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9956766.SQ.NBM                        | 9956766.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8631 | PA      | $8225.46      | 0.01%             | 2027-04-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5867920.UP.NBM                     | DRB5867920.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4357 | PA      | $4304.68      | 0.01%             | 2030-08-25      | Fixed         | 28.21%                | Yes           |                  3 | On Loan: No      |
| DRB5867923.UP.NBM                     | DRB5867923.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7503 | PA      | $7663.01      | 0.01%             | 2030-08-25      | Fixed         | 30.97%                | Yes           |                  3 | On Loan: No      |
| DRB5867272.UP.NBM                     | DRB5867272.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     20736 | PA      | $20767.18     | 0.03%             | 2030-08-25      | Fixed         | 29.10%                | Yes           |                  3 | On Loan: No      |
| DRB5867292.UP.NBM                     | DRB5867292.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1841 | PA      | $1850.64      | 0.00%             | 2030-08-25      | Fixed         | 29.33%                | Yes           |                  3 | On Loan: No      |
| 341486482.UL.NBM                      | 341486482.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       316 | PA      | $313.32       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341486508.UL.NBM                      | 341486508.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        53 | PA      | $52.71        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342127993.UL.NBM                      | 342127993.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       455 | PA      | $452.03       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342128034.UL.NBM                      | 342128034.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       288 | PA      | $124.09       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343398151.UL.NBM                      | 343398151.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        28 | PA      | $27.52        | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343398192.UL.NBM                      | 343398192.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       858 | PA      | $849.24       | 0.00%             | 2026-07-26      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342941907.UL.NBM                      | 342941907.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       949 | PA      | $938.14       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342941909.UL.NBM                      | 342941909.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       494 | PA      | $489.41       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5867296.UP.NBM                     | DRB5867296.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10046 | PA      | $9868.14      | 0.01%             | 2030-08-25      | Fixed         | 17.20%                | Yes           |                  3 | On Loan: No      |
| DRB5867350.UP.NBM                     | DRB5867350.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6070 | PA      | $6080.66      | 0.01%             | 2030-08-25      | Fixed         | 29.32%                | Yes           |                  3 | On Loan: No      |
| 9956974.SQ.NBM                        | 9956974.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2919 | PA      | $2729.74      | 0.00%             | 2027-04-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9957002.SQ.NBM                        | 9957002.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14173 | PA      | $13464.10     | 0.02%             | 2027-04-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5867929.UP.NBM                     | DRB5867929.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9513 | PA      | $9897.75      | 0.01%             | 2030-08-25      | Fixed         | 31.78%                | Yes           |                  3 | On Loan: No      |
| DRB5867937.UP.NBM                     | DRB5867937.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2425 | PA      | $2475.78      | 0.00%             | 2030-08-25      | Fixed         | 30.37%                | Yes           |                  3 | On Loan: No      |
| 342128097.UL.NBM                      | 342128097.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       308 | PA      | $306.00       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342128102.UL.NBM                      | 342128102.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        92 | PA      | $88.69        | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343399125.UL.NBM                      | 343399125.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        47 | PA      | $46.67        | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343399419.UL.NBM                      | 343399419.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1073 | PA      | $995.63       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342941976.UL.NBM                      | 342941976.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       109 | PA      | $108.37       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342941977.UL.NBM                      | 342941977.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       756 | PA      | $748.58       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341486510.UL.NBM                      | 341486510.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        59 | PA      | $58.27        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341486851.UL.NBM                      | 341486851.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        73 | PA      | $70.36        | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9957359.SQ.NBM                        | 9957359.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     28147 | PA      | $26657.76     | 0.04%             | 2027-04-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9957896.SQ.NBM                        | 9957896.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12724 | PA      | $12074.36     | 0.02%             | 2027-04-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5867578.UP.NBM                     | DRB5867578.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3442 | PA      | $3438.56      | 0.00%             | 2030-08-25      | Fixed         | 28.71%                | Yes           |                  3 | On Loan: No      |
| DRB5867587.UP.NBM                     | DRB5867587.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1344 | PA      | $1332.92      | 0.00%             | 2030-08-25      | Fixed         | 28.59%                | Yes           |                  3 | On Loan: No      |
| DRB5867950.UP.NBM                     | DRB5867950.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1280 | PA      | $1268.98      | 0.00%             | 2030-08-25      | Fixed         | 28.04%                | Yes           |                  3 | On Loan: No      |
| DRB5867961.UP.NBM                     | DRB5867961.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5000 | PA      | $534.83       | 0.00%             | 2030-08-25      | Fixed         | 23.35%                | Yes           |                  3 | On Loan: No      |
| 343400118.UL.NBM                      | 343400118.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       337 | PA      | $335.31       | 0.00%             | 2026-02-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343400582.UL.NBM                      | 343400582.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       239 | PA      | $236.64       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342128453.UL.NBM                      | 342128453.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       350 | PA      | $73.56        | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342129205.UL.NBM                      | 342129205.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        97 | PA      | $96.14        | 0.00%             | 2026-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9958177.SQ.NBM                        | 9958177.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1697 | PA      | $1478.44      | 0.00%             | 2027-04-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9958190.SQ.NBM                        | 9958190.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19555 | PA      | $18428.23     | 0.03%             | 2027-04-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341782290.UL.NBM                      | 341782290.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       295 | PA      | $293.54       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341783018.UL.NBM                      | 341783018.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       185 | PA      | $182.71       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343400925.UL.NBM                      | 343400925.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        97 | PA      | $96.62        | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343401114.UL.NBM                      | 343401114.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        51 | PA      | $50.85        | 0.00%             | 2026-02-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| DRB5867597.UP.NBM                     | DRB5867597.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1261 | PA      | $1279.48      | 0.00%             | 2030-08-25      | Fixed         | 29.98%                | Yes           |                  3 | On Loan: No      |
| DRB5867598.UP.NBM                     | DRB5867598.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     26906 | PA      | $26601.69     | 0.04%             | 2028-08-25      | Fixed         | 29.95%                | Yes           |                  3 | On Loan: No      |
| DRB5867963.UP.NBM                     | DRB5867963.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5681 | PA      | $5342.04      | 0.01%             | 2028-08-25      | Fixed         | 24.67%                | Yes           |                  3 | On Loan: No      |
| DRB5868378.UP.NBM                     | DRB5868378.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2620 | PA      | $2687.87      | 0.00%             | 2030-08-25      | Fixed         | 30.70%                | Yes           |                  3 | On Loan: No      |
| 342232007.UL.NBM                      | 342232007.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        84 | PA      | $83.98        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342232127.UL.NBM                      | 342232127.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       770 | PA      | $707.69       | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343401845.UL.NBM                      | 343401845.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       165 | PA      | $164.10       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343401957.UL.NBM                      | 343401957.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        99 | PA      | $98.82        | 0.00%             | 2026-02-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| DRB5872734.UP.NBM                     | DRB5872734.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4203 | PA      | $4228.43      | 0.01%             | 2030-08-26      | Fixed         | 29.16%                | Yes           |                  3 | On Loan: No      |
| DRB5872737.UP.NBM                     | DRB5872737.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1926 | PA      | $1925.37      | 0.00%             | 2030-08-26      | Fixed         | 29.07%                | Yes           |                  3 | On Loan: No      |
| 342942104.UL.NBM                      | 342942104.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        84 | PA      | $83.62        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342942115.UL.NBM                      | 342942115.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        90 | PA      | $89.69        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341487062.UL.NBM                      | 341487062.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1535 | PA      | $1517.75      | 0.00%             | 2026-07-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341487112.UL.NBM                      | 341487112.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       635 | PA      | $628.42       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341783208.UL.NBM                      | 341783208.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       242 | PA      | $44.81        | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341785434.UL.NBM                      | 341785434.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       243 | PA      | $240.94       | 0.00%             | 2026-05-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| DRB5872761.UP.NBM                     | DRB5872761.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1162 | PA      | $1158.00      | 0.00%             | 2030-08-26      | Fixed         | 28.72%                | Yes           |                  3 | On Loan: No      |
| DRB5872771.UP.NBM                     | DRB5872771.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2233 | PA      | $2313.85      | 0.00%             | 2030-08-26      | Fixed         | 31.33%                | Yes           |                  3 | On Loan: No      |
| DRB5868516.UP.NBM                     | DRB5868516.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1934 | PA      | $2014.19      | 0.00%             | 2030-08-26      | Fixed         | 32.16%                | Yes           |                  3 | On Loan: No      |
| DRB5868548.UP.NBM                     | DRB5868548.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9110 | PA      | $9064.99      | 0.01%             | 2030-08-25      | Fixed         | 28.88%                | Yes           |                  3 | On Loan: No      |
| 343401966.UL.NBM                      | 343401966.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       171 | PA      | $170.11       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343402176.UL.NBM                      | 343402176.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       178 | PA      | $176.33       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342944315.UL.NBM                      | 342944315.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       168 | PA      | $167.42       | 0.00%             | 2026-02-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342944354.UL.NBM                      | 342944354.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       260 | PA      | $257.49       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5858738.UP.NBM                     | CBM5858738.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2134 | PA      | $2105.02      | 0.00%             | 2028-08-22      | Fixed         | 29.89%                | Yes           |                  3 | On Loan: No      |
| CBM5858739.UP.NBM                     | CBM5858739.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2550 | PA      | $2511.10      | 0.00%             | 2030-08-22      | Fixed         | 28.28%                | Yes           |                  3 | On Loan: No      |
| 342233198.UL.NBM                      | 342233198.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        61 | PA      | $14.86        | 0.00%             | 2035-11-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342233491.UL.NBM                      | 342233491.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       110 | PA      | $24.79        | 0.00%             | 2035-11-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343181658.UL.NBM                      | 343181658.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1115 | PA      | $1035.06      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343181752.UL.NBM                      | 343181752.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       324 | PA      | $322.69       | 0.00%             | 2026-02-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341786223.UL.NBM                      | 341786223.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        95 | PA      | $20.30        | 0.00%             | 2035-11-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341786469.UL.NBM                      | 341786469.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1049 | PA      | $1035.26      | 0.00%             | 2026-08-21      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| DRB5872773.UP.NBM                     | DRB5872773.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2232 | PA      | $2298.92      | 0.00%             | 2030-08-26      | Fixed         | 30.92%                | Yes           |                  3 | On Loan: No      |
| DRB5872801.UP.NBM                     | DRB5872801.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1163 | PA      | $1172.99      | 0.00%             | 2030-08-26      | Fixed         | 29.52%                | Yes           |                  3 | On Loan: No      |
| 10211016.SQ.NBM                       | 10211016.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1082 | PA      | $989.54       | 0.00%             | 2027-06-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10211110.SQ.NBM                       | 10211110.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9732 | PA      | $9123.24      | 0.01%             | 2027-06-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5868573.UP.NBM                     | DRB5868573.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3862 | PA      | $3831.83      | 0.01%             | 2028-08-25      | Fixed         | 30.63%                | Yes           |                  3 | On Loan: No      |
| DRB5868591.UP.NBM                     | DRB5868591.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2023 | PA      | $2074.83      | 0.00%             | 2030-08-25      | Fixed         | 30.81%                | Yes           |                  3 | On Loan: No      |
| CBM5860838.UP.NBM                     | CBM5860838.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2034 | PA      | $2025.71      | 0.00%             | 2030-08-22      | Fixed         | 28.82%                | Yes           |                  3 | On Loan: No      |
| CBM5860864.UP.NBM                     | CBM5860864.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6491 | PA      | $6469.26      | 0.01%             | 2030-08-22      | Fixed         | 28.88%                | Yes           |                  3 | On Loan: No      |
| 341787337.UL.NBM                      | 341787337.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1236 | PA      | $1227.81      | 0.00%             | 2026-07-21      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 341787589.UL.NBM                      | 341787589.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        78 | PA      | $77.53        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343181757.UL.NBM                      | 343181757.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       181 | PA      | $179.04       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343181911.UL.NBM                      | 343181911.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       560 | PA      | $179.63       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342944366.UL.NBM                      | 342944366.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       164 | PA      | $163.38       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342944432.UL.NBM                      | 342944432.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       536 | PA      | $530.91       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342947150.UL.NBM                      | 342947150.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       933 | PA      | $870.58       | 0.00%             | 2026-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342947262.UL.NBM                      | 342947262.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       544 | PA      | $538.77       | 0.00%             | 2026-05-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| DRB5868689.UP.NBM                     | DRB5868689.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     32090 | PA      | $33608.65     | 0.05%             | 2030-08-25      | Fixed         | 32.24%                | Yes           |                  3 | On Loan: No      |
| DRB5868769.UP.NBM                     | DRB5868769.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5722 | PA      | $5380.98      | 0.01%             | 2030-08-25      | Fixed         | 21.91%                | Yes           |                  3 | On Loan: No      |
| DRB5872802.UP.NBM                     | DRB5872802.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4360 | PA      | $4358.57      | 0.01%             | 2030-08-26      | Fixed         | 28.95%                | Yes           |                  3 | On Loan: No      |
| DRB5872806.UP.NBM                     | DRB5872806.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1902 | PA      | $1886.08      | 0.00%             | 2030-08-26      | Fixed         | 28.46%                | Yes           |                  3 | On Loan: No      |
| 342234159.UL.NBM                      | 342234159.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6191 | PA      | $5711.10      | 0.01%             | 2027-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342234364.UL.NBM                      | 342234364.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1167 | PA      | $1153.26      | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343181963.UL.NBM                      | 343181963.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       706 | PA      | $668.54       | 0.00%             | 2026-05-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343182977.UL.NBM                      | 343182977.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       157 | PA      | $156.07       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342944508.UL.NBM                      | 342944508.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       203 | PA      | $201.59       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342944671.UL.NBM                      | 342944671.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       273 | PA      | $271.41       | 0.00%             | 2026-02-25      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341787688.UL.NBM                      | 341787688.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       136 | PA      | $137.35       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341787729.UL.NBM                      | 341787729.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        99 | PA      | $98.38        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5868800.UP.NBM                     | DRB5868800.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3790 | PA      | $3982.42      | 0.01%             | 2030-08-25      | Fixed         | 32.31%                | Yes           |                  3 | On Loan: No      |
| DRB5868863.UP.NBM                     | DRB5868863.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1632 | PA      | $1679.67      | 0.00%             | 2030-08-25      | Fixed         | 31.10%                | Yes           |                  3 | On Loan: No      |
| DRB5872810.UP.NBM                     | DRB5872810.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     23874 | PA      | $24436.18     | 0.03%             | 2030-08-26      | Fixed         | 24.51%                | Yes           |                  3 | On Loan: No      |
| DRB5872812.UP.NBM                     | DRB5872812.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2606 | PA      | $2579.72      | 0.00%             | 2030-08-26      | Fixed         | 24.94%                | Yes           |                  3 | On Loan: No      |
| 343183057.UL.NBM                      | 343183057.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1096 | PA      | $1011.76      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343183197.UL.NBM                      | 343183197.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       134 | PA      | $132.87       | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342234870.UL.NBM                      | 342234870.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       456 | PA      | $451.90       | 0.00%             | 2026-05-22      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342235632.UL.NBM                      | 342235632.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2983 | PA      | $2936.35      | 0.00%             | 2027-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342947265.UL.NBM                      | 342947265.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        62 | PA      | $61.57        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342947358.UL.NBM                      | 342947358.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       198 | PA      | $197.92       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341788357.UL.NBM                      | 341788357.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       409 | PA      | $405.22       | 0.00%             | 2026-05-21      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341788489.UL.NBM                      | 341788489.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1468 | PA      | $1450.76      | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5824857.UP.NBM                     | DRB5824857.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8620 | PA      | $8579.73      | 0.01%             | 2030-08-25      | Fixed         | 28.69%                | Yes           |                  3 | On Loan: No      |
| DRB5857271.UP.NBM                     | DRB5857271.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1062 | PA      | $1073.80      | 0.00%             | 2030-08-22      | Fixed         | 31.51%                | Yes           |                  3 | On Loan: No      |
| 343183216.UL.NBM                      | 343183216.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       234 | PA      | $19.67        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343183222.UL.NBM                      | 343183222.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        72 | PA      | $71.92        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342235786.UL.NBM                      | 342235786.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        55 | PA      | $54.86        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342237458.UL.NBM                      | 342237458.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        79 | PA      | $78.62        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5872814.UP.NBM                     | DRB5872814.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       637 | PA      | $637.78       | 0.00%             | 2030-08-26      | Fixed         | 26.21%                | Yes           |                  3 | On Loan: No      |
| DRB5872819.UP.NBM                     | DRB5872819.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11424 | PA      | $13349.49     | 0.02%             | 2030-08-26      | Fixed         | 28.14%                | Yes           |                  3 | On Loan: No      |
| DRB5869175.UP.NBM                     | DRB5869175.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       726 | PA      | $788.63       | 0.00%             | 2030-08-26      | Fixed         | 29.94%                | Yes           |                  3 | On Loan: No      |
| DRB5869206.UP.NBM                     | DRB5869206.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2332 | PA      | $2448.02      | 0.00%             | 2030-08-25      | Fixed         | 32.24%                | Yes           |                  3 | On Loan: No      |
| 341788582.UL.NBM                      | 341788582.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       719 | PA      | $660.18       | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341788927.UL.NBM                      | 341788927.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       265 | PA      | $263.00       | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343183299.UL.NBM                      | 343183299.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       712 | PA      | $701.39       | 0.00%             | 2026-07-26      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343183307.UL.NBM                      | 343183307.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       530 | PA      | $527.66       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342237498.UL.NBM                      | 342237498.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       492 | PA      | $486.93       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342237727.UL.NBM                      | 342237727.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       292 | PA      | $289.68       | 0.00%             | 2026-05-22      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342947796.UL.NBM                      | 342947796.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       883 | PA      | $872.43       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342948357.UL.NBM                      | 342948357.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       242 | PA      | $241.02       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5872825.UP.NBM                     | DRB5872825.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5244 | PA      | $5122.34      | 0.01%             | 2028-08-26      | Fixed         | 28.98%                | Yes           |                  3 | On Loan: No      |
| DRB5872835.UP.NBM                     | DRB5872835.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2226 | PA      | $2220.08      | 0.00%             | 2030-08-26      | Fixed         | 28.91%                | Yes           |                  3 | On Loan: No      |
| DRB5857324.UP.NBM                     | DRB5857324.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5913 | PA      | $5948.83      | 0.01%             | 2030-08-22      | Fixed         | 29.50%                | Yes           |                  3 | On Loan: No      |
| DRB5857393.UP.NBM                     | DRB5857393.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6190 | PA      | $5899.62      | 0.01%             | 2028-08-22      | Fixed         | 26.43%                | Yes           |                  3 | On Loan: No      |
| 343183317.UL.NBM                      | 343183317.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       311 | PA      | $310.64       | 0.00%             | 2026-02-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343183367.UL.NBM                      | 343183367.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       466 | PA      | $461.52       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341789510.UL.NBM                      | 341789510.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       752 | PA      | $743.48       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341789580.UL.NBM                      | 341789580.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        82 | PA      | $81.50        | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342950689.UL.NBM                      | 342950689.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       273 | PA      | $271.01       | 0.00%             | 2026-05-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342951876.UL.NBM                      | 342951876.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       175 | PA      | $174.18       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10211688.SQ.NBM                       | 10211688.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3881 | PA      | $3588.36      | 0.00%             | 2027-06-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10213310.SQ.NBM                       | 10213310.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4434 | PA      | $4155.98      | 0.01%             | 2027-06-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341789788.UL.NBM                      | 341789788.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1268 | PA      | $1178.78      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341790333.UL.NBM                      | 341790333.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       749 | PA      | $740.34       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342944725.UL.NBM                      | 342944725.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       588 | PA      | $582.51       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342944950.UL.NBM                      | 342944950.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       556 | PA      | $551.03       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5872840.UP.NBM                     | DRB5872840.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2234 | PA      | $2328.19      | 0.00%             | 2030-08-26      | Fixed         | 31.72%                | Yes           |                  3 | On Loan: No      |
| DRB5872884.UP.NBM                     | DRB5872884.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4355 | PA      | $4271.13      | 0.01%             | 2030-08-26      | Fixed         | 17.02%                | Yes           |                  3 | On Loan: No      |
| DRB5857924.UP.NBM                     | DRB5857924.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2422 | PA      | $2412.72      | 0.00%             | 2030-08-22      | Fixed         | 28.85%                | Yes           |                  3 | On Loan: No      |
| DRB5857971.UP.NBM                     | DRB5857971.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     23804 | PA      | $24887.49     | 0.03%             | 2030-08-22      | Fixed         | 32.08%                | Yes           |                  3 | On Loan: No      |
| 341669656.UL.NBM                      | 341669656.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        83 | PA      | $82.56        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341670540.UL.NBM                      | 341670540.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       143 | PA      | $142.75       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341597744.UL.NBM                      | 341597744.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       582 | PA      | $579.44       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341597776.UL.NBM                      | 341597776.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       456 | PA      | $451.30       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342952524.UL.NBM                      | 342952524.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        58 | PA      | $57.40        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342953336.UL.NBM                      | 342953336.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       124 | PA      | $124.01       | 0.00%             | 2026-02-25      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 342456852.UL.NBM                      | 342456852.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2500 | PA      | $2499.87      | 0.00%             | 2027-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342457053.UL.NBM                      | 342457053.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       378 | PA      | $376.03       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342237910.UL.NBM                      | 342237910.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       152 | PA      | $150.12       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342238064.UL.NBM                      | 342238064.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        62 | PA      | $62.30        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5857982.UP.NBM                     | DRB5857982.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3276 | PA      | $230.25       | 0.00%             | 2030-08-22      | Fixed         | 28.72%                | Yes           |                  3 | On Loan: No      |
| DRB5858001.UP.NBM                     | DRB5858001.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2913 | PA      | $3021.69      | 0.00%             | 2030-08-22      | Fixed         | 31.54%                | Yes           |                  3 | On Loan: No      |
| DRB5872897.UP.NBM                     | DRB5872897.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1371 | PA      | $1440.78      | 0.00%             | 2030-08-26      | Fixed         | 31.98%                | Yes           |                  3 | On Loan: No      |
| DRB5872916.UP.NBM                     | DRB5872916.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1261 | PA      | $1287.68      | 0.00%             | 2030-08-26      | Fixed         | 30.35%                | Yes           |                  3 | On Loan: No      |
| 342945055.UL.NBM                      | 342945055.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1646 | PA      | $1629.65      | 0.00%             | 2026-07-25      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 342945056.UL.NBM                      | 342945056.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        48 | PA      | $47.39        | 0.00%             | 2026-02-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343183522.UL.NBM                      | 343183522.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       322 | PA      | $305.39       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343183556.UL.NBM                      | 343183556.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       409 | PA      | $406.23       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342955016.UL.NBM                      | 342955016.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       844 | PA      | $839.55       | 0.00%             | 2026-02-25      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 342957483.UL.NBM                      | 342957483.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1259 | PA      | $1163.98      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342238476.UL.NBM                      | 342238476.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       217 | PA      | $80.81        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342238486.UL.NBM                      | 342238486.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       285 | PA      | $282.82       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5869214.UP.NBM                     | DRB5869214.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2325 | PA      | $2318.84      | 0.00%             | 2030-08-25      | Fixed         | 28.83%                | Yes           |                  3 | On Loan: No      |
| DRB5869215.UP.NBM                     | DRB5869215.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     42541 | PA      | $42655.66     | 0.06%             | 2030-08-25      | Fixed         | 29.18%                | Yes           |                  3 | On Loan: No      |
| DRB5872925.UP.NBM                     | DRB5872925.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5058 | PA      | $4660.13      | 0.01%             | 2030-08-26      | Fixed         | 20.57%                | Yes           |                  3 | On Loan: No      |
| DRB5872935.UP.NBM                     | DRB5872935.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16226 | PA      | $17021.84     | 0.02%             | 2030-08-26      | Fixed         | 32.16%                | Yes           |                  3 | On Loan: No      |
| DRB5858883.UP.NBM                     | DRB5858883.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4270 | PA      | $4376.93      | 0.01%             | 2030-08-22      | Fixed         | 30.75%                | Yes           |                  3 | On Loan: No      |
| DRB5858889.UP.NBM                     | DRB5858889.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4254 | PA      | $4340.83      | 0.01%             | 2030-08-22      | Fixed         | 30.57%                | Yes           |                  3 | On Loan: No      |
| 343183706.UL.NBM                      | 343183706.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       174 | PA      | $172.49       | 0.00%             | 2026-05-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343183805.UL.NBM                      | 343183805.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       206 | PA      | $205.17       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342238862.UL.NBM                      | 342238862.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1518 | PA      | $1406.69      | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342239379.UL.NBM                      | 342239379.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       425 | PA      | $422.78       | 0.00%             | 2026-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342945103.UL.NBM                      | 342945103.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       159 | PA      | $26.81        | 0.00%             | 2035-11-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342945125.UL.NBM                      | 342945125.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4351 | PA      | $4284.76      | 0.01%             | 2027-02-25      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 342958522.UL.NBM                      | 342958522.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       263 | PA      | $260.22       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342960780.UL.NBM                      | 342960780.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       176 | PA      | $174.35       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5869298.UP.NBM                     | DRB5869298.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8544 | PA      | $8852.61      | 0.01%             | 2030-08-25      | Fixed         | 31.36%                | Yes           |                  3 | On Loan: No      |
| DRB5869324.UP.NBM                     | DRB5869324.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7166 | PA      | $6908.70      | 0.01%             | 2030-08-25      | Fixed         | 16.07%                | Yes           |                  3 | On Loan: No      |
| DRB5858939.UP.NBM                     | DRB5858939.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6319 | PA      | $6406.64      | 0.01%             | 2030-08-22      | Fixed         | 30.17%                | Yes           |                  3 | On Loan: No      |
| DRB5858950.UP.NBM                     | DRB5858950.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1059 | PA      | $1060.81      | 0.00%             | 2030-08-22      | Fixed         | 29.32%                | Yes           |                  3 | On Loan: No      |
| 343183819.UL.NBM                      | 343183819.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       728 | PA      | $722.46       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343183849.UL.NBM                      | 343183849.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       129 | PA      | $27.45        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343027224.UL.NBM                      | 343027224.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       814 | PA      | $381.20       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343027696.UL.NBM                      | 343027696.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        86 | PA      | $85.17        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| DRB5872938.UP.NBM                     | DRB5872938.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1651 | PA      | $1715.46      | 0.00%             | 2030-08-26      | Fixed         | 31.50%                | Yes           |                  3 | On Loan: No      |
| DRB5872942.UP.NBM                     | DRB5872942.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1700 | PA      | $-8.04        | -0.00%            | 2030-08-26      | Fixed         | 30.36%                | Yes           |                  3 | On Loan: No      |
| DRB5869365.UP.NBM                     | DRB5869365.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3191 | PA      | $3093.13      | 0.00%             | 2030-08-25      | Fixed         | 26.96%                | Yes           |                  3 | On Loan: No      |
| DRB5869373.UP.NBM                     | DRB5869373.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5134 | PA      | $5116.98      | 0.01%             | 2030-08-25      | Fixed         | 28.78%                | Yes           |                  3 | On Loan: No      |
| 342960912.UL.NBM                      | 342960912.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       436 | PA      | $431.97       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342962236.UL.NBM                      | 342962236.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       207 | PA      | $204.81       | 0.00%             | 2026-05-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343183951.UL.NBM                      | 343183951.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       203 | PA      | $201.89       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343402706.UL.NBM                      | 343402706.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       778 | PA      | $743.45       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342239425.UL.NBM                      | 342239425.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        44 | PA      | $43.68        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342239591.UL.NBM                      | 342239591.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       406 | PA      | $402.73       | 0.00%             | 2026-05-22      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| DRB5859089.UP.NBM                     | DRB5859089.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2399 | PA      | $2283.69      | 0.00%             | 2030-08-22      | Fixed         | 19.83%                | Yes           |                  3 | On Loan: No      |
| DRB5859093.UP.NBM                     | DRB5859093.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4166 | PA      | $4153.30      | 0.01%             | 2030-08-22      | Fixed         | 28.90%                | Yes           |                  3 | On Loan: No      |
| DRB5872949.UP.NBM                     | DRB5872949.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7368 | PA      | $7439.54      | 0.01%             | 2030-08-26      | Fixed         | 29.61%                | Yes           |                  3 | On Loan: No      |
| DRB5872970.UP.NBM                     | DRB5872970.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7366 | PA      | $7311.60      | 0.01%             | 2028-08-26      | Fixed         | 30.87%                | Yes           |                  3 | On Loan: No      |
| 343403627.UL.NBM                      | 343403627.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       155 | PA      | $13.01        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343404689.UL.NBM                      | 343404689.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        87 | PA      | $86.79        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5869390.UP.NBM                     | DRB5869390.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15349 | PA      | $16032.97     | 0.02%             | 2030-08-25      | Fixed         | 31.91%                | Yes           |                  3 | On Loan: No      |
| DRB5869392.UP.NBM                     | DRB5869392.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2040 | PA      | $2136.27      | 0.00%             | 2030-08-25      | Fixed         | 32.07%                | Yes           |                  3 | On Loan: No      |
| 342963472.UL.NBM                      | 342963472.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        72 | PA      | $71.19        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342963814.UL.NBM                      | 342963814.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       205 | PA      | $203.96       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342945241.UL.NBM                      | 342945241.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       254 | PA      | $252.32       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342945276.UL.NBM                      | 342945276.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       465 | PA      | $460.46       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342239930.UL.NBM                      | 342239930.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       240 | PA      | $237.79       | 0.00%             | 2026-05-22      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342240468.UL.NBM                      | 342240468.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       381 | PA      | $379.90       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343405606.UL.NBM                      | 343405606.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       262 | PA      | $259.51       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343405793.UL.NBM                      | 343405793.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        52 | PA      | $51.30        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5873371.UP.NBM                     | DRB5873371.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2401 | PA      | $2303.05      | 0.00%             | 2028-08-26      | Fixed         | 21.64%                | Yes           |                  3 | On Loan: No      |
| DRB5873395.UP.NBM                     | DRB5873395.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1455 | PA      | $1557.07      | 0.00%             | 2030-08-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| DRB5859096.UP.NBM                     | DRB5859096.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5429 | PA      | $5482.97      | 0.01%             | 2030-08-22      | Fixed         | 29.75%                | Yes           |                  3 | On Loan: No      |
| DRB5859107.UP.NBM                     | DRB5859107.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4551 | PA      | $4533.37      | 0.01%             | 2028-08-22      | Fixed         | 30.87%                | Yes           |                  3 | On Loan: No      |
| 342963963.UL.NBM                      | 342963963.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $64.32        | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342965906.UL.NBM                      | 342965906.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       320 | PA      | $316.82       | 0.00%             | 2026-05-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343406388.UL.NBM                      | 343406388.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       909 | PA      | $873.17       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343406477.UL.NBM                      | 343406477.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       199 | PA      | $198.49       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341598530.UL.NBM                      | 341598530.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        94 | PA      | $93.26        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341598783.UL.NBM                      | 341598783.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       377 | PA      | $376.06       | 0.00%             | 2026-02-21      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342242736.UL.NBM                      | 342242736.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        54 | PA      | $53.20        | 0.00%             | 2026-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342243122.UL.NBM                      | 342243122.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       713 | PA      | $704.75       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5873423.UP.NBM                     | DRB5873423.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     30747 | PA      | $31221.56     | 0.04%             | 2030-08-26      | Fixed         | 29.98%                | Yes           |                  3 | On Loan: No      |
| DRB5873428.UP.NBM                     | DRB5873428.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1058 | PA      | $1037.24      | 0.00%             | 2030-08-26      | Fixed         | 21.63%                | Yes           |                  3 | On Loan: No      |
| DRB5859140.UP.NBM                     | DRB5859140.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2033 | PA      | $2004.62      | 0.00%             | 2030-08-22      | Fixed         | 28.17%                | Yes           |                  3 | On Loan: No      |
| DRB5859180.UP.NBM                     | DRB5859180.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1529 | PA      | $1452.13      | 0.00%             | 2030-08-22      | Fixed         | 25.84%                | Yes           |                  3 | On Loan: No      |
| 343406754.UL.NBM                      | 343406754.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       109 | PA      | $108.18       | 0.00%             | 2026-02-26      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 343406806.UL.NBM                      | 343406806.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       125 | PA      | $124.28       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342967484.UL.NBM                      | 342967484.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       236 | PA      | $234.91       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342967862.UL.NBM                      | 342967862.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       197 | PA      | $45.42        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10213473.SQ.NBM                       | 10213473.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2391 | PA      | $2240.97      | 0.00%             | 2027-06-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10213551.SQ.NBM                       | 10213551.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19004 | PA      | $17335.32     | 0.02%             | 2027-06-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342457082.UL.NBM                      | 342457082.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        89 | PA      | $36.38        | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342457149.UL.NBM                      | 342457149.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.80        | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| DRB5873440.UP.NBM                     | DRB5873440.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2050 | PA      | $1932.69      | 0.00%             | 2028-08-26      | Fixed         | 15.53%                | Yes           |                  3 | On Loan: No      |
| DRB5873444.UP.NBM                     | DRB5873444.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5727 | PA      | $5917.77      | 0.01%             | 2030-08-26      | Fixed         | 31.14%                | Yes           |                  3 | On Loan: No      |
| 343406871.UL.NBM                      | 343406871.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1329 | PA      | $1238.42      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343406981.UL.NBM                      | 343406981.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        36 | PA      | $35.34        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342967874.UL.NBM                      | 342967874.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       119 | PA      | $118.08       | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342967969.UL.NBM                      | 342967969.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       141 | PA      | $140.45       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| DRB5861301.UP.NBM                     | DRB5861301.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     40309 | PA      | $40303.22     | 0.06%             | 2030-08-22      | Fixed         | 29.09%                | Yes           |                  3 | On Loan: No      |
| DRB5861444.UP.NBM                     | DRB5861444.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8087 | PA      | $1823.14      | 0.00%             | 2030-08-22      | Fixed         | 32.29%                | Yes           |                  3 | On Loan: No      |
| 343407061.UL.NBM                      | 343407061.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2270 | PA      | $2232.99      | 0.00%             | 2027-08-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343407860.UL.NBM                      | 343407860.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       156 | PA      | $149.48       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341598927.UL.NBM                      | 341598927.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1904 | PA      | $1881.22      | 0.00%             | 2026-07-21      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 341599344.UL.NBM                      | 341599344.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       429 | PA      | $426.13       | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342457212.UL.NBM                      | 342457212.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1255 | PA      | $1166.70      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342457338.UL.NBM                      | 342457338.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       766 | PA      | $762.40       | 0.00%             | 2026-02-23      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| DRB5873448.UP.NBM                     | DRB5873448.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4178 | PA      | $4177.69      | 0.01%             | 2030-08-26      | Fixed         | 32.05%                | Yes           |                  3 | On Loan: No      |
| DRB5873501.UP.NBM                     | DRB5873501.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3352 | PA      | $3182.96      | 0.00%             | 2030-08-26      | Fixed         | 25.76%                | Yes           |                  3 | On Loan: No      |
| 342968005.UL.NBM                      | 342968005.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       493 | PA      | $251.65       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342968161.UL.NBM                      | 342968161.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       228 | PA      | $225.51       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343407864.UL.NBM                      | 343407864.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       278 | PA      | $257.28       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343408317.UL.NBM                      | 343408317.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1076 | PA      | $1029.72      | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5861461.UP.NBM                     | DRB5861461.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2620 | PA      | $2654.11      | 0.00%             | 2030-08-22      | Fixed         | 29.96%                | Yes           |                  3 | On Loan: No      |
| DRB5861470.UP.NBM                     | DRB5861470.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2499 | PA      | $2516.38      | 0.00%             | 2030-08-22      | Fixed         | 29.90%                | Yes           |                  3 | On Loan: No      |
| 341272184.UL.NBM                      | 341272184.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       266 | PA      | $264.52       | 0.00%             | 2026-07-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341272907.UL.NBM                      | 341272907.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9073 | PA      | $8934.99      | 0.01%             | 2027-08-19      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341487258.UL.NBM                      | 341487258.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        80 | PA      | $80.06        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341487282.UL.NBM                      | 341487282.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       522 | PA      | $515.38       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5873504.UP.NBM                     | DRB5873504.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1064 | PA      | $1096.96      | 0.00%             | 2030-08-26      | Fixed         | 27.52%                | Yes           |                  3 | On Loan: No      |
| DRB5873543.UP.NBM                     | DRB5873543.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5521 | PA      | $5496.84      | 0.01%             | 2030-08-26      | Fixed         | 28.68%                | Yes           |                  3 | On Loan: No      |
| 342968302.UL.NBM                      | 342968302.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       305 | PA      | $302.72       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342969415.UL.NBM                      | 342969415.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        66 | PA      | $65.45        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342459319.UL.NBM                      | 342459319.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1011 | PA      | $937.26       | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342459647.UL.NBM                      | 342459647.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1129 | PA      | $1121.28      | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5873565.UP.NBM                     | DRB5873565.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1061 | PA      | $996.30       | 0.00%             | 2030-08-26      | Fixed         | 24.86%                | Yes           |                  3 | On Loan: No      |
| DRB5873571.UP.NBM                     | DRB5873571.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4310 | PA      | $4432.90      | 0.01%             | 2030-08-26      | Fixed         | 27.08%                | Yes           |                  3 | On Loan: No      |
| DRB5862419.UP.NBM                     | DRB5862419.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     30419 | PA      | $30353.34     | 0.04%             | 2030-08-25      | Fixed         | 28.86%                | Yes           |                  3 | On Loan: No      |
| DRB5862525.UP.NBM                     | DRB5862525.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1609 | PA      | $1594.79      | 0.00%             | 2030-08-25      | Fixed         | 28.59%                | Yes           |                  3 | On Loan: No      |
| 341599371.UL.NBM                      | 341599371.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       142 | PA      | $141.23       | 0.00%             | 2026-02-21      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 341599408.UL.NBM                      | 341599408.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       407 | PA      | $402.88       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341487332.UL.NBM                      | 341487332.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       987 | PA      | $910.24       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341487386.UL.NBM                      | 341487386.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       478 | PA      | $474.18       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342459849.UL.NBM                      | 342459849.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       173 | PA      | $173.05       | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342460945.UL.NBM                      | 342460945.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1590 | PA      | $1446.53      | 0.00%             | 2027-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5873574.UP.NBM                     | DRB5873574.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11557 | PA      | $10741.30     | 0.01%             | 2030-08-26      | Fixed         | 24.35%                | Yes           |                  3 | On Loan: No      |
| DRB5873597.UP.NBM                     | DRB5873597.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10798 | PA      | $10337.05     | 0.01%             | 2030-08-26      | Fixed         | 26.28%                | Yes           |                  3 | On Loan: No      |
| 343118285.UL.NBM                      | 343118285.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       208 | PA      | $206.56       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343179148.UL.NBM                      | 343179148.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       977 | PA      | $903.71       | 0.00%             | 2026-05-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5862871.UP.NBM                     | DRB5862871.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6654 | PA      | $6835.88      | 0.01%             | 2030-08-25      | Fixed         | 30.92%                | Yes           |                  3 | On Loan: No      |
| DRB5862887.UP.NBM                     | DRB5862887.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3381 | PA      | $3404.08      | 0.00%             | 2030-08-25      | Fixed         | 26.03%                | Yes           |                  3 | On Loan: No      |
| 341487426.UL.NBM                      | 341487426.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        39 | PA      | $38.57        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341487716.UL.NBM                      | 341487716.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        71 | PA      | $70.30        | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 10222833.SQ.NBM                       | 10222833.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16264 | PA      | $15239.13     | 0.02%             | 2027-06-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10223593.SQ.NBM                       | 10223593.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3005 | PA      | $2752.90      | 0.00%             | 2027-06-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342460973.UL.NBM                      | 342460973.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        79 | PA      | $78.19        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342461183.UL.NBM                      | 342461183.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       379 | PA      | $377.26       | 0.00%             | 2026-07-23      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| DRB5873599.UP.NBM                     | DRB5873599.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1674 | PA      | $373.97       | 0.00%             | 2030-08-26      | Fixed         | 28.53%                | Yes           |                  3 | On Loan: No      |
| DRB5873612.UP.NBM                     | DRB5873612.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6899 | PA      | $7016.73      | 0.01%             | 2030-08-26      | Fixed         | 30.24%                | Yes           |                  3 | On Loan: No      |
| 343179150.UL.NBM                      | 343179150.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        66 | PA      | $63.40        | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343179187.UL.NBM                      | 343179187.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9783 | PA      | $9626.87      | 0.01%             | 2027-08-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| DRB5864489.UP.NBM                     | DRB5864489.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6751 | PA      | $6931.94      | 0.01%             | 2030-08-25      | Fixed         | 30.51%                | Yes           |                  3 | On Loan: No      |
| DRB5864610.UP.NBM                     | DRB5864610.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     25989 | PA      | $26367.67     | 0.04%             | 2030-08-25      | Fixed         | 29.96%                | Yes           |                  3 | On Loan: No      |
| 341488102.UL.NBM                      | 341488102.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       699 | PA      | $694.64       | 0.00%             | 2026-02-20      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341488110.UL.NBM                      | 341488110.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1088 | PA      | $1074.91      | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342461362.UL.NBM                      | 342461362.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2097 | PA      | $1913.21      | 0.00%             | 2027-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342462452.UL.NBM                      | 342462452.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       104 | PA      | $102.97       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5873616.UP.NBM                     | DRB5873616.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1846 | PA      | $1935.80      | 0.00%             | 2030-08-26      | Fixed         | 32.13%                | Yes           |                  3 | On Loan: No      |
| DRB5873626.UP.NBM                     | DRB5873626.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1445 | PA      | $1449.37      | 0.00%             | 2030-08-26      | Fixed         | 23.08%                | Yes           |                  3 | On Loan: No      |
| 343179329.UL.NBM                      | 343179329.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       721 | PA      | $661.71       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5864691.UP.NBM                     | DRB5864691.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1371 | PA      | $1442.06      | 0.00%             | 2030-08-25      | Fixed         | 32.07%                | Yes           |                  3 | On Loan: No      |
| DRB5864700.UP.NBM                     | DRB5864700.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4177 | PA      | $4360.03      | 0.01%             | 2030-08-25      | Fixed         | 31.86%                | Yes           |                  3 | On Loan: No      |
| 10214060.SQ.NBM                       | 10214060.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7407 | PA      | $6896.67      | 0.01%             | 2027-06-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10214235.SQ.NBM                       | 10214235.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6053 | PA      | $5637.27      | 0.01%             | 2027-06-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341599703.UL.NBM                      | 341599703.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       182 | PA      | $7.40         | 0.00%             | 2035-11-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341599743.UL.NBM                      | 341599743.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        68 | PA      | $67.79        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343291843.UL.NBM                      | 343291843.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       178 | PA      | $176.91       | 0.00%             | 2026-02-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343291845.UL.NBM                      | 343291845.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        91 | PA      | $90.70        | 0.00%             | 2026-02-26      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| DRB5873630.UP.NBM                     | DRB5873630.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8696 | PA      | $1821.15      | 0.00%             | 2030-08-26      | Fixed         | 14.62%                | Yes           |                  3 | On Loan: No      |
| DRB5873645.UP.NBM                     | DRB5873645.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3158 | PA      | $3150.02      | 0.00%             | 2028-08-26      | Fixed         | 30.80%                | Yes           |                  3 | On Loan: No      |
| 342462523.UL.NBM                      | 342462523.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       182 | PA      | $180.02       | 0.00%             | 2026-05-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342462633.UL.NBM                      | 342462633.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        66 | PA      | $65.84        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5867012.UP.NBM                     | DRB5867012.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7707 | PA      | $7584.86      | 0.01%             | 2030-08-25      | Fixed         | 28.08%                | Yes           |                  3 | On Loan: No      |
| DRB5867023.UP.NBM                     | DRB5867023.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14413 | PA      | $13731.78     | 0.02%             | 2030-08-25      | Fixed         | 25.98%                | Yes           |                  3 | On Loan: No      |
| 341488189.UL.NBM                      | 341488189.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       908 | PA      | $897.92       | 0.00%             | 2026-07-20      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 341488313.UL.NBM                      | 341488313.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       779 | PA      | $770.10       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341722541.UL.NBM                      | 341722541.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       268 | PA      | $266.52       | 0.00%             | 2026-02-21      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341722601.UL.NBM                      | 341722601.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1106 | PA      | $1092.64      | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342647726.UL.NBM                      | 342647726.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       132 | PA      | $130.99       | 0.00%             | 2026-02-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342647755.UL.NBM                      | 342647755.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       339 | PA      | $336.18       | 0.00%             | 2026-05-24      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| DRB5873654.UP.NBM                     | DRB5873654.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6061 | PA      | $1425.49      | 0.00%             | 2030-08-26      | Fixed         | 32.16%                | Yes           |                  3 | On Loan: No      |
| DRB5873664.UP.NBM                     | DRB5873664.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2127 | PA      | $2064.01      | 0.00%             | 2030-08-26      | Fixed         | 26.99%                | Yes           |                  3 | On Loan: No      |
| DRB5867056.UP.NBM                     | DRB5867056.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2621 | PA      | $2706.40      | 0.00%             | 2030-08-25      | Fixed         | 31.13%                | Yes           |                  3 | On Loan: No      |
| DRB5867059.UP.NBM                     | DRB5867059.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9671 | PA      | $9504.32      | 0.01%             | 2028-08-25      | Fixed         | 24.03%                | Yes           |                  3 | On Loan: No      |
| 341600204.UL.NBM                      | 341600204.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        53 | PA      | $52.33        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341600388.UL.NBM                      | 341600388.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       494 | PA      | $491.58       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5867351.UP.NBM                     | DRB5867351.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1057 | PA      | $1031.33      | 0.00%             | 2030-08-25      | Fixed         | 21.31%                | Yes           |                  3 | On Loan: No      |
| DRB5867352.UP.NBM                     | DRB5867352.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1640 | PA      | $1712.65      | 0.00%             | 2030-08-25      | Fixed         | 32.01%                | Yes           |                  3 | On Loan: No      |
| DRB5873665.UP.NBM                     | DRB5873665.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4755 | PA      | $4880.45      | 0.01%             | 2030-08-26      | Fixed         | 30.69%                | Yes           |                  3 | On Loan: No      |
| DRB5873675.UP.NBM                     | DRB5873675.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1665 | PA      | $1568.02      | 0.00%             | 2028-08-26      | Fixed         | 25.03%                | Yes           |                  3 | On Loan: No      |
| 342945651.UL.NBM                      | 342945651.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       961 | PA      | $956.96       | 0.00%             | 2026-02-25      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 342945666.UL.NBM                      | 342945666.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        75 | PA      | $74.50        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341600487.UL.NBM                      | 341600487.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       555 | PA      | $546.48       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341600523.UL.NBM                      | 341600523.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       114 | PA      | $113.79       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343029343.UL.NBM                      | 343029343.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2259 | PA      | $2224.82      | 0.00%             | 2027-02-25      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 343029400.UL.NBM                      | 343029400.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2839 | PA      | $2805.99      | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10214441.SQ.NBM                       | 10214441.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10963 | PA      | $10275.77     | 0.01%             | 2027-06-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10214907.SQ.NBM                       | 10214907.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15140 | PA      | $14049.24     | 0.02%             | 2027-06-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 340956653.UL.NBM                      | 340956653.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       272 | PA      | $269.39       | 0.00%             | 2026-05-17      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 340965715.UL.NBM                      | 340965715.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       138 | PA      | $137.51       | 0.00%             | 2026-02-17      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5873680.UP.NBM                     | DRB5873680.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5625 | PA      | $5713.15      | 0.01%             | 2030-08-26      | Fixed         | 30.00%                | Yes           |                  3 | On Loan: No      |
| DRB5873683.UP.NBM                     | DRB5873683.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7002 | PA      | $7275.30      | 0.01%             | 2030-08-26      | Fixed         | 31.67%                | Yes           |                  3 | On Loan: No      |
| DRB5860613.UP.NBM                     | DRB5860613.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3846 | PA      | $3612.72      | 0.00%             | 2028-08-22      | Fixed         | 19.73%                | Yes           |                  3 | On Loan: No      |
| DRB5860614.UP.NBM                     | DRB5860614.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2041 | PA      | $2016.62      | 0.00%             | 2028-08-22      | Fixed         | 30.03%                | Yes           |                  3 | On Loan: No      |
| 342983660.UL.NBM                      | 342983660.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       126 | PA      | $125.03       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342983901.UL.NBM                      | 342983901.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        94 | PA      | $93.57        | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341600611.UL.NBM                      | 341600611.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       226 | PA      | $224.98       | 0.00%             | 2026-02-21      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341600773.UL.NBM                      | 341600773.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1437 | PA      | $1415.29      | 0.00%             | 2027-02-21      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| DRB5867364.UP.NBM                     | DRB5867364.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5009 | PA      | $5274.06      | 0.01%             | 2030-08-25      | Fixed         | 29.30%                | Yes           |                  3 | On Loan: No      |
| DRB5867369.UP.NBM                     | DRB5867369.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2836 | PA      | $2871.48      | 0.00%             | 2030-08-25      | Fixed         | 29.60%                | Yes           |                  3 | On Loan: No      |
| 343291869.UL.NBM                      | 343291869.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1494 | PA      | $1390.55      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343292044.UL.NBM                      | 343292044.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       876 | PA      | $867.12       | 0.00%             | 2026-07-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| DRB5873738.UP.NBM                     | DRB5873738.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2223 | PA      | $2134.22      | 0.00%             | 2030-08-26      | Fixed         | 26.32%                | Yes           |                  3 | On Loan: No      |
| DRB5873739.UP.NBM                     | DRB5873739.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4437 | PA      | $4167.00      | 0.01%             | 2028-08-26      | Fixed         | 11.74%                | Yes           |                  3 | On Loan: No      |
| 341409990.UL.NBM                      | 341409990.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       313 | PA      | $309.98       | 0.00%             | 2026-05-20      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341410453.UL.NBM                      | 341410453.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       459 | PA      | $455.14       | 0.00%             | 2026-05-20      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343029791.UL.NBM                      | 343029791.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       190 | PA      | $188.72       | 0.00%             | 2026-05-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343030099.UL.NBM                      | 343030099.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       185 | PA      | $183.14       | 0.00%             | 2026-05-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| DRB5867373.UP.NBM                     | DRB5867373.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2154 | PA      | $2175.71      | 0.00%             | 2030-08-25      | Fixed         | 29.97%                | Yes           |                  3 | On Loan: No      |
| DRB5867379.UP.NBM                     | DRB5867379.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1926 | PA      | $1844.81      | 0.00%             | 2030-08-25      | Fixed         | 22.88%                | Yes           |                  3 | On Loan: No      |
| 341665770.UL.NBM                      | 341665770.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       296 | PA      | $294.08       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341666259.UL.NBM                      | 341666259.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        85 | PA      | $85.13        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5875409.UP.NBM                     | DRB5875409.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2033 | PA      | $2012.68      | 0.00%             | 2030-08-26      | Fixed         | 28.30%                | Yes           |                  3 | On Loan: No      |
| DRB5875422.UP.NBM                     | DRB5875422.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4505 | PA      | $4355.29      | 0.01%             | 2028-08-26      | Fixed         | 27.96%                | Yes           |                  3 | On Loan: No      |
| 342984076.UL.NBM                      | 342984076.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       261 | PA      | $258.59       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342985332.UL.NBM                      | 342985332.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       118 | PA      | $118.08       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10046054.SQ.NBM                       | 10046054.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8354 | PA      | $7926.03      | 0.01%             | 2027-05-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10046625.SQ.NBM                       | 10046625.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7059 | PA      | $6683.77      | 0.01%             | 2027-05-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342006094.UL.NBM                      | 342006094.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       557 | PA      | $553.69       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342068420.UL.NBM                      | 342068420.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1010 | PA      | $999.91       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5867391.UP.NBM                     | DRB5867391.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1256 | PA      | $1264.80      | 0.00%             | 2030-08-25      | Fixed         | 26.05%                | Yes           |                  3 | On Loan: No      |
| DRB5872842.UP.NBM                     | DRB5872842.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2410 | PA      | $2459.64      | 0.00%             | 2030-08-26      | Fixed         | 30.46%                | Yes           |                  3 | On Loan: No      |
| 10215280.SQ.NBM                       | 10215280.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9235 | PA      | $8602.98      | 0.01%             | 2027-06-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10215559.SQ.NBM                       | 10215559.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       976 | PA      | $889.83       | 0.00%             | 2027-06-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343030416.UL.NBM                      | 343030416.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2576 | PA      | $2544.90      | 0.00%             | 2026-08-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343032368.UL.NBM                      | 343032368.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $66.38        | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5875447.UP.NBM                     | DRB5875447.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2527 | PA      | $2659.71      | 0.00%             | 2030-08-26      | Fixed         | 32.39%                | Yes           |                  3 | On Loan: No      |
| DRB5875449.UP.NBM                     | DRB5875449.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     30300 | PA      | $-122.43      | -0.00%            | 2030-08-26      | Fixed         | 30.13%                | Yes           |                  3 | On Loan: No      |
| 342985758.UL.NBM                      | 342985758.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       213 | PA      | $201.07       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342985959.UL.NBM                      | 342985959.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       846 | PA      | $836.82       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5872867.UP.NBM                     | DRB5872867.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1828 | PA      | $1832.83      | 0.00%             | 2030-08-26      | Fixed         | 29.27%                | Yes           |                  3 | On Loan: No      |
| DRB5872868.UP.NBM                     | DRB5872868.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3235 | PA      | $3110.56      | 0.00%             | 2030-08-26      | Fixed         | 12.81%                | Yes           |                  3 | On Loan: No      |
| 10134735.SQ.NBM                       | 10134735.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17673 | PA      | $16668.55     | 0.02%             | 2027-05-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10136381.SQ.NBM                       | 10136381.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3640 | PA      | $3311.75      | 0.00%             | 2027-05-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341666823.UL.NBM                      | 341666823.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1755 | PA      | $1733.84      | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341668344.UL.NBM                      | 341668344.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1694 | PA      | $1542.47      | 0.00%             | 2027-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343032511.UL.NBM                      | 343032511.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1847 | PA      | $1825.61      | 0.00%             | 2027-08-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343032680.UL.NBM                      | 343032680.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1448 | PA      | $1436.64      | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5875496.UP.NBM                     | DRB5875496.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5373 | PA      | $5256.58      | 0.01%             | 2030-08-26      | Fixed         | 27.67%                | Yes           |                  3 | On Loan: No      |
| DRB5875499.UP.NBM                     | DRB5875499.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2037 | PA      | $2077.11      | 0.00%             | 2030-08-26      | Fixed         | 30.26%                | Yes           |                  3 | On Loan: No      |
| 342987016.UL.NBM                      | 342987016.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1871 | PA      | $1851.74      | 0.00%             | 2026-07-25      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 342987217.UL.NBM                      | 342987217.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |         6 | PA      | $6.32         | 0.00%             | 2035-11-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342577631.UL.NBM                      | 342577631.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        84 | PA      | $83.91        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342577768.UL.NBM                      | 342577768.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        32 | PA      | $31.71        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5860935.UP.NBM                      | FW5860935.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5157 | PA      | $4258.58      | 0.01%             | 2030-08-22      | Fixed         | 28.71%                | Yes           |                  3 | On Loan: No      |
| FW5860942.UP.NBM                      | FW5860942.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2204 | PA      | $2057.83      | 0.00%             | 2030-08-22      | Fixed         | 18.62%                | Yes           |                  3 | On Loan: No      |
| 341899218.UL.NBM                      | 341899218.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        96 | PA      | $95.62        | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341899258.UL.NBM                      | 341899258.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        74 | PA      | $73.19        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342645379.UL.NBM                      | 342645379.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1557 | PA      | $1532.62      | 0.00%             | 2027-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342801471.UL.NBM                      | 342801471.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       310 | PA      | $293.94       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5872874.UP.NBM                     | DRB5872874.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1488 | PA      | $1546.89      | 0.00%             | 2030-08-26      | Fixed         | 28.47%                | Yes           |                  3 | On Loan: No      |
| DRB5874664.UP.NBM                     | DRB5874664.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6009 | PA      | $5709.81      | 0.01%             | 2030-08-26      | Fixed         | 25.83%                | Yes           |                  3 | On Loan: No      |
| 342068734.UL.NBM                      | 342068734.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       224 | PA      | $222.94       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342069250.UL.NBM                      | 342069250.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       896 | PA      | $825.38       | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343033002.UL.NBM                      | 343033002.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1273 | PA      | $1177.05      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343033337.UL.NBM                      | 343033337.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       272 | PA      | $269.43       | 0.00%             | 2026-05-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| DRB5875500.UP.NBM                     | DRB5875500.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2225 | PA      | $2179.79      | 0.00%             | 2030-08-26      | Fixed         | 27.61%                | Yes           |                  3 | On Loan: No      |
| DRB5875507.UP.NBM                     | DRB5875507.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3291 | PA      | $3236.61      | 0.00%             | 2030-08-26      | Fixed         | 27.87%                | Yes           |                  3 | On Loan: No      |
| 343292837.UL.NBM                      | 343292837.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       235 | PA      | $234.25       | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343293865.UL.NBM                      | 343293865.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4160 | PA      | $4101.11      | 0.01%             | 2027-08-31      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10136571.SQ.NBM                       | 10136571.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1029 | PA      | $972.64       | 0.00%             | 2027-05-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10136639.SQ.NBM                       | 10136639.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1717 | PA      | $1398.05      | 0.00%             | 2027-05-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342987435.UL.NBM                      | 342987435.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       692 | PA      | $688.96       | 0.00%             | 2026-02-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342987956.UL.NBM                      | 342987956.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        47 | PA      | $46.69        | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341410463.UL.NBM                      | 341410463.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       568 | PA      | $525.84       | 0.00%             | 2026-05-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341410518.UL.NBM                      | 341410518.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        90 | PA      | $10.98        | 0.00%             | 2035-11-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5875509.UP.NBM                     | DRB5875509.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2516 | PA      | $2473.35      | 0.00%             | 2030-08-26      | Fixed         | 27.84%                | Yes           |                  3 | On Loan: No      |
| DRB5875517.UP.NBM                     | DRB5875517.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11380 | PA      | $11151.84     | 0.02%             | 2030-08-26      | Fixed         | 24.29%                | Yes           |                  3 | On Loan: No      |
| DRB5874682.UP.NBM                     | DRB5874682.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4797 | PA      | $4447.11      | 0.01%             | 2030-08-26      | Fixed         | 24.20%                | Yes           |                  3 | On Loan: No      |
| DRB5874687.UP.NBM                     | DRB5874687.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14545 | PA      | $14007.65     | 0.02%             | 2030-08-26      | Fixed         | 16.04%                | Yes           |                  3 | On Loan: No      |
| 342069538.UL.NBM                      | 342069538.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       814 | PA      | $768.13       | 0.00%             | 2026-05-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342069663.UL.NBM                      | 342069663.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       126 | PA      | $125.18       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341396576.UL.NBM                      | 341396576.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       476 | PA      | $454.38       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341396596.UL.NBM                      | 341396596.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       428 | PA      | $423.47       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342987965.UL.NBM                      | 342987965.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       800 | PA      | $794.75       | 0.00%             | 2026-07-25      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342988094.UL.NBM                      | 342988094.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        55 | PA      | $54.61        | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| CBM5858765.UP.NBM                     | CBM5858765.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6120 | PA      | $6017.07      | 0.01%             | 2028-08-22      | Fixed         | 29.54%                | Yes           |                  3 | On Loan: No      |
| CBM5858776.UP.NBM                     | CBM5858776.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6732 | PA      | $6677.95      | 0.01%             | 2028-08-22      | Fixed         | 25.05%                | Yes           |                  3 | On Loan: No      |
| 10136712.SQ.NBM                       | 10136712.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     40312 | PA      | $38055.31     | 0.05%             | 2027-05-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 340792099.UL.NBM                      | 340792099.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       144 | PA      | $35.41        | 0.00%             | 2035-11-17      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5874699.UP.NBM                     | DRB5874699.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2775 | PA      | $2739.48      | 0.00%             | 2030-08-26      | Fixed         | 17.48%                | Yes           |                  3 | On Loan: No      |
| DRB5874706.UP.NBM                     | DRB5874706.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1649 | PA      | $1679.61      | 0.00%             | 2030-08-26      | Fixed         | 30.19%                | Yes           |                  3 | On Loan: No      |
| 341899387.UL.NBM                      | 341899387.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1554 | PA      | $1535.59      | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341900073.UL.NBM                      | 341900073.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       102 | PA      | $101.58       | 0.00%             | 2026-02-21      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342069737.UL.NBM                      | 342069737.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        59 | PA      | $58.81        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342070246.UL.NBM                      | 342070246.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        63 | PA      | $14.05        | 0.00%             | 2035-11-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342988120.UL.NBM                      | 342988120.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       267 | PA      | $264.22       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342988210.UL.NBM                      | 342988210.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        64 | PA      | $61.49        | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5875536.UP.NBM                     | DRB5875536.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1444 | PA      | $1437.35      | 0.00%             | 2030-08-26      | Fixed         | 28.78%                | Yes           |                  3 | On Loan: No      |
| DRB5875546.UP.NBM                     | DRB5875546.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2615 | PA      | $2602.86      | 0.00%             | 2030-08-26      | Fixed         | 28.66%                | Yes           |                  3 | On Loan: No      |
| 343293952.UL.NBM                      | 343293952.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       220 | PA      | $219.20       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343294000.UL.NBM                      | 343294000.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       169 | PA      | $167.71       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5874721.UP.NBM                     | DRB5874721.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4420 | PA      | $4247.48      | 0.01%             | 2028-08-26      | Fixed         | 27.45%                | Yes           |                  3 | On Loan: No      |
| DRB5874738.UP.NBM                     | DRB5874738.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1543 | PA      | $1514.65      | 0.00%             | 2030-08-26      | Fixed         | 24.39%                | Yes           |                  3 | On Loan: No      |
| 341007501.UL.NBM                      | 341007501.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       716 | PA      | $711.23       | 0.00%             | 2026-05-18      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341008907.UL.NBM                      | 341008907.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       234 | PA      | $231.12       | 0.00%             | 2026-05-18      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342070331.UL.NBM                      | 342070331.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       240 | PA      | $229.81       | 0.00%             | 2026-05-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342071012.UL.NBM                      | 342071012.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       505 | PA      | $502.03       | 0.00%             | 2026-02-22      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 342988858.UL.NBM                      | 342988858.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       951 | PA      | $897.88       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342988963.UL.NBM                      | 342988963.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       121 | PA      | $120.59       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342578447.UL.NBM                      | 342578447.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       238 | PA      | $236.11       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342642331.UL.NBM                      | 342642331.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       809 | PA      | $799.49       | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5875582.UP.NBM                     | DRB5875582.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3496 | PA      | $3636.68      | 0.01%             | 2030-08-26      | Fixed         | 31.59%                | Yes           |                  3 | On Loan: No      |
| DRB5875585.UP.NBM                     | DRB5875585.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4937 | PA      | $4865.85      | 0.01%             | 2030-08-26      | Fixed         | 28.02%                | Yes           |                  3 | On Loan: No      |
| DRB5874747.UP.NBM                     | DRB5874747.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1851 | PA      | $1792.28      | 0.00%             | 2028-08-26      | Fixed         | 27.82%                | Yes           |                  3 | On Loan: No      |
| DRB5874760.UP.NBM                     | DRB5874760.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3436 | PA      | $3425.21      | 0.00%             | 2028-08-26      | Fixed         | 30.74%                | Yes           |                  3 | On Loan: No      |
| 342071033.UL.NBM                      | 342071033.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       675 | PA      | $667.43       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342073146.UL.NBM                      | 342073146.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       419 | PA      | $416.33       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5860985.UP.NBM                      | FW5860985.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2406 | PA      | $2173.54      | 0.00%             | 2030-08-22      | Fixed         | 22.52%                | Yes           |                  3 | On Loan: No      |
| FW5866239.UP.NBM                      | FW5866239.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2068 | PA      | $460.96       | 0.00%             | 2030-08-25      | Fixed         | 28.69%                | Yes           |                  3 | On Loan: No      |
| 343002887.UL.NBM                      | 343002887.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       119 | PA      | $118.55       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343003015.UL.NBM                      | 343003015.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4559 | PA      | $4492.91      | 0.01%             | 2027-08-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| DRB5875612.UP.NBM                     | DRB5875612.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4815 | PA      | $4416.69      | 0.01%             | 2030-08-26      | Fixed         | 23.51%                | Yes           |                  3 | On Loan: No      |
| DRB5875632.UP.NBM                     | DRB5875632.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3487 | PA      | $3466.06      | 0.00%             | 2030-08-26      | Fixed         | 28.58%                | Yes           |                  3 | On Loan: No      |
| DRB5874764.UP.NBM                     | DRB5874764.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13646 | PA      | $13557.54     | 0.02%             | 2028-08-26      | Fixed         | 30.39%                | Yes           |                  3 | On Loan: No      |
| DRB5874798.UP.NBM                     | DRB5874798.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3596 | PA      | $3780.19      | 0.01%             | 2030-08-26      | Fixed         | 32.31%                | Yes           |                  3 | On Loan: No      |
| 342647764.UL.NBM                      | 342647764.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2094 | PA      | $2061.53      | 0.00%             | 2027-08-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342647891.UL.NBM                      | 342647891.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       212 | PA      | $210.76       | 0.00%             | 2026-02-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341273065.UL.NBM                      | 341273065.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       598 | PA      | $595.69       | 0.00%             | 2026-05-19      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341276994.UL.NBM                      | 341276994.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       285 | PA      | $281.63       | 0.00%             | 2026-07-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342647994.UL.NBM                      | 342647994.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       935 | PA      | $924.90       | 0.00%             | 2026-07-24      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342648018.UL.NBM                      | 342648018.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       848 | PA      | $784.82       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341008916.UL.NBM                      | 341008916.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        65 | PA      | $64.23        | 0.00%             | 2026-02-18      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341011110.UL.NBM                      | 341011110.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       313 | PA      | $298.14       | 0.00%             | 2026-02-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10046871.SQ.NBM                       | 10046871.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2818 | PA      | $2541.88      | 0.00%             | 2027-05-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10046956.SQ.NBM                       | 10046956.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2133 | PA      | $2001.05      | 0.00%             | 2027-05-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342911730.UL.NBM                      | 342911730.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2067 | PA      | $2048.97      | 0.00%             | 2026-05-24      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342912114.UL.NBM                      | 342912114.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       788 | PA      | $779.88       | 0.00%             | 2026-07-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342648069.UL.NBM                      | 342648069.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       609 | PA      | $604.67       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342648103.UL.NBM                      | 342648103.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1349 | PA      | $1336.02      | 0.00%             | 2026-07-28      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10173515.SQ.NBM                       | 10173515.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1366 | PA      | $1240.93      | 0.00%             | 2027-06-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10173561.SQ.NBM                       | 10173561.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6414 | PA      | $6015.36      | 0.01%             | 2027-06-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343003069.UL.NBM                      | 343003069.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |         4 | PA      | $4.39         | 0.00%             | 2035-11-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343003400.UL.NBM                      | 343003400.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       174 | PA      | $163.27       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341522111.UL.NBM                      | 341522111.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       410 | PA      | $406.10       | 0.00%             | 2026-05-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341522235.UL.NBM                      | 341522235.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        69 | PA      | $68.97        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341348821.UL.NBM                      | 341348821.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       845 | PA      | $778.00       | 0.00%             | 2026-07-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341348986.UL.NBM                      | 341348986.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       110 | PA      | $105.86       | 0.00%             | 2026-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5875639.UP.NBM                     | DRB5875639.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1700 | PA      | $25.08        | 0.00%             | 2030-08-26      | Fixed         | 23.87%                | Yes           |                  3 | On Loan: No      |
| DRB5875641.UP.NBM                     | DRB5875641.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     25629 | PA      | $26212.08     | 0.04%             | 2030-08-26      | Fixed         | 19.66%                | Yes           |                  3 | On Loan: No      |
| 10170222.SQ.NBM                       | 10170222.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1805 | PA      | $1648.80      | 0.00%             | 2027-06-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10170293.SQ.NBM                       | 10170293.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15342 | PA      | $13983.04     | 0.02%             | 2027-06-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342773044.UL.NBM                      | 342773044.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       955 | PA      | $884.62       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342773410.UL.NBM                      | 342773410.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        42 | PA      | $42.04        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342074326.UL.NBM                      | 342074326.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       113 | PA      | $112.66       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342075737.UL.NBM                      | 342075737.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1143 | PA      | $1061.60      | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5874835.UP.NBM                     | DRB5874835.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5537 | PA      | $5815.14      | 0.01%             | 2030-08-26      | Fixed         | 32.38%                | Yes           |                  3 | On Loan: No      |
| DRB5874847.UP.NBM                     | DRB5874847.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4791 | PA      | $4552.50      | 0.01%             | 2028-08-26      | Fixed         | 26.14%                | Yes           |                  3 | On Loan: No      |
| 343033827.UL.NBM                      | 343033827.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        52 | PA      | $51.30        | 0.00%             | 2026-02-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343033872.UL.NBM                      | 343033872.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       560 | PA      | $554.46       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5875643.UP.NBM                     | DRB5875643.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1986 | PA      | $191.94       | 0.00%             | 2030-08-26      | Fixed         | 28.82%                | Yes           |                  3 | On Loan: No      |
| DRB5875645.UP.NBM                     | DRB5875645.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1742 | PA      | $1719.84      | 0.00%             | 2030-08-26      | Fixed         | 28.11%                | Yes           |                  3 | On Loan: No      |
| 343003705.UL.NBM                      | 343003705.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2140 | PA      | $1987.12      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343003708.UL.NBM                      | 343003708.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       176 | PA      | $175.39       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342773701.UL.NBM                      | 342773701.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        93 | PA      | $92.78        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342773752.UL.NBM                      | 342773752.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       303 | PA      | $299.85       | 0.00%             | 2026-05-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| DRB5874853.UP.NBM                     | DRB5874853.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1537 | PA      | $1487.88      | 0.00%             | 2030-08-26      | Fixed         | 20.81%                | Yes           |                  3 | On Loan: No      |
| DRB5874892.UP.NBM                     | DRB5874892.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2207 | PA      | $2311.90      | 0.00%             | 2030-08-26      | Fixed         | 28.75%                | Yes           |                  3 | On Loan: No      |
| DRB5875649.UP.NBM                     | DRB5875649.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4416 | PA      | $4366.41      | 0.01%             | 2030-08-26      | Fixed         | 28.37%                | Yes           |                  3 | On Loan: No      |
| DRB5875650.UP.NBM                     | DRB5875650.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14408 | PA      | $13967.44     | 0.02%             | 2030-08-26      | Fixed         | 26.94%                | Yes           |                  3 | On Loan: No      |
| 341522263.UL.NBM                      | 341522263.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        68 | PA      | $67.29        | 0.00%             | 2026-02-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341522436.UL.NBM                      | 341522436.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       285 | PA      | $59.52        | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10047036.SQ.NBM                       | 10047036.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5317 | PA      | $4989.74      | 0.01%             | 2027-05-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10047223.SQ.NBM                       | 10047223.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1377 | PA      | $1260.74      | 0.00%             | 2027-05-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342642372.UL.NBM                      | 342642372.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       188 | PA      | $185.91       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342642504.UL.NBM                      | 342642504.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       155 | PA      | $154.65       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5874894.UP.NBM                     | DRB5874894.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2810 | PA      | $2815.17      | 0.00%             | 2030-08-26      | Fixed         | 29.09%                | Yes           |                  3 | On Loan: No      |
| DRB5874909.UP.NBM                     | DRB5874909.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2054 | PA      | $2085.73      | 0.00%             | 2030-08-26      | Fixed         | 29.77%                | Yes           |                  3 | On Loan: No      |
| 342075760.UL.NBM                      | 342075760.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       200 | PA      | $189.14       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342076629.UL.NBM                      | 342076629.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       101 | PA      | $100.51       | 0.00%             | 2026-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341488329.UL.NBM                      | 341488329.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       226 | PA      | $224.47       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341488418.UL.NBM                      | 341488418.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1000 | PA      | $922.99       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341314192.UL.NBM                      | 341314192.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       184 | PA      | $183.51       | 0.00%             | 2026-05-19      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341314517.UL.NBM                      | 341314517.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       484 | PA      | $480.46       | 0.00%             | 2026-02-19      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341522496.UL.NBM                      | 341522496.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1599 | PA      | $1497.12      | 0.00%             | 2026-05-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341522514.UL.NBM                      | 341522514.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       165 | PA      | $158.75       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342773947.UL.NBM                      | 342773947.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2971 | PA      | $2936.31      | 0.00%             | 2027-08-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342774341.UL.NBM                      | 342774341.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        54 | PA      | $54.19        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5875685.UP.NBM                     | DRB5875685.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2797 | PA      | $2868.73      | 0.00%             | 2030-08-26      | Fixed         | 30.79%                | Yes           |                  3 | On Loan: No      |
| DRB5875741.UP.NBM                     | DRB5875741.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9510 | PA      | $9549.12      | 0.01%             | 2030-08-26      | Fixed         | 29.38%                | Yes           |                  3 | On Loan: No      |
| 342076838.UL.NBM                      | 342076838.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       741 | PA      | $732.40       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342076852.UL.NBM                      | 342076852.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       116 | PA      | $114.94       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343004214.UL.NBM                      | 343004214.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       239 | PA      | $226.34       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343004908.UL.NBM                      | 343004908.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       208 | PA      | $206.42       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10047267.SQ.NBM                       | 10047267.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     20868 | PA      | $19658.26     | 0.03%             | 2027-05-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10047837.SQ.NBM                       | 10047837.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2596 | PA      | $2316.23      | 0.00%             | 2027-05-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341511261.UL.NBM                      | 341511261.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        71 | PA      | $70.27        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341511953.UL.NBM                      | 341511953.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       131 | PA      | $130.05       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5875758.UP.NBM                     | DRB5875758.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1907 | PA      | $1891.69      | 0.00%             | 2030-08-26      | Fixed         | 14.63%                | Yes           |                  3 | On Loan: No      |
| DRB5875759.UP.NBM                     | DRB5875759.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5141 | PA      | $5215.98      | 0.01%             | 2030-08-26      | Fixed         | 29.93%                | Yes           |                  3 | On Loan: No      |
| 341512160.UL.NBM                      | 341512160.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       969 | PA      | $898.00       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341512514.UL.NBM                      | 341512514.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1232 | PA      | $1170.54      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5874911.UP.NBM                     | DRB5874911.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15289 | PA      | $14115.19     | 0.02%             | 2030-08-26      | Fixed         | 13.54%                | Yes           |                  3 | On Loan: No      |
| DRB5874941.UP.NBM                     | DRB5874941.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1670 | PA      | $383.27       | 0.00%             | 2030-08-26      | Fixed         | 26.84%                | Yes           |                  3 | On Loan: No      |
| 341522803.UL.NBM                      | 341522803.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       556 | PA      | $516.93       | 0.00%             | 2026-05-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341522842.UL.NBM                      | 341522842.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       480 | PA      | $477.06       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341396912.UL.NBM                      | 341396912.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1269 | PA      | $571.09       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341401895.UL.NBM                      | 341401895.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       219 | PA      | $77.43        | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342077056.UL.NBM                      | 342077056.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       538 | PA      | $536.34       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342077455.UL.NBM                      | 342077455.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       242 | PA      | $229.58       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5875763.UP.NBM                     | DRB5875763.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1162 | PA      | $1149.73      | 0.00%             | 2030-08-26      | Fixed         | 28.28%                | Yes           |                  3 | On Loan: No      |
| DRB5875775.UP.NBM                     | DRB5875775.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2969 | PA      | $3044.81      | 0.00%             | 2030-08-26      | Fixed         | 30.80%                | Yes           |                  3 | On Loan: No      |
| 10047881.SQ.NBM                       | 10047881.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12670 | PA      | $11904.70     | 0.02%             | 2027-05-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10048101.SQ.NBM                       | 10048101.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19398 | PA      | $13061.49     | 0.02%             | 2027-05-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341512701.UL.NBM                      | 341512701.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        95 | PA      | $93.92        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341512782.UL.NBM                      | 341512782.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       948 | PA      | $936.83       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343037916.UL.NBM                      | 343037916.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       125 | PA      | $124.20       | 0.00%             | 2026-02-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343038153.UL.NBM                      | 343038153.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       256 | PA      | $253.89       | 0.00%             | 2026-05-25      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 341522923.UL.NBM                      | 341522923.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       233 | PA      | $231.61       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341522963.UL.NBM                      | 341522963.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       102 | PA      | $101.49       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342077706.UL.NBM                      | 342077706.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       125 | PA      | $25.07        | 0.00%             | 2035-11-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342078061.UL.NBM                      | 342078061.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        33 | PA      | $33.09        | 0.00%             | 2026-02-22      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341349671.UL.NBM                      | 341349671.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       261 | PA      | $247.94       | 0.00%             | 2026-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341349967.UL.NBM                      | 341349967.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        35 | PA      | $34.49        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342774866.UL.NBM                      | 342774866.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       129 | PA      | $124.32       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342775649.UL.NBM                      | 342775649.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       114 | PA      | $113.43       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343038171.UL.NBM                      | 343038171.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2162 | PA      | $2007.93      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343038854.UL.NBM                      | 343038854.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       156 | PA      | $155.63       | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342078139.UL.NBM                      | 342078139.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       871 | PA      | $857.55       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342261539.UL.NBM                      | 342261539.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       106 | PA      | $105.08       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341522976.UL.NBM                      | 341522976.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       388 | PA      | $384.80       | 0.00%             | 2026-05-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341522985.UL.NBM                      | 341522985.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        68 | PA      | $67.40        | 0.00%             | 2026-02-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342775654.UL.NBM                      | 342775654.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       344 | PA      | $340.72       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342775720.UL.NBM                      | 342775720.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       133 | PA      | $132.64       | 0.00%             | 2026-02-24      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341512807.UL.NBM                      | 341512807.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       112 | PA      | $110.97       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341512867.UL.NBM                      | 341512867.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       844 | PA      | $827.76       | 0.00%             | 2026-03-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10048394.SQ.NBM                       | 10048394.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3241 | PA      | $3004.32      | 0.00%             | 2027-05-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10048489.SQ.NBM                       | 10048489.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3348 | PA      | $3152.10      | 0.00%             | 2027-05-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342261811.UL.NBM                      | 342261811.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       367 | PA      | $26.23        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342262107.UL.NBM                      | 342262107.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       268 | PA      | $264.87       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341523011.UL.NBM                      | 341523011.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        38 | PA      | $37.51        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341523088.UL.NBM                      | 341523088.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       496 | PA      | $491.31       | 0.00%             | 2026-05-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342776821.UL.NBM                      | 342776821.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       124 | PA      | $123.45       | 0.00%             | 2026-02-24      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342776878.UL.NBM                      | 342776878.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       155 | PA      | $153.69       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341350368.UL.NBM                      | 341350368.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       110 | PA      | $109.05       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341351047.UL.NBM                      | 341351047.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       242 | PA      | $233.31       | 0.00%             | 2026-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343038882.UL.NBM                      | 343038882.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       331 | PA      | $328.48       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343039188.UL.NBM                      | 343039188.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       295 | PA      | $293.11       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342263371.UL.NBM                      | 342263371.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        45 | PA      | $44.74        | 0.00%             | 2026-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342264468.UL.NBM                      | 342264468.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1010 | PA      | $998.56       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342776892.UL.NBM                      | 342776892.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       765 | PA      | $760.53       | 0.00%             | 2026-07-24      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342777217.UL.NBM                      | 342777217.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       184 | PA      | $182.78       | 0.00%             | 2026-02-24      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342129266.UL.NBM                      | 342129266.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        57 | PA      | $56.86        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342129273.UL.NBM                      | 342129273.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1269 | PA      | $1260.99      | 0.00%             | 2026-07-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341351095.UL.NBM                      | 341351095.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       919 | PA      | $908.04       | 0.00%             | 2026-07-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341351125.UL.NBM                      | 341351125.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       428 | PA      | $423.06       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342264546.UL.NBM                      | 342264546.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       137 | PA      | $129.56       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342264683.UL.NBM                      | 342264683.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1192 | PA      | $1178.27      | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342777387.UL.NBM                      | 342777387.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1504 | PA      | $1480.38      | 0.00%             | 2027-02-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342919665.UL.NBM                      | 342919665.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       530 | PA      | $527.38       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10048576.SQ.NBM                       | 10048576.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6976 | PA      | $6613.08      | 0.01%             | 2027-05-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10048725.SQ.NBM                       | 10048725.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2576 | PA      | $2412.62      | 0.00%             | 2027-05-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342129412.UL.NBM                      | 342129412.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       844 | PA      | $809.52       | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342129459.UL.NBM                      | 342129459.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1264 | PA      | $1267.81      | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343034204.UL.NBM                      | 343034204.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        99 | PA      | $99.09        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343034307.UL.NBM                      | 343034307.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        87 | PA      | $86.56        | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342265979.UL.NBM                      | 342265979.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       192 | PA      | $190.34       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342266133.UL.NBM                      | 342266133.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       781 | PA      | $718.38       | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341353053.UL.NBM                      | 341353053.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        87 | PA      | $86.99        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341353149.UL.NBM                      | 341353149.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1092 | PA      | $1078.54      | 0.00%             | 2026-07-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342920129.UL.NBM                      | 342920129.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       631 | PA      | $627.76       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342920432.UL.NBM                      | 342920432.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       256 | PA      | $255.69       | 0.00%             | 2026-02-24      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 10048754.SQ.NBM                       | 10048754.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6234 | PA      | $5902.64      | 0.01%             | 2027-05-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10048802.SQ.NBM                       | 10048802.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2627 | PA      | $2452.80      | 0.00%             | 2027-05-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342266580.UL.NBM                      | 342266580.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       220 | PA      | $73.67        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342266689.UL.NBM                      | 342266689.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        42 | PA      | $41.23        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343039601.UL.NBM                      | 343039601.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1149 | PA      | $1146.76      | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343039720.UL.NBM                      | 343039720.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        92 | PA      | $91.74        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341523271.UL.NBM                      | 341523271.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2245 | PA      | $2060.11      | 0.00%             | 2027-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341523279.UL.NBM                      | 341523279.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       105 | PA      | $104.77       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342920437.UL.NBM                      | 342920437.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1357 | PA      | $1256.10      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342920542.UL.NBM                      | 342920542.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       226 | PA      | $224.29       | 0.00%             | 2026-02-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 10170818.SQ.NBM                       | 10170818.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7408 | PA      | $6951.14      | 0.01%             | 2027-06-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10174247.SQ.NBM                       | 10174247.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1051 | PA      | $956.54       | 0.00%             | 2027-06-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341353218.UL.NBM                      | 341353218.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       193 | PA      | $192.12       | 0.00%             | 2026-02-19      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341353257.UL.NBM                      | 341353257.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        60 | PA      | $60.15        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342266743.UL.NBM                      | 342266743.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       155 | PA      | $153.47       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343041332.UL.NBM                      | 343041332.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1753 | PA      | $1633.79      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343041339.UL.NBM                      | 343041339.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       210 | PA      | $209.32       | 0.00%             | 2026-05-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341523319.UL.NBM                      | 341523319.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       360 | PA      | $355.90       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341524003.UL.NBM                      | 341524003.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       239 | PA      | $226.64       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341671308.UL.NBM                      | 341671308.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       297 | PA      | $293.61       | 0.00%             | 2026-07-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341672754.UL.NBM                      | 341672754.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        27 | PA      | $27.04        | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9932411.SQ.NBM                        | 9932411.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     38851 | PA      | $36390.28     | 0.05%             | 2027-04-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9932926.SQ.NBM                        | 9932926.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1669 | PA      | $1497.33      | 0.00%             | 2027-04-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9742076.SQ.NBM                        | 9742076.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13208 | PA      | $12564.31     | 0.02%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9742184.SQ.NBM                        | 9742184.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9346 | PA      | $8910.82      | 0.01%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342920762.UL.NBM                      | 342920762.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5865 | PA      | $5781.13      | 0.01%             | 2027-08-24      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 342920778.UL.NBM                      | 342920778.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        21 | PA      | $20.65        | 0.00%             | 2026-05-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341353415.UL.NBM                      | 341353415.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       193 | PA      | $191.94       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5873081.UP.NBM                      | FW5873081.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2274 | PA      | $2252.46      | 0.00%             | 2030-08-26      | Fixed         | 28.82%                | Yes           |                  3 | On Loan: No      |
| 343041744.UL.NBM                      | 343041744.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       153 | PA      | $152.29       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343041747.UL.NBM                      | 343041747.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        55 | PA      | $54.59        | 0.00%             | 2026-02-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 10175170.SQ.NBM                       | 10175170.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7585 | PA      | $7010.64      | 0.01%             | 2027-06-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10175673.SQ.NBM                       | 10175673.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4479 | PA      | $4088.28      | 0.01%             | 2027-06-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9932950.SQ.NBM                        | 9932950.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3180 | PA      | $3009.91      | 0.00%             | 2027-04-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9933011.SQ.NBM                        | 9933011.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     26902 | PA      | $25372.31     | 0.03%             | 2027-04-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9742262.SQ.NBM                        | 9742262.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       526 | PA      | $491.33       | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9742287.SQ.NBM                        | 9742287.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9215 | PA      | $7885.88      | 0.01%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341524017.UL.NBM                      | 341524017.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       209 | PA      | $207.11       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341524020.UL.NBM                      | 341524020.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       196 | PA      | $195.42       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343041755.UL.NBM                      | 343041755.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       398 | PA      | $396.38       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343041859.UL.NBM                      | 343041859.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        75 | PA      | $75.06        | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342130964.UL.NBM                      | 342130964.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1138 | PA      | $1127.67      | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342131176.UL.NBM                      | 342131176.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       730 | PA      | $726.14       | 0.00%             | 2026-02-22      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 9933586.SQ.NBM                        | 9933586.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2064 | PA      | $1915.99      | 0.00%             | 2027-04-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9933647.SQ.NBM                        | 9933647.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     43636 | PA      | $41024.26     | 0.06%             | 2027-04-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342921022.UL.NBM                      | 342921022.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       165 | PA      | $164.80       | 0.00%             | 2026-02-28      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342922068.UL.NBM                      | 342922068.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       850 | PA      | $840.85       | 0.00%             | 2026-07-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| FW5873109.UP.NBM                      | FW5873109.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2526 | PA      | $2636.38      | 0.00%             | 2030-08-26      | Fixed         | 31.83%                | Yes           |                  3 | On Loan: No      |
| FW5873128.UP.NBM                      | FW5873128.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2713 | PA      | $2860.42      | 0.00%             | 2030-08-26      | Fixed         | 29.00%                | Yes           |                  3 | On Loan: No      |
| 343042153.UL.NBM                      | 343042153.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        32 | PA      | $32.15        | 0.00%             | 2026-02-25      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343042178.UL.NBM                      | 343042178.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       213 | PA      | $212.26       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341524149.UL.NBM                      | 341524149.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       387 | PA      | $383.07       | 0.00%             | 2026-05-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341524309.UL.NBM                      | 341524309.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       196 | PA      | $194.99       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9934807.SQ.NBM                        | 9934807.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     25006 | PA      | $23764.01     | 0.03%             | 2027-04-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| CBM5858155.UP.NBM                     | CBM5858155.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8679 | PA      | $1955.67      | 0.00%             | 2030-08-22      | Fixed         | 32.22%                | Yes           |                  3 | On Loan: No      |
| 342132996.UL.NBM                      | 342132996.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       290 | PA      | $288.20       | 0.00%             | 2026-02-22      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 342133954.UL.NBM                      | 342133954.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       365 | PA      | $364.00       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342922223.UL.NBM                      | 342922223.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       200 | PA      | $197.73       | 0.00%             | 2026-07-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342922344.UL.NBM                      | 342922344.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        98 | PA      | $97.42        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341524340.UL.NBM                      | 341524340.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        72 | PA      | $71.71        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341524517.UL.NBM                      | 341524517.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        60 | PA      | $60.65        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5873129.UP.NBM                      | FW5873129.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2407 | PA      | $2355.50      | 0.00%             | 2030-08-26      | Fixed         | 27.35%                | Yes           |                  3 | On Loan: No      |
| FW5873149.UP.NBM                      | FW5873149.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3138 | PA      | $3006.88      | 0.00%             | 2030-08-26      | Fixed         | 15.76%                | Yes           |                  3 | On Loan: No      |
| CBM5858180.UP.NBM                     | CBM5858180.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2414 | PA      | $2399.94      | 0.00%             | 2028-08-22      | Fixed         | 30.66%                | Yes           |                  3 | On Loan: No      |
| CBM5858189.UP.NBM                     | CBM5858189.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1647 | PA      | $1646.49      | 0.00%             | 2030-08-22      | Fixed         | 29.07%                | Yes           |                  3 | On Loan: No      |
| 343042586.UL.NBM                      | 343042586.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        54 | PA      | $53.63        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343042657.UL.NBM                      | 343042657.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1058 | PA      | $981.34       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342134752.UL.NBM                      | 342134752.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       143 | PA      | $141.92       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342135911.UL.NBM                      | 342135911.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        97 | PA      | $96.86        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341524617.UL.NBM                      | 341524617.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        81 | PA      | $80.98        | 0.00%             | 2026-02-20      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341524810.UL.NBM                      | 341524810.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        66 | PA      | $65.40        | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342932352.UL.NBM                      | 342932352.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       102 | PA      | $102.00       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5858202.UP.NBM                     | CBM5858202.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1358 | PA      | $1390.03      | 0.00%             | 2030-08-22      | Fixed         | 30.63%                | Yes           |                  3 | On Loan: No      |
| CBM5858203.UP.NBM                     | CBM5858203.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9592 | PA      | $9521.32      | 0.01%             | 2030-08-22      | Fixed         | 28.61%                | Yes           |                  3 | On Loan: No      |
| FW5873174.UP.NBM                      | FW5873174.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2413 | PA      | $2281.35      | 0.00%             | 2030-08-26      | Fixed         | 25.31%                | Yes           |                  3 | On Loan: No      |
| FW5873201.UP.NBM                      | FW5873201.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1555 | PA      | $1634.54      | 0.00%             | 2030-08-26      | Fixed         | 32.29%                | Yes           |                  3 | On Loan: No      |
| 343042860.UL.NBM                      | 343042860.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        52 | PA      | $51.30        | 0.00%             | 2026-02-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343042865.UL.NBM                      | 343042865.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        59 | PA      | $58.52        | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341525193.UL.NBM                      | 341525193.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       449 | PA      | $444.82       | 0.00%             | 2026-05-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341525306.UL.NBM                      | 341525306.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        82 | PA      | $14.25        | 0.00%             | 2035-11-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10176227.SQ.NBM                       | 10176227.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2344 | PA      | $2150.09      | 0.00%             | 2027-06-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10176891.SQ.NBM                       | 10176891.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3872 | PA      | $3509.31      | 0.00%             | 2027-06-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342136251.UL.NBM                      | 342136251.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       400 | PA      | $400.17       | 0.00%             | 2026-02-28      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342438744.UL.NBM                      | 342438744.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       189 | PA      | $187.58       | 0.00%             | 2026-02-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| CBM5858284.UP.NBM                     | CBM5858284.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     43450 | PA      | $42438.83     | 0.06%             | 2030-08-22      | Fixed         | 21.45%                | Yes           |                  3 | On Loan: No      |
| CBM5858293.UP.NBM                     | CBM5858293.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1271 | PA      | $1057.36      | 0.00%             | 2030-08-22      | Fixed         | 29.24%                | Yes           |                  3 | On Loan: No      |
| 343042988.UL.NBM                      | 343042988.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        97 | PA      | $96.35        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343043150.UL.NBM                      | 343043150.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       406 | PA      | $401.98       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341525384.UL.NBM                      | 341525384.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       218 | PA      | $215.65       | 0.00%             | 2026-05-20      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341525443.UL.NBM                      | 341525443.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       207 | PA      | $204.60       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9742332.SQ.NBM                        | 9742332.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1497 | PA      | $1419.74      | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9742392.SQ.NBM                        | 9742392.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7370 | PA      | $7046.06      | 0.01%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5873203.UP.NBM                      | FW5873203.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3109 | PA      | $3263.69      | 0.00%             | 2030-08-26      | Fixed         | 32.20%                | Yes           |                  3 | On Loan: No      |
| FW5873217.UP.NBM                      | FW5873217.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1369 | PA      | $1374.56      | 0.00%             | 2030-08-26      | Fixed         | 29.01%                | Yes           |                  3 | On Loan: No      |
| 342440076.UL.NBM                      | 342440076.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        84 | PA      | $83.39        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342440581.UL.NBM                      | 342440581.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       166 | PA      | $165.43       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10177073.SQ.NBM                       | 10177073.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10476 | PA      | $9683.86      | 0.01%             | 2027-06-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10177513.SQ.NBM                       | 10177513.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2244 | PA      | $2089.10      | 0.00%             | 2027-06-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| CBM5858300.UP.NBM                     | CBM5858300.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2131 | PA      | $2123.51      | 0.00%             | 2030-08-22      | Fixed         | 28.86%                | Yes           |                  3 | On Loan: No      |
| CBM5858319.UP.NBM                     | CBM5858319.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4972 | PA      | $5132.57      | 0.01%             | 2030-08-25      | Fixed         | 31.30%                | Yes           |                  3 | On Loan: No      |
| FW5873236.UP.NBM                      | FW5873236.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8178 | PA      | $8068.03      | 0.01%             | 2030-08-26      | Fixed         | 22.02%                | Yes           |                  3 | On Loan: No      |
| L5865523.UP.NBM                       | L5865523.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6738 | PA      | $6696.00      | 0.01%             | 2030-08-25      | Fixed         | 22.50%                | Yes           |                  3 | On Loan: No      |
| 343034377.UL.NBM                      | 343034377.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       265 | PA      | $251.04       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343034698.UL.NBM                      | 343034698.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        58 | PA      | $57.74        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341525811.UL.NBM                      | 341525811.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       136 | PA      | $130.85       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341525917.UL.NBM                      | 341525917.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       123 | PA      | $123.97       | 0.00%             | 2026-02-28      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5858355.UP.NBM                     | CBM5858355.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     20225 | PA      | $19487.20     | 0.03%             | 2030-08-22      | Fixed         | 26.79%                | Yes           |                  3 | On Loan: No      |
| CBM5858357.UP.NBM                     | CBM5858357.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2327 | PA      | $2348.76      | 0.00%             | 2030-08-22      | Fixed         | 29.72%                | Yes           |                  3 | On Loan: No      |
| 342440917.UL.NBM                      | 342440917.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       199 | PA      | $198.74       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342557344.UL.NBM                      | 342557344.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       571 | PA      | $547.03       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10177647.SQ.NBM                       | 10177647.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1452 | PA      | $1327.32      | 0.00%             | 2027-06-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10188149.SQ.NBM                       | 10188149.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5735 | PA      | $5377.15      | 0.01%             | 2027-06-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5865538.UP.NBM                       | L5865538.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5455 | PA      | $5197.79      | 0.01%             | 2030-08-25      | Fixed         | 19.98%                | Yes           |                  3 | On Loan: No      |
| L5865545.UP.NBM                       | L5865545.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     47185 | PA      | $43770.55     | 0.06%             | 2030-08-25      | Fixed         | 13.86%                | Yes           |                  3 | On Loan: No      |
| CBM5858367.UP.NBM                     | CBM5858367.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3289 | PA      | $3201.66      | 0.00%             | 2030-08-22      | Fixed         | 27.33%                | Yes           |                  3 | On Loan: No      |
| CBM5858391.UP.NBM                     | CBM5858391.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1453 | PA      | $1446.26      | 0.00%             | 2030-08-22      | Fixed         | 28.79%                | Yes           |                  3 | On Loan: No      |
| 341528054.UL.NBM                      | 341528054.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       236 | PA      | $233.79       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341528104.UL.NBM                      | 341528104.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       149 | PA      | $143.61       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9742591.SQ.NBM                        | 9742591.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3857 | PA      | $3387.25      | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9742639.SQ.NBM                        | 9742639.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     30668 | PA      | $28950.46     | 0.04%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343043379.UL.NBM                      | 343043379.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       252 | PA      | $238.89       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343043397.UL.NBM                      | 343043397.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       452 | PA      | $448.98       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10188350.SQ.NBM                       | 10188350.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     44228 | PA      | $41470.02     | 0.06%             | 2027-06-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10189328.SQ.NBM                       | 10189328.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14089 | PA      | $13214.67     | 0.02%             | 2027-06-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| CBM5858394.UP.NBM                     | CBM5858394.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9116 | PA      | $2261.92      | 0.00%             | 2028-08-22      | Fixed         | 29.10%                | Yes           |                  3 | On Loan: No      |
| CBM5858397.UP.NBM                     | CBM5858397.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16458 | PA      | $16295.94     | 0.02%             | 2030-08-22      | Fixed         | 28.60%                | Yes           |                  3 | On Loan: No      |
| L5865651.UP.NBM                       | L5865651.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3443 | PA      | $3370.20      | 0.00%             | 2030-08-25      | Fixed         | 16.98%                | Yes           |                  3 | On Loan: No      |
| L5865666.UP.NBM                       | L5865666.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2269 | PA      | $2166.74      | 0.00%             | 2028-08-25      | Fixed         | 13.28%                | Yes           |                  3 | On Loan: No      |
| 342557388.UL.NBM                      | 342557388.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        46 | PA      | $45.57        | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342557510.UL.NBM                      | 342557510.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       210 | PA      | $208.66       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9742935.SQ.NBM                        | 9742935.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3198 | PA      | $3059.92      | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9742959.SQ.NBM                        | 9742959.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5395 | PA      | $5125.28      | 0.01%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341528117.UL.NBM                      | 341528117.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        28 | PA      | $28.00        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341528120.UL.NBM                      | 341528120.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       641 | PA      | $634.26       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5858418.UP.NBM                     | CBM5858418.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5232 | PA      | $5503.79      | 0.01%             | 2030-08-22      | Fixed         | 28.97%                | Yes           |                  3 | On Loan: No      |
| DRB5869405.UP.NBM                     | DRB5869405.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1059 | PA      | $1053.05      | 0.00%             | 2030-08-25      | Fixed         | 28.80%                | Yes           |                  3 | On Loan: No      |
| L5865684.UP.NBM                       | L5865684.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3851 | PA      | $3495.28      | 0.00%             | 2030-08-25      | Fixed         | 22.75%                | Yes           |                  3 | On Loan: No      |
| L5865730.UP.NBM                       | L5865730.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4735 | PA      | $4550.27      | 0.01%             | 2030-08-25      | Fixed         | 20.50%                | Yes           |                  3 | On Loan: No      |
| 10215615.SQ.NBM                       | 10215615.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2856 | PA      | $2618.69      | 0.00%             | 2027-06-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10215714.SQ.NBM                       | 10215714.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8158 | PA      | $7645.36      | 0.01%             | 2027-06-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10189720.SQ.NBM                       | 10189720.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7348 | PA      | $6848.58      | 0.01%             | 2027-06-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343529030.UL.NBM                      | 343529030.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       883 | PA      | $869.31       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342557602.UL.NBM                      | 342557602.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1503 | PA      | $1373.67      | 0.00%             | 2027-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342580150.UL.NBM                      | 342580150.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       997 | PA      | $991.00       | 0.00%             | 2026-07-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341872208.UL.NBM                      | 341872208.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       511 | PA      | $116.69       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341872232.UL.NBM                      | 341872232.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7142 | PA      | $7059.22      | 0.01%             | 2027-08-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| DRB5869436.UP.NBM                     | DRB5869436.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9498 | PA      | $9551.40      | 0.01%             | 2030-08-25      | Fixed         | 29.37%                | Yes           |                  3 | On Loan: No      |
| DRB5869487.UP.NBM                     | DRB5869487.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2203 | PA      | $2039.70      | 0.00%             | 2030-08-25      | Fixed         | 18.07%                | Yes           |                  3 | On Loan: No      |
| 9743011.SQ.NBM                        | 9743011.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12107 | PA      | $9514.39      | 0.01%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9743169.SQ.NBM                        | 9743169.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5549 | PA      | $4975.11      | 0.01%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5865732.UP.NBM                       | L5865732.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3468 | PA      | $3343.87      | 0.00%             | 2030-08-25      | Fixed         | 23.29%                | Yes           |                  3 | On Loan: No      |
| L5865733.UP.NBM                       | L5865733.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1005 | PA      | $974.47       | 0.00%             | 2028-08-25      | Fixed         | 17.97%                | Yes           |                  3 | On Loan: No      |
| 343529079.UL.NBM                      | 343529079.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1007 | PA      | $991.04       | 0.00%             | 2027-02-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343530411.UL.NBM                      | 343530411.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        42 | PA      | $41.80        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341872667.UL.NBM                      | 341872667.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        90 | PA      | $89.65        | 0.00%             | 2026-02-21      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341877987.UL.NBM                      | 341877987.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3471 | PA      | $3420.69      | 0.00%             | 2027-08-21      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| DRB5869545.UP.NBM                     | DRB5869545.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3499 | PA      | $3578.37      | 0.00%             | 2030-08-25      | Fixed         | 30.74%                | Yes           |                  3 | On Loan: No      |
| DRB5870195.UP.NBM                     | DRB5870195.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4246 | PA      | $4029.48      | 0.01%             | 2028-08-25      | Fixed         | 25.85%                | Yes           |                  3 | On Loan: No      |
| CBM5873523.UP.NBM                     | CBM5873523.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3104 | PA      | $3157.64      | 0.00%             | 2030-08-26      | Fixed         | 30.11%                | Yes           |                  3 | On Loan: No      |
| CBM5873538.UP.NBM                     | CBM5873538.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1050 | PA      | $1008.63      | 0.00%             | 2030-08-26      | Fixed         | 26.50%                | Yes           |                  3 | On Loan: No      |
| 342580184.UL.NBM                      | 342580184.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       182 | PA      | $180.94       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342580575.UL.NBM                      | 342580575.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       820 | PA      | $757.99       | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5870268.UP.NBM                     | DRB5870268.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1541 | PA      | $1410.46      | 0.00%             | 2030-08-25      | Fixed         | 23.27%                | Yes           |                  3 | On Loan: No      |
| DRB5870383.UP.NBM                     | DRB5870383.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     32128 | PA      | $31979.00     | 0.04%             | 2028-08-25      | Fixed         | 30.63%                | Yes           |                  3 | On Loan: No      |
| 341878144.UL.NBM                      | 341878144.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       304 | PA      | $301.21       | 0.00%             | 2026-05-21      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341878521.UL.NBM                      | 341878521.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       316 | PA      | $315.05       | 0.00%             | 2026-05-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343531621.UL.NBM                      | 343531621.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4706 | PA      | $4640.48      | 0.01%             | 2026-12-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343531965.UL.NBM                      | 343531965.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.93        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5865745.UP.NBM                       | L5865745.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16049 | PA      | $15450.81     | 0.02%             | 2030-08-25      | Fixed         | 20.49%                | Yes           |                  3 | On Loan: No      |
| L5865746.UP.NBM                       | L5865746.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8555 | PA      | $7824.69      | 0.01%             | 2030-08-25      | Fixed         | 17.46%                | Yes           |                  3 | On Loan: No      |
| 9743244.SQ.NBM                        | 9743244.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1861 | PA      | $1745.44      | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342580666.UL.NBM                      | 342580666.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       153 | PA      | $147.39       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342636061.UL.NBM                      | 342636061.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1173 | PA      | $1159.25      | 0.00%             | 2026-07-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| DRB5870387.UP.NBM                     | DRB5870387.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1167 | PA      | $1161.47      | 0.00%             | 2030-08-25      | Fixed         | 28.66%                | Yes           |                  3 | On Loan: No      |
| DRB5870390.UP.NBM                     | DRB5870390.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5899 | PA      | $5701.73      | 0.01%             | 2028-08-25      | Fixed         | 27.97%                | Yes           |                  3 | On Loan: No      |
| L5865772.UP.NBM                       | L5865772.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2471 | PA      | $2309.03      | 0.00%             | 2028-08-25      | Fixed         | 19.17%                | Yes           |                  3 | On Loan: No      |
| 341277124.UL.NBM                      | 341277124.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       260 | PA      | $258.13       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341277164.UL.NBM                      | 341277164.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       160 | PA      | $158.47       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341878977.UL.NBM                      | 341878977.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       400 | PA      | $390.34       | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341888454.UL.NBM                      | 341888454.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       303 | PA      | $299.52       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343532722.UL.NBM                      | 343532722.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        66 | PA      | $65.31        | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343532809.UL.NBM                      | 343532809.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4388 | PA      | $4327.38      | 0.01%             | 2027-02-26      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| DRB5870394.UP.NBM                     | DRB5870394.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1456 | PA      | $1449.39      | 0.00%             | 2030-08-25      | Fixed         | 28.72%                | Yes           |                  3 | On Loan: No      |
| DRB5870428.UP.NBM                     | DRB5870428.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2712 | PA      | $2698.81      | 0.00%             | 2030-08-25      | Fixed         | 28.68%                | Yes           |                  3 | On Loan: No      |
| 343034726.UL.NBM                      | 343034726.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       255 | PA      | $107.01       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343034934.UL.NBM                      | 343034934.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        98 | PA      | $97.88        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342820452.UL.NBM                      | 342820452.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       530 | PA      | $524.61       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342821168.UL.NBM                      | 342821168.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       814 | PA      | $804.24       | 0.00%             | 2026-07-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342636649.UL.NBM                      | 342636649.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       101 | PA      | $100.27       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342637000.UL.NBM                      | 342637000.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       170 | PA      | $169.52       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5864124.UP.NBM                     | CBM5864124.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1943 | PA      | $2039.38      | 0.00%             | 2030-08-25      | Fixed         | 32.22%                | Yes           |                  3 | On Loan: No      |
| CBM5864133.UP.NBM                     | CBM5864133.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       957 | PA      | $1076.12      | 0.00%             | 2030-08-25      | Fixed         | 25.72%                | Yes           |                  3 | On Loan: No      |
| 342274777.UL.NBM                      | 342274777.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       102 | PA      | $101.62       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342274923.UL.NBM                      | 342274923.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2252 | PA      | $2217.57      | 0.00%             | 2027-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343534006.UL.NBM                      | 343534006.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       853 | PA      | $844.95       | 0.00%             | 2026-07-26      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 343535192.UL.NBM                      | 343535192.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        68 | PA      | $8.30         | 0.00%             | 2035-11-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5870438.UP.NBM                     | DRB5870438.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2318 | PA      | $2276.20      | 0.00%             | 2028-08-25      | Fixed         | 29.28%                | Yes           |                  3 | On Loan: No      |
| CBM5873563.UP.NBM                     | CBM5873563.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1292 | PA      | $1226.07      | 0.00%             | 2028-08-26      | Fixed         | 25.79%                | Yes           |                  3 | On Loan: No      |
| CBM5873619.UP.NBM                     | CBM5873619.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5900 | PA      | $-60.33       | -0.00%            | 2030-08-26      | Fixed         | 32.20%                | Yes           |                  3 | On Loan: No      |
| 342821658.UL.NBM                      | 342821658.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       376 | PA      | $64.42        | 0.00%             | 2035-11-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342821686.UL.NBM                      | 342821686.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       115 | PA      | $114.04       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342637267.UL.NBM                      | 342637267.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        92 | PA      | $91.26        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5858815.UP.NBM                     | CBM5858815.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2813 | PA      | $2870.78      | 0.00%             | 2030-08-22      | Fixed         | 30.44%                | Yes           |                  3 | On Loan: No      |
| 343535438.UL.NBM                      | 343535438.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       538 | PA      | $535.69       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343535456.UL.NBM                      | 343535456.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       298 | PA      | $295.15       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341410857.UL.NBM                      | 341410857.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       103 | PA      | $102.69       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341411037.UL.NBM                      | 341411037.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       395 | PA      | $390.93       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342275355.UL.NBM                      | 342275355.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       126 | PA      | $125.07       | 0.00%             | 2026-02-22      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342275626.UL.NBM                      | 342275626.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        50 | PA      | $49.82        | 0.00%             | 2026-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343035193.UL.NBM                      | 343035193.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       546 | PA      | $543.42       | 0.00%             | 2026-05-25      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 343035703.UL.NBM                      | 343035703.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       941 | PA      | $871.41       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342822731.UL.NBM                      | 342822731.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       149 | PA      | $148.62       | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342822751.UL.NBM                      | 342822751.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       237 | PA      | $224.24       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343535764.UL.NBM                      | 343535764.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       129 | PA      | $128.20       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343535931.UL.NBM                      | 343535931.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       208 | PA      | $206.19       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5858832.UP.NBM                     | CBM5858832.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2324 | PA      | $2306.52      | 0.00%             | 2030-08-22      | Fixed         | 28.59%                | Yes           |                  3 | On Loan: No      |
| CBM5858860.UP.NBM                     | CBM5858860.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3285 | PA      | $3141.50      | 0.00%             | 2030-08-22      | Fixed         | 26.17%                | Yes           |                  3 | On Loan: No      |
| 342275827.UL.NBM                      | 342275827.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       135 | PA      | $134.68       | 0.00%             | 2026-02-22      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342276944.UL.NBM                      | 342276944.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       934 | PA      | $100.09       | 0.00%             | 2026-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 340966943.UL.NBM                      | 340966943.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        79 | PA      | $78.53        | 0.00%             | 2026-02-17      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 340974369.UL.NBM                      | 340974369.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       131 | PA      | $130.01       | 0.00%             | 2026-02-17      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342822955.UL.NBM                      | 342822955.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        91 | PA      | $90.50        | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342823286.UL.NBM                      | 342823286.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       247 | PA      | $244.76       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343035736.UL.NBM                      | 343035736.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        56 | PA      | $55.98        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343035743.UL.NBM                      | 343035743.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        22 | PA      | $22.12        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343536336.UL.NBM                      | 343536336.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3161 | PA      | $3116.75      | 0.00%             | 2026-12-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343536362.UL.NBM                      | 343536362.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       212 | PA      | $213.59       | 0.00%             | 2026-05-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| CBM5858882.UP.NBM                     | CBM5858882.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3928 | PA      | $3899.19      | 0.01%             | 2028-08-22      | Fixed         | 30.86%                | Yes           |                  3 | On Loan: No      |
| CBM5858906.UP.NBM                     | CBM5858906.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3436 | PA      | $3586.22      | 0.00%             | 2030-08-22      | Fixed         | 32.22%                | Yes           |                  3 | On Loan: No      |
| 342277511.UL.NBM                      | 342277511.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       176 | PA      | $175.18       | 0.00%             | 2026-02-22      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 342277558.UL.NBM                      | 342277558.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2748 | PA      | $2555.20      | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342823737.UL.NBM                      | 342823737.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       303 | PA      | $301.78       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342823898.UL.NBM                      | 342823898.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       449 | PA      | $444.23       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343036048.UL.NBM                      | 343036048.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       160 | PA      | $159.86       | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343036200.UL.NBM                      | 343036200.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       303 | PA      | $25.31        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343537221.UL.NBM                      | 343537221.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2635 | PA      | $2592.99      | 0.00%             | 2027-08-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343541116.UL.NBM                      | 343541116.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       308 | PA      | $306.51       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342277596.UL.NBM                      | 342277596.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1263 | PA      | $1173.94      | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342277608.UL.NBM                      | 342277608.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       429 | PA      | $409.12       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| CBM5858913.UP.NBM                     | CBM5858913.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2645 | PA      | $2658.01      | 0.00%             | 2030-08-22      | Fixed         | 29.94%                | Yes           |                  3 | On Loan: No      |
| CBM5858921.UP.NBM                     | CBM5858921.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     20776 | PA      | $19842.52     | 0.03%             | 2030-08-22      | Fixed         | 26.09%                | Yes           |                  3 | On Loan: No      |
| 343037083.UL.NBM                      | 343037083.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9014 | PA      | $8882.10      | 0.01%             | 2027-02-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343037369.UL.NBM                      | 343037369.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       785 | PA      | $780.39       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341900211.UL.NBM                      | 341900211.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       107 | PA      | $106.45       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341900248.UL.NBM                      | 341900248.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1700 | PA      | $1671.67      | 0.00%             | 2027-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342277622.UL.NBM                      | 342277622.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       253 | PA      | $251.34       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342278473.UL.NBM                      | 342278473.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       236 | PA      | $234.01       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343541394.UL.NBM                      | 343541394.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       167 | PA      | $165.86       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343541416.UL.NBM                      | 343541416.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       266 | PA      | $263.50       | 0.00%             | 2026-05-26      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342824766.UL.NBM                      | 342824766.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       384 | PA      | $381.23       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342824800.UL.NBM                      | 342824800.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        89 | PA      | $88.58        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5858970.UP.NBM                     | CBM5858970.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2315 | PA      | $2300.77      | 0.00%             | 2030-08-22      | Fixed         | 28.83%                | Yes           |                  3 | On Loan: No      |
| CBM5858979.UP.NBM                     | CBM5858979.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3221 | PA      | $3301.08      | 0.00%             | 2028-08-22      | Fixed         | 23.36%                | Yes           |                  3 | On Loan: No      |
| 343037469.UL.NBM                      | 343037469.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        51 | PA      | $51.23        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343037692.UL.NBM                      | 343037692.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1566 | PA      | $1553.02      | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342279334.UL.NBM                      | 342279334.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $66.70        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342279838.UL.NBM                      | 342279838.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       631 | PA      | $626.58       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342868376.UL.NBM                      | 342868376.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2137 | PA      | $1994.75      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342869094.UL.NBM                      | 342869094.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       138 | PA      | $132.63       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343541665.UL.NBM                      | 343541665.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        93 | PA      | $92.57        | 0.00%             | 2026-02-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343542335.UL.NBM                      | 343542335.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       270 | PA      | $268.26       | 0.00%             | 2026-07-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 10216265.SQ.NBM                       | 10216265.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16388 | PA      | $15259.83     | 0.02%             | 2027-06-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10217197.SQ.NBM                       | 10217197.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8781 | PA      | $7985.74      | 0.01%             | 2027-06-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342280040.UL.NBM                      | 342280040.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        37 | PA      | $36.97        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342280209.UL.NBM                      | 342280209.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       228 | PA      | $229.24       | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| CBM5873633.UP.NBM                     | CBM5873633.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4777 | PA      | $5030.45      | 0.01%             | 2030-08-26      | Fixed         | 21.55%                | Yes           |                  3 | On Loan: No      |
| CBM5873663.UP.NBM                     | CBM5873663.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4145 | PA      | $3864.18      | 0.01%             | 2028-08-26      | Fixed         | 24.07%                | Yes           |                  3 | On Loan: No      |
| CBM5859018.UP.NBM                     | CBM5859018.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1681 | PA      | $1448.31      | 0.00%             | 2030-08-22      | Fixed         | 31.26%                | Yes           |                  3 | On Loan: No      |
| CBM5859078.UP.NBM                     | CBM5859078.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1050 | PA      | $985.20       | 0.00%             | 2030-08-22      | Fixed         | 19.04%                | Yes           |                  3 | On Loan: No      |
| 342869446.UL.NBM                      | 342869446.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       941 | PA      | $937.21       | 0.00%             | 2026-02-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342869488.UL.NBM                      | 342869488.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       299 | PA      | $295.76       | 0.00%             | 2026-05-24      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343542982.UL.NBM                      | 343542982.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       585 | PA      | $582.75       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343543511.UL.NBM                      | 343543511.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       341 | PA      | $147.49       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341402296.UL.NBM                      | 341402296.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        71 | PA      | $70.86        | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341402299.UL.NBM                      | 341402299.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1172 | PA      | $1089.23      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342280246.UL.NBM                      | 342280246.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1993 | PA      | $1967.86      | 0.00%             | 2027-08-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342280274.UL.NBM                      | 342280274.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       482 | PA      | $477.11       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5865968.UP.NBM                       | L5865968.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     35025 | PA      | $33272.47     | 0.05%             | 2030-08-25      | Fixed         | 15.18%                | Yes           |                  3 | On Loan: No      |
| L5865990.UP.NBM                       | L5865990.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     22286 | PA      | $21864.02     | 0.03%             | 2030-08-25      | Fixed         | 24.55%                | Yes           |                  3 | On Loan: No      |
| 342869580.UL.NBM                      | 342869580.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       237 | PA      | $238.71       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342869950.UL.NBM                      | 342869950.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       287 | PA      | $284.38       | 0.00%             | 2026-05-24      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| CBM5864163.UP.NBM                     | CBM5864163.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2427 | PA      | $2508.60      | 0.00%             | 2030-08-25      | Fixed         | 31.20%                | Yes           |                  3 | On Loan: No      |
| CBM5864242.UP.NBM                     | CBM5864242.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7679 | PA      | $8057.54      | 0.01%             | 2030-08-25      | Fixed         | 32.21%                | Yes           |                  3 | On Loan: No      |
| 343058606.UL.NBM                      | 343058606.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        85 | PA      | $85.01        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343058640.UL.NBM                      | 343058640.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        48 | PA      | $47.61        | 0.00%             | 2026-02-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343545215.UL.NBM                      | 343545215.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       493 | PA      | $491.68       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343604593.UL.NBM                      | 343604593.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       189 | PA      | $188.09       | 0.00%             | 2026-02-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343604732.UL.NBM                      | 343604732.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       679 | PA      | $675.51       | 0.00%             | 2026-02-27      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343605298.UL.NBM                      | 343605298.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        68 | PA      | $67.31        | 0.00%             | 2026-02-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341963676.UL.NBM                      | 341963676.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       527 | PA      | $525.94       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341963787.UL.NBM                      | 341963787.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       179 | PA      | $177.86       | 0.00%             | 2026-05-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| L5866005.UP.NBM                       | L5866005.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10856 | PA      | $10331.73     | 0.01%             | 2030-08-25      | Fixed         | 15.38%                | Yes           |                  3 | On Loan: No      |
| L5866020.UP.NBM                       | L5866020.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3920 | PA      | $3736.37      | 0.01%             | 2028-08-25      | Fixed         | 16.45%                | Yes           |                  3 | On Loan: No      |
| 342870325.UL.NBM                      | 342870325.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       204 | PA      | $202.51       | 0.00%             | 2026-05-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342871654.UL.NBM                      | 342871654.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1040 | PA      | $954.77       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10217551.SQ.NBM                       | 10217551.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3475 | PA      | $3175.83      | 0.00%             | 2027-06-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10217681.SQ.NBM                       | 10217681.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     33737 | PA      | $31626.34     | 0.04%             | 2027-06-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| CBM5873672.UP.NBM                     | CBM5873672.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1337 | PA      | $1278.58      | 0.00%             | 2030-08-26      | Fixed         | 15.58%                | Yes           |                  3 | On Loan: No      |
| CBM5873748.UP.NBM                     | CBM5873748.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7796 | PA      | $7737.71      | 0.01%             | 2030-08-26      | Fixed         | 22.40%                | Yes           |                  3 | On Loan: No      |
| 343605410.UL.NBM                      | 343605410.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       224 | PA      | $221.47       | 0.00%             | 2026-05-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343605630.UL.NBM                      | 343605630.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       316 | PA      | $314.27       | 0.00%             | 2026-02-27      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343059734.UL.NBM                      | 343059734.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       737 | PA      | $680.21       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343059766.UL.NBM                      | 343059766.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       729 | PA      | $721.27       | 0.00%             | 2026-07-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342932392.UL.NBM                      | 342932392.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       843 | PA      | $779.40       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342932398.UL.NBM                      | 342932398.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        90 | PA      | $86.48        | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5866501.UP.NBM                       | L5866501.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16223 | PA      | $15398.59     | 0.02%             | 2030-08-25      | Fixed         | 15.13%                | Yes           |                  3 | On Loan: No      |
| L5866552.UP.NBM                       | L5866552.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1622 | PA      | $1576.02      | 0.00%             | 2030-08-25      | Fixed         | 23.95%                | Yes           |                  3 | On Loan: No      |
| 342280882.UL.NBM                      | 342280882.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       790 | PA      | $746.67       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342281114.UL.NBM                      | 342281114.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       569 | PA      | $563.47       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343605791.UL.NBM                      | 343605791.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       548 | PA      | $543.67       | 0.00%             | 2026-05-27      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343605863.UL.NBM                      | 343605863.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       166 | PA      | $165.34       | 0.00%             | 2026-02-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5860618.UP.NBM                     | DRB5860618.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11759 | PA      | $12343.05     | 0.02%             | 2030-08-22      | Fixed         | 32.35%                | Yes           |                  3 | On Loan: No      |
| DRB5860633.UP.NBM                     | DRB5860633.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2481 | PA      | $2526.55      | 0.00%             | 2030-08-22      | Fixed         | 24.34%                | Yes           |                  3 | On Loan: No      |
| 343059898.UL.NBM                      | 343059898.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        36 | PA      | $35.47        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343059973.UL.NBM                      | 343059973.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        59 | PA      | $59.09        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342932441.UL.NBM                      | 342932441.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       330 | PA      | $327.52       | 0.00%             | 2026-05-25      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 342942266.UL.NBM                      | 342942266.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       157 | PA      | $156.51       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5866578.UP.NBM                       | L5866578.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       916 | PA      | $869.53       | 0.00%             | 2028-08-25      | Fixed         | 20.80%                | Yes           |                  3 | On Loan: No      |
| L5866586.UP.NBM                       | L5866586.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       493 | PA      | $503.07       | 0.00%             | 2030-08-25      | Fixed         | 23.27%                | Yes           |                  3 | On Loan: No      |
| 343606306.UL.NBM                      | 343606306.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        65 | PA      | $64.44        | 0.00%             | 2026-02-27      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 9734326.SQ.NBM                        | 9734326.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       921 | PA      | $803.79       | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342282256.UL.NBM                      | 342282256.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2275 | PA      | $2113.31      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342282373.UL.NBM                      | 342282373.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       363 | PA      | $361.02       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341900369.UL.NBM                      | 341900369.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1310 | PA      | $74.35        | 0.00%             | 2035-11-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341900955.UL.NBM                      | 341900955.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4509 | PA      | $4447.35      | 0.01%             | 2026-12-21      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 342942291.UL.NBM                      | 342942291.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        56 | PA      | $55.69        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342942411.UL.NBM                      | 342942411.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        26 | PA      | $25.47        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5873776.UP.NBM                     | CBM5873776.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7604 | PA      | $7508.54      | 0.01%             | 2030-08-26      | Fixed         | 28.27%                | Yes           |                  3 | On Loan: No      |
| CBM5873863.UP.NBM                     | CBM5873863.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     20901 | PA      | $20906.14     | 0.03%             | 2030-08-26      | Fixed         | 29.12%                | Yes           |                  3 | On Loan: No      |
| 9734349.SQ.NBM                        | 9734349.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2881 | PA      | $2798.53      | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9734434.SQ.NBM                        | 9734434.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3288 | PA      | $3156.29      | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5870554.UP.NBM                       | L5870554.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13395 | PA      | $12296.61     | 0.02%             | 2030-08-25      | Fixed         | 20.40%                | Yes           |                  3 | On Loan: No      |
| L5870589.UP.NBM                       | L5870589.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6807 | PA      | $6392.40      | 0.01%             | 2030-08-25      | Fixed         | 18.94%                | Yes           |                  3 | On Loan: No      |
| DRB5872979.UP.NBM                     | DRB5872979.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1561 | PA      | $1502.58      | 0.00%             | 2028-08-26      | Fixed         | 21.95%                | Yes           |                  3 | On Loan: No      |
| DRB5873007.UP.NBM                     | DRB5873007.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3007 | PA      | $3069.14      | 0.00%             | 2030-08-26      | Fixed         | 30.32%                | Yes           |                  3 | On Loan: No      |
| 342942589.UL.NBM                      | 342942589.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       225 | PA      | $223.92       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342942920.UL.NBM                      | 342942920.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       229 | PA      | $216.44       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342282433.UL.NBM                      | 342282433.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       814 | PA      | $804.13       | 0.00%             | 2026-07-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342282795.UL.NBM                      | 342282795.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       269 | PA      | $266.37       | 0.00%             | 2026-05-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 9734481.SQ.NBM                        | 9734481.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     50785 | PA      | $44876.47     | 0.06%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9735963.SQ.NBM                        | 9735963.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15882 | PA      | $3735.51      | 0.01%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343060805.UL.NBM                      | 343060805.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        85 | PA      | $84.16        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343060982.UL.NBM                      | 343060982.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       723 | PA      | $667.07       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5870654.UP.NBM                       | L5870654.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9064 | PA      | $9005.22      | 0.01%             | 2030-08-25      | Fixed         | 17.97%                | Yes           |                  3 | On Loan: No      |
| L5870723.UP.NBM                       | L5870723.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9325 | PA      | $9094.45      | 0.01%             | 2030-08-25      | Fixed         | 21.31%                | Yes           |                  3 | On Loan: No      |
| 342942963.UL.NBM                      | 342942963.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       196 | PA      | $194.98       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342942985.UL.NBM                      | 342942985.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       688 | PA      | $662.90       | 0.00%             | 2026-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9736174.SQ.NBM                        | 9736174.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2916 | PA      | $2792.96      | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9736339.SQ.NBM                        | 9736339.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16564 | PA      | $15534.55     | 0.02%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341963802.UL.NBM                      | 341963802.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       388 | PA      | $22.28        | 0.00%             | 2035-11-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341963819.UL.NBM                      | 341963819.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       183 | PA      | $181.91       | 0.00%             | 2026-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342282829.UL.NBM                      | 342282829.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       446 | PA      | $442.19       | 0.00%             | 2026-05-23      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342282880.UL.NBM                      | 342282880.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       615 | PA      | $614.00       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5873928.UP.NBM                     | CBM5873928.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1160 | PA      | $1120.30      | 0.00%             | 2030-08-26      | Fixed         | 26.69%                | Yes           |                  3 | On Loan: No      |
| CBM5874162.UP.NBM                     | CBM5874162.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1743 | PA      | $1670.41      | 0.00%             | 2030-08-26      | Fixed         | 26.24%                | Yes           |                  3 | On Loan: No      |
| L5872836.UP.NBM                       | L5872836.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1148 | PA      | $1126.03      | 0.00%             | 2030-08-26      | Fixed         | 17.10%                | Yes           |                  3 | On Loan: No      |
| L5872845.UP.NBM                       | L5872845.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5577 | PA      | $5458.99      | 0.01%             | 2030-08-26      | Fixed         | 21.52%                | Yes           |                  3 | On Loan: No      |
| DRB5860638.UP.NBM                     | DRB5860638.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1553 | PA      | $1592.61      | 0.00%             | 2030-08-22      | Fixed         | 30.79%                | Yes           |                  3 | On Loan: No      |
| DRB5860640.UP.NBM                     | DRB5860640.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2243 | PA      | $1866.11      | 0.00%             | 2030-08-22      | Fixed         | 28.55%                | Yes           |                  3 | On Loan: No      |
| DRB5873016.UP.NBM                     | DRB5873016.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1740 | PA      | $1680.02      | 0.00%             | 2030-08-26      | Fixed         | 26.66%                | Yes           |                  3 | On Loan: No      |
| DRB5873041.UP.NBM                     | DRB5873041.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2509 | PA      | $2490.14      | 0.00%             | 2030-08-26      | Fixed         | 28.74%                | Yes           |                  3 | On Loan: No      |
| 9736866.SQ.NBM                        | 9736866.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       996 | PA      | $950.16       | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9736918.SQ.NBM                        | 9736918.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1672 | PA      | $1589.05      | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343061015.UL.NBM                      | 343061015.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        41 | PA      | $41.04        | 0.00%             | 2026-02-25      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 343061332.UL.NBM                      | 343061332.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        64 | PA      | $64.14        | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342282944.UL.NBM                      | 342282944.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       755 | PA      | $356.55       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342282992.UL.NBM                      | 342282992.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2991 | PA      | $2796.67      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342943115.UL.NBM                      | 342943115.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       306 | PA      | $303.71       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342943141.UL.NBM                      | 342943141.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       294 | PA      | $291.52       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5872872.UP.NBM                       | L5872872.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15347 | PA      | $14279.75     | 0.02%             | 2030-08-26      | Fixed         | 24.44%                | Yes           |                  3 | On Loan: No      |
| L5872896.UP.NBM                       | L5872896.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       868 | PA      | $887.75       | 0.00%             | 2030-08-26      | Fixed         | 16.88%                | Yes           |                  3 | On Loan: No      |
| 343061377.UL.NBM                      | 343061377.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       573 | PA      | $570.61       | 0.00%             | 2026-05-25      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343061457.UL.NBM                      | 343061457.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2608 | PA      | $2423.32      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9737379.SQ.NBM                        | 9737379.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4544 | PA      | $4085.86      | 0.01%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9737472.SQ.NBM                        | 9737472.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4129 | PA      | $3963.88      | 0.01%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342283012.UL.NBM                      | 342283012.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        86 | PA      | $85.58        | 0.00%             | 2026-02-23      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342283052.UL.NBM                      | 342283052.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       214 | PA      | $212.43       | 0.00%             | 2026-02-23      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| DRB5860649.UP.NBM                     | DRB5860649.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3022 | PA      | $2835.91      | 0.00%             | 2028-08-22      | Fixed         | 19.65%                | Yes           |                  3 | On Loan: No      |
| DRB5860650.UP.NBM                     | DRB5860650.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3293 | PA      | $3444.71      | 0.00%             | 2030-08-22      | Fixed         | 28.60%                | Yes           |                  3 | On Loan: No      |
| DRB5873052.UP.NBM                     | DRB5873052.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1646 | PA      | $1635.99      | 0.00%             | 2030-08-26      | Fixed         | 28.55%                | Yes           |                  3 | On Loan: No      |
| DRB5873058.UP.NBM                     | DRB5873058.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2420 | PA      | $2384.40      | 0.00%             | 2030-08-26      | Fixed         | 28.00%                | Yes           |                  3 | On Loan: No      |
| 343061626.UL.NBM                      | 343061626.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       507 | PA      | $490.38       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343061631.UL.NBM                      | 343061631.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        71 | PA      | $70.72        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342943365.UL.NBM                      | 342943365.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        99 | PA      | $96.48        | 0.00%             | 2026-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342943452.UL.NBM                      | 342943452.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        78 | PA      | $78.87        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9737568.SQ.NBM                        | 9737568.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4854 | PA      | $4566.60      | 0.01%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9737686.SQ.NBM                        | 9737686.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15134 | PA      | $14121.68     | 0.02%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| CBM5874340.UP.NBM                     | CBM5874340.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1551 | PA      | $1569.48      | 0.00%             | 2030-08-26      | Fixed         | 29.74%                | Yes           |                  3 | On Loan: No      |
| DRB5860553.UP.NBM                     | DRB5860553.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3098 | PA      | $3112.68      | 0.00%             | 2030-08-22      | Fixed         | 29.70%                | Yes           |                  3 | On Loan: No      |
| 342283163.UL.NBM                      | 342283163.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1264 | PA      | $1243.77      | 0.00%             | 2027-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342283217.UL.NBM                      | 342283217.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        24 | PA      | $24.10        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343061716.UL.NBM                      | 343061716.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       371 | PA      | $367.40       | 0.00%             | 2026-05-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343061738.UL.NBM                      | 343061738.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       556 | PA      | $516.51       | 0.00%             | 2026-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341387071.UL.NBM                      | 341387071.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       205 | PA      | $203.89       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341387130.UL.NBM                      | 341387130.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       349 | PA      | $347.27       | 0.00%             | 2026-02-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| DRB5873068.UP.NBM                     | DRB5873068.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       969 | PA      | $963.24       | 0.00%             | 2030-08-26      | Fixed         | 28.61%                | Yes           |                  3 | On Loan: No      |
| DRB5873084.UP.NBM                     | DRB5873084.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7571 | PA      | $7801.33      | 0.01%             | 2030-08-26      | Fixed         | 30.96%                | Yes           |                  3 | On Loan: No      |
| 9738182.SQ.NBM                        | 9738182.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1252 | PA      | $747.06       | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9738241.SQ.NBM                        | 9738241.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3882 | PA      | $3790.82      | 0.01%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342283283.UL.NBM                      | 342283283.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       289 | PA      | $286.01       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342283472.UL.NBM                      | 342283472.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1443 | PA      | $1343.56      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5860554.UP.NBM                     | DRB5860554.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1924 | PA      | $1811.09      | 0.00%             | 2030-08-22      | Fixed         | 21.86%                | Yes           |                  3 | On Loan: No      |
| DRB5860555.UP.NBM                     | DRB5860555.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8332 | PA      | $8312.00      | 0.01%             | 2030-08-22      | Fixed         | 28.94%                | Yes           |                  3 | On Loan: No      |
| 340981306.UL.NBM                      | 340981306.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       783 | PA      | $773.66       | 0.00%             | 2026-07-17      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 340982678.UL.NBM                      | 340982678.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        68 | PA      | $67.47        | 0.00%             | 2026-02-17      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| DRB5873285.UP.NBM                     | DRB5873285.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6778 | PA      | $6716.60      | 0.01%             | 2030-08-26      | Fixed         | 28.37%                | Yes           |                  3 | On Loan: No      |
| DRB5874276.UP.NBM                     | DRB5874276.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9663 | PA      | $10181.27     | 0.01%             | 2030-08-26      | Fixed         | 26.25%                | Yes           |                  3 | On Loan: No      |
| 342943464.UL.NBM                      | 342943464.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       567 | PA      | $560.06       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342283556.UL.NBM                      | 342283556.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       328 | PA      | $324.89       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342284548.UL.NBM                      | 342284548.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        90 | PA      | $89.16        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9738423.SQ.NBM                        | 9738423.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5815 | PA      | $4817.67      | 0.01%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9738648.SQ.NBM                        | 9738648.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1700 | PA      | $1629.28      | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343061740.UL.NBM                      | 343061740.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       252 | PA      | $250.81       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343061814.UL.NBM                      | 343061814.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2175 | PA      | $2142.33      | 0.00%             | 2027-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| DRB5874311.UP.NBM                     | DRB5874311.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17287 | PA      | $15931.00     | 0.02%             | 2030-08-26      | Fixed         | 20.46%                | Yes           |                  3 | On Loan: No      |
| DRB5874349.UP.NBM                     | DRB5874349.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2300 | PA      | $49.28        | 0.00%             | 2028-08-26      | Fixed         | 22.19%                | Yes           |                  3 | On Loan: No      |
| DRB5860560.UP.NBM                     | DRB5860560.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1356 | PA      | $1348.18      | 0.00%             | 2030-08-22      | Fixed         | 28.70%                | Yes           |                  3 | On Loan: No      |
| DRB5860563.UP.NBM                     | DRB5860563.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5644 | PA      | $5477.60      | 0.01%             | 2030-08-22      | Fixed         | 27.27%                | Yes           |                  3 | On Loan: No      |
| 342284553.UL.NBM                      | 342284553.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       263 | PA      | $261.41       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342284707.UL.NBM                      | 342284707.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       123 | PA      | $122.63       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343061825.UL.NBM                      | 343061825.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       154 | PA      | $152.65       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343062385.UL.NBM                      | 343062385.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        63 | PA      | $62.92        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341277175.UL.NBM                      | 341277175.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       264 | PA      | $262.18       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341277387.UL.NBM                      | 341277387.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       882 | PA      | $871.10       | 0.00%             | 2026-07-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9738674.SQ.NBM                        | 9738674.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13000 | PA      | $12512.50     | 0.02%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9738948.SQ.NBM                        | 9738948.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       633 | PA      | $594.38       | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5860653.UP.NBM                     | DRB5860653.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2221 | PA      | $2105.61      | 0.00%             | 2030-08-22      | Fixed         | 25.61%                | Yes           |                  3 | On Loan: No      |
| DRB5860664.UP.NBM                     | DRB5860664.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14805 | PA      | $14179.95     | 0.02%             | 2028-08-22      | Fixed         | 27.21%                | Yes           |                  3 | On Loan: No      |
| 343062432.UL.NBM                      | 343062432.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        69 | PA      | $68.99        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343062892.UL.NBM                      | 343062892.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       136 | PA      | $27.63        | 0.00%             | 2035-11-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5860572.UP.NBM                     | DRB5860572.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19311 | PA      | $19108.83     | 0.03%             | 2030-08-22      | Fixed         | 28.40%                | Yes           |                  3 | On Loan: No      |
| DRB5860587.UP.NBM                     | DRB5860587.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8346 | PA      | $8296.16      | 0.01%             | 2030-08-22      | Fixed         | 28.87%                | Yes           |                  3 | On Loan: No      |
| DRB5874454.UP.NBM                     | DRB5874454.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4943 | PA      | $4929.16      | 0.01%             | 2030-08-26      | Fixed         | 28.78%                | Yes           |                  3 | On Loan: No      |
| DRB5874464.UP.NBM                     | DRB5874464.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4176 | PA      | $4587.72      | 0.01%             | 2030-08-26      | Fixed         | 31.71%                | Yes           |                  3 | On Loan: No      |
| 342284918.UL.NBM                      | 342284918.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        58 | PA      | $57.19        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342285222.UL.NBM                      | 342285222.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2908 | PA      | $2862.51      | 0.00%             | 2027-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9738965.SQ.NBM                        | 9738965.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3246 | PA      | $3035.38      | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9739049.SQ.NBM                        | 9739049.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4879 | PA      | $4693.00      | 0.01%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343062899.UL.NBM                      | 343062899.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        73 | PA      | $72.21        | 0.00%             | 2026-02-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343062959.UL.NBM                      | 343062959.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       597 | PA      | $555.43       | 0.00%             | 2026-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5860674.UP.NBM                     | DRB5860674.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3493 | PA      | $3580.04      | 0.00%             | 2030-08-25      | Fixed         | 30.63%                | Yes           |                  3 | On Loan: No      |
| DRB5860680.UP.NBM                     | DRB5860680.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1186 | PA      | $265.98       | 0.00%             | 2030-08-22      | Fixed         | 28.66%                | Yes           |                  3 | On Loan: No      |
| DRB5874467.UP.NBM                     | DRB5874467.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4749 | PA      | $4779.64      | 0.01%             | 2030-08-26      | Fixed         | 29.39%                | Yes           |                  3 | On Loan: No      |
| DRB5874484.UP.NBM                     | DRB5874484.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     38112 | PA      | $40807.28     | 0.06%             | 2030-08-26      | Fixed         | 30.01%                | Yes           |                  3 | On Loan: No      |
| 342285312.UL.NBM                      | 342285312.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       284 | PA      | $125.86       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342285380.UL.NBM                      | 342285380.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1453 | PA      | $1431.63      | 0.00%             | 2027-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343063175.UL.NBM                      | 343063175.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        93 | PA      | $18.77        | 0.00%             | 2035-11-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343063200.UL.NBM                      | 343063200.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        85 | PA      | $84.42        | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| DRB5874494.UP.NBM                     | DRB5874494.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6007 | PA      | $5907.72      | 0.01%             | 2030-08-26      | Fixed         | 17.34%                | Yes           |                  3 | On Loan: No      |
| DRB5874525.UP.NBM                     | DRB5874525.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4662 | PA      | $5129.95      | 0.01%             | 2030-08-26      | Fixed         | 31.82%                | Yes           |                  3 | On Loan: No      |
| 9739141.SQ.NBM                        | 9739141.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8525 | PA      | $8224.80      | 0.01%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9739396.SQ.NBM                        | 9739396.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8197 | PA      | $7816.79      | 0.01%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5860591.UP.NBM                     | DRB5860591.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2131 | PA      | $2095.25      | 0.00%             | 2030-08-22      | Fixed         | 27.97%                | Yes           |                  3 | On Loan: No      |
| DRB5860724.UP.NBM                     | DRB5860724.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1650 | PA      | $1692.18      | 0.00%             | 2030-08-22      | Fixed         | 30.79%                | Yes           |                  3 | On Loan: No      |
| 343063252.UL.NBM                      | 343063252.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        44 | PA      | $44.24        | 0.00%             | 2026-02-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343063531.UL.NBM                      | 343063531.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2256 | PA      | $2095.04      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5860708.UP.NBM                     | DRB5860708.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5979 | PA      | $5695.92      | 0.01%             | 2030-08-22      | Fixed         | 22.72%                | Yes           |                  3 | On Loan: No      |
| 342285414.UL.NBM                      | 342285414.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       334 | PA      | $330.42       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342661920.UL.NBM                      | 342661920.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       111 | PA      | $110.55       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5874533.UP.NBM                     | DRB5874533.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2329 | PA      | $2399.59      | 0.00%             | 2030-08-26      | Fixed         | 30.94%                | Yes           |                  3 | On Loan: No      |
| DRB5874546.UP.NBM                     | DRB5874546.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6761 | PA      | $6932.30      | 0.01%             | 2030-08-26      | Fixed         | 30.37%                | Yes           |                  3 | On Loan: No      |
| 341387358.UL.NBM                      | 341387358.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1319 | PA      | $1311.16      | 0.00%             | 2026-07-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341387467.UL.NBM                      | 341387467.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       503 | PA      | $465.13       | 0.00%             | 2026-05-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343063713.UL.NBM                      | 343063713.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       391 | PA      | $387.85       | 0.00%             | 2026-05-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343063756.UL.NBM                      | 343063756.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       519 | PA      | $105.75       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341901015.UL.NBM                      | 341901015.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2658 | PA      | $2429.94      | 0.00%             | 2027-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341901538.UL.NBM                      | 341901538.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       255 | PA      | $252.90       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342662100.UL.NBM                      | 342662100.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       224 | PA      | $222.79       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342662233.UL.NBM                      | 342662233.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       332 | PA      | $329.15       | 0.00%             | 2026-05-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| DRB5874549.UP.NBM                     | DRB5874549.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       965 | PA      | $956.08       | 0.00%             | 2030-08-26      | Fixed         | 24.98%                | Yes           |                  3 | On Loan: No      |
| DRB5874554.UP.NBM                     | DRB5874554.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2561 | PA      | $2614.25      | 0.00%             | 2030-08-26      | Fixed         | 29.84%                | Yes           |                  3 | On Loan: No      |
| DRB5860732.UP.NBM                     | DRB5860732.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1633 | PA      | $1612.15      | 0.00%             | 2030-08-22      | Fixed         | 28.41%                | Yes           |                  3 | On Loan: No      |
| DRB5860741.UP.NBM                     | DRB5860741.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3324 | PA      | $2772.56      | 0.00%             | 2030-08-22      | Fixed         | 29.41%                | Yes           |                  3 | On Loan: No      |
| 9740673.SQ.NBM                        | 9740673.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       563 | PA      | $530.21       | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9740682.SQ.NBM                        | 9740682.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17293 | PA      | $16212.94     | 0.02%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343063950.UL.NBM                      | 343063950.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       457 | PA      | $38.76        | 0.00%             | 2035-11-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343064191.UL.NBM                      | 343064191.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       748 | PA      | $687.32       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5874561.UP.NBM                     | DRB5874561.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5248 | PA      | $5524.01      | 0.01%             | 2030-08-26      | Fixed         | 32.39%                | Yes           |                  3 | On Loan: No      |
| DRB5874584.UP.NBM                     | DRB5874584.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2694 | PA      | $2550.25      | 0.00%             | 2030-08-26      | Fixed         | 22.12%                | Yes           |                  3 | On Loan: No      |
| 342662610.UL.NBM                      | 342662610.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       226 | PA      | $223.95       | 0.00%             | 2026-05-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342662997.UL.NBM                      | 342662997.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       731 | PA      | $726.93       | 0.00%             | 2026-02-24      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 10073433.SQ.NBM                       | 10073433.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8374 | PA      | $7710.21      | 0.01%             | 2027-05-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10073605.SQ.NBM                       | 10073605.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1288 | PA      | $1210.76      | 0.00%             | 2027-05-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341341315.UL.NBM                      | 341341315.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       727 | PA      | $673.25       | 0.00%             | 2026-07-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341341477.UL.NBM                      | 341341477.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        39 | PA      | $39.27        | 0.00%             | 2026-02-19      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9741197.SQ.NBM                        | 9741197.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10927 | PA      | $10289.88     | 0.01%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9741382.SQ.NBM                        | 9741382.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7961 | PA      | $7488.33      | 0.01%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5874595.UP.NBM                     | DRB5874595.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3806 | PA      | $3778.05      | 0.01%             | 2028-08-26      | Fixed         | 30.31%                | Yes           |                  3 | On Loan: No      |
| DRB5874655.UP.NBM                     | DRB5874655.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3783 | PA      | $3855.19      | 0.01%             | 2030-08-26      | Fixed         | 30.22%                | Yes           |                  3 | On Loan: No      |
| 343064747.UL.NBM                      | 343064747.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2172 | PA      | $2146.76      | 0.00%             | 2027-02-25      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 343064845.UL.NBM                      | 343064845.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        37 | PA      | $36.68        | 0.00%             | 2026-02-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342663504.UL.NBM                      | 342663504.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       205 | PA      | $204.03       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342663605.UL.NBM                      | 342663605.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       497 | PA      | $494.66       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5860744.UP.NBM                     | DRB5860744.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5331 | PA      | $5316.09      | 0.01%             | 2030-08-22      | Fixed         | 28.91%                | Yes           |                  3 | On Loan: No      |
| DRB5860928.UP.NBM                     | DRB5860928.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2311 | PA      | $2308.67      | 0.00%             | 2030-08-22      | Fixed         | 29.16%                | Yes           |                  3 | On Loan: No      |
| 9741691.SQ.NBM                        | 9741691.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11142 | PA      | $10602.42     | 0.01%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9741798.SQ.NBM                        | 9741798.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9288 | PA      | $8889.56      | 0.01%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5874660.UP.NBM                     | DRB5874660.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2324 | PA      | $2423.29      | 0.00%             | 2030-08-26      | Fixed         | 28.28%                | Yes           |                  3 | On Loan: No      |
| DRB5874662.UP.NBM                     | DRB5874662.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2231 | PA      | $2276.38      | 0.00%             | 2030-08-26      | Fixed         | 30.30%                | Yes           |                  3 | On Loan: No      |
| 343064888.UL.NBM                      | 343064888.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        57 | PA      | $57.20        | 0.00%             | 2026-02-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343064972.UL.NBM                      | 343064972.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5585 | PA      | $5503.83      | 0.01%             | 2027-08-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342663609.UL.NBM                      | 342663609.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       279 | PA      | $277.50       | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342663621.UL.NBM                      | 342663621.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       146 | PA      | $145.69       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341411199.UL.NBM                      | 341411199.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       353 | PA      | $337.06       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341411248.UL.NBM                      | 341411248.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       802 | PA      | $792.32       | 0.00%             | 2026-07-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343065134.UL.NBM                      | 343065134.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7470 | PA      | $7001.33      | 0.01%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343065186.UL.NBM                      | 343065186.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3660 | PA      | $3369.80      | 0.00%             | 2027-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341437939.UL.NBM                      | 341437939.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       222 | PA      | $219.73       | 0.00%             | 2026-05-20      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341438427.UL.NBM                      | 341438427.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       223 | PA      | $221.16       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9743359.SQ.NBM                        | 9743359.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2295 | PA      | $2187.25      | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9743415.SQ.NBM                        | 9743415.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6157 | PA      | $5974.57      | 0.01%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341693853.UL.NBM                      | 341693853.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       405 | PA      | $400.94       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341694322.UL.NBM                      | 341694322.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1493 | PA      | $1390.32      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5874949.UP.NBM                     | DRB5874949.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2755 | PA      | $610.88       | 0.00%             | 2030-08-26      | Fixed         | 27.25%                | Yes           |                  3 | On Loan: No      |
| FW5858530.UP.NBM                      | FW5858530.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1464 | PA      | $1497.84      | 0.00%             | 2030-08-22      | Fixed         | 31.41%                | Yes           |                  3 | On Loan: No      |
| 343065317.UL.NBM                      | 343065317.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        53 | PA      | $52.74        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343065931.UL.NBM                      | 343065931.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1986 | PA      | $1843.41      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5860934.UP.NBM                     | DRB5860934.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2709 | PA      | $2640.54      | 0.00%             | 2030-08-22      | Fixed         | 27.42%                | Yes           |                  3 | On Loan: No      |
| DRB5860939.UP.NBM                     | DRB5860939.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1391 | PA      | $1366.76      | 0.00%             | 2028-08-22      | Fixed         | 29.49%                | Yes           |                  3 | On Loan: No      |
| 342663810.UL.NBM                      | 342663810.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4895 | PA      | $4821.60      | 0.01%             | 2027-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342663912.UL.NBM                      | 342663912.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       170 | PA      | $168.70       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9743494.SQ.NBM                        | 9743494.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4279 | PA      | $3958.03      | 0.01%             | 2027-03-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9743537.SQ.NBM                        | 9743537.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16312 | PA      | $15633.15     | 0.02%             | 2027-03-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5858538.UP.NBM                      | FW5858538.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1015 | PA      | $959.01       | 0.00%             | 2028-08-22      | Fixed         | 25.55%                | Yes           |                  3 | On Loan: No      |
| FW5858551.UP.NBM                      | FW5858551.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2911 | PA      | $2985.77      | 0.00%             | 2030-08-22      | Fixed         | 30.78%                | Yes           |                  3 | On Loan: No      |
| 341694988.UL.NBM                      | 341694988.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       153 | PA      | $147.92       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341695345.UL.NBM                      | 341695345.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        25 | PA      | $25.29        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341387859.UL.NBM                      | 341387859.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2923 | PA      | $2877.15      | 0.00%             | 2027-08-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341387875.UL.NBM                      | 341387875.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       238 | PA      | $235.39       | 0.00%             | 2026-05-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 9761445.SQ.NBM                        | 9761445.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10063 | PA      | $9605.79      | 0.01%             | 2027-03-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9762080.SQ.NBM                        | 9762080.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4000 | PA      | $3816.12      | 0.01%             | 2027-03-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 340983250.UL.NBM                      | 340983250.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       390 | PA      | $387.60       | 0.00%             | 2026-02-17      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 340989042.UL.NBM                      | 340989042.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       380 | PA      | $376.42       | 0.00%             | 2026-05-17      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| FW5858567.UP.NBM                      | FW5858567.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6043 | PA      | $5714.65      | 0.01%             | 2030-08-22      | Fixed         | 19.42%                | Yes           |                  3 | On Loan: No      |
| FW5858948.UP.NBM                      | FW5858948.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1651 | PA      | $1713.41      | 0.00%             | 2030-08-22      | Fixed         | 31.58%                | Yes           |                  3 | On Loan: No      |
| 343065994.UL.NBM                      | 343065994.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       411 | PA      | $406.85       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343066238.UL.NBM                      | 343066238.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       157 | PA      | $155.93       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| DRB5857526.UP.NBM                     | DRB5857526.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2279 | PA      | $2140.55      | 0.00%             | 2028-08-22      | Fixed         | 25.31%                | Yes           |                  3 | On Loan: No      |
| DRB5857562.UP.NBM                     | DRB5857562.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3956 | PA      | $4131.93      | 0.01%             | 2030-08-22      | Fixed         | 32.14%                | Yes           |                  3 | On Loan: No      |
| 342663957.UL.NBM                      | 342663957.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       141 | PA      | $139.20       | 0.00%             | 2026-05-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342663971.UL.NBM                      | 342663971.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        71 | PA      | $70.39        | 0.00%             | 2026-02-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9762162.SQ.NBM                        | 9762162.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4962 | PA      | $4373.56      | 0.01%             | 2027-03-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9762304.SQ.NBM                        | 9762304.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2686 | PA      | $2560.64      | 0.00%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5858989.UP.NBM                      | FW5858989.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1638 | PA      | $1651.64      | 0.00%             | 2030-08-22      | Fixed         | 29.79%                | Yes           |                  3 | On Loan: No      |
| FW5859008.UP.NBM                      | FW5859008.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5425 | PA      | $5643.10      | 0.01%             | 2030-08-22      | Fixed         | 25.51%                | Yes           |                  3 | On Loan: No      |
| 343066246.UL.NBM                      | 343066246.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1603 | PA      | $325.58       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343066263.UL.NBM                      | 343066263.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       470 | PA      | $87.00        | 0.00%             | 2035-11-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10073667.SQ.NBM                       | 10073667.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13627 | PA      | $12386.96     | 0.02%             | 2027-05-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10074153.SQ.NBM                       | 10074153.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2688 | PA      | $2104.30      | 0.00%             | 2027-05-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341901897.UL.NBM                      | 341901897.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       705 | PA      | $676.83       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341903686.UL.NBM                      | 341903686.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        35 | PA      | $34.55        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5859015.UP.NBM                      | FW5859015.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1653 | PA      | $1672.78      | 0.00%             | 2030-08-22      | Fixed         | 29.89%                | Yes           |                  3 | On Loan: No      |
| FW5859368.UP.NBM                      | FW5859368.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1058 | PA      | $1042.97      | 0.00%             | 2030-08-22      | Fixed         | 22.03%                | Yes           |                  3 | On Loan: No      |
| 342664010.UL.NBM                      | 342664010.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        68 | PA      | $67.36        | 0.00%             | 2026-02-24      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 342664489.UL.NBM                      | 342664489.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       246 | PA      | $93.38        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343066285.UL.NBM                      | 343066285.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        65 | PA      | $65.06        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343066391.UL.NBM                      | 343066391.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       322 | PA      | $318.61       | 0.00%             | 2026-05-25      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 9762418.SQ.NBM                        | 9762418.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14400 | PA      | $13772.62     | 0.02%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9762704.SQ.NBM                        | 9762704.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5787 | PA      | $5385.14      | 0.01%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5860944.UP.NBM                     | DRB5860944.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3282 | PA      | $3098.28      | 0.00%             | 2030-08-22      | Fixed         | 25.33%                | Yes           |                  3 | On Loan: No      |
| DRB5860955.UP.NBM                     | DRB5860955.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3689 | PA      | $3465.64      | 0.00%             | 2028-08-22      | Fixed         | 25.00%                | Yes           |                  3 | On Loan: No      |
| FW5859398.UP.NBM                      | FW5859398.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2385 | PA      | $2473.50      | 0.00%             | 2030-08-22      | Fixed         | 31.74%                | Yes           |                  3 | On Loan: No      |
| FW5859422.UP.NBM                      | FW5859422.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1555 | PA      | $1491.40      | 0.00%             | 2028-08-22      | Fixed         | 21.92%                | Yes           |                  3 | On Loan: No      |
| 343066411.UL.NBM                      | 343066411.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        53 | PA      | $52.56        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343066491.UL.NBM                      | 343066491.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6176 | PA      | $6078.40      | 0.01%             | 2027-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342664633.UL.NBM                      | 342664633.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       152 | PA      | $151.01       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342664658.UL.NBM                      | 342664658.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       991 | PA      | $913.75       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341387942.UL.NBM                      | 341387942.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       591 | PA      | $566.96       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341388015.UL.NBM                      | 341388015.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       531 | PA      | $525.94       | 0.00%             | 2026-05-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342848759.UL.NBM                      | 342848759.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       269 | PA      | $267.87       | 0.00%             | 2026-02-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342848793.UL.NBM                      | 342848793.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2668 | PA      | $1267.76      | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5859466.UP.NBM                      | FW5859466.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1576 | PA      | $349.88       | 0.00%             | 2030-08-22      | Fixed         | 29.61%                | Yes           |                  3 | On Loan: No      |
| FW5859566.UP.NBM                      | FW5859566.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2668 | PA      | $2486.05      | 0.00%             | 2030-08-22      | Fixed         | 14.04%                | Yes           |                  3 | On Loan: No      |
| 9763015.SQ.NBM                        | 9763015.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1441 | PA      | $1299.27      | 0.00%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9763116.SQ.NBM                        | 9763116.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6656 | PA      | $6276.97      | 0.01%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342664669.UL.NBM                      | 342664669.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2132 | PA      | $1994.73      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342664743.UL.NBM                      | 342664743.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        56 | PA      | $55.29        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5860962.UP.NBM                     | DRB5860962.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2481 | PA      | $2544.80      | 0.00%             | 2030-08-22      | Fixed         | 30.99%                | Yes           |                  3 | On Loan: No      |
| DRB5860973.UP.NBM                     | DRB5860973.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3706 | PA      | $3613.67      | 0.00%             | 2028-08-22      | Fixed         | 28.72%                | Yes           |                  3 | On Loan: No      |
| 343066648.UL.NBM                      | 343066648.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       478 | PA      | $475.77       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343066723.UL.NBM                      | 343066723.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        77 | PA      | $76.66        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5859609.UP.NBM                      | FW5859609.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2986 | PA      | $3111.60      | 0.00%             | 2030-08-22      | Fixed         | 32.33%                | Yes           |                  3 | On Loan: No      |
| FW5859613.UP.NBM                      | FW5859613.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2125 | PA      | $2019.90      | 0.00%             | 2030-08-22      | Fixed         | 25.78%                | Yes           |                  3 | On Loan: No      |
| DRB5857599.UP.NBM                     | DRB5857599.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1067 | PA      | $1094.75      | 0.00%             | 2030-08-22      | Fixed         | 30.78%                | Yes           |                  3 | On Loan: No      |
| DRB5857618.UP.NBM                     | DRB5857618.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5975 | PA      | $5777.05      | 0.01%             | 2028-08-22      | Fixed         | 22.54%                | Yes           |                  3 | On Loan: No      |
| 342665538.UL.NBM                      | 342665538.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       398 | PA      | $95.55        | 0.00%             | 2026-05-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342667167.UL.NBM                      | 342667167.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        86 | PA      | $85.91        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9763375.SQ.NBM                        | 9763375.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11738 | PA      | $11149.53     | 0.02%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9763593.SQ.NBM                        | 9763593.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1282 | PA      | $1187.54      | 0.00%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343066744.UL.NBM                      | 343066744.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1899 | PA      | $1770.27      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343073198.UL.NBM                      | 343073198.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        30 | PA      | $30.25        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5860992.UP.NBM                     | DRB5860992.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       913 | PA      | $884.92       | 0.00%             | 2028-08-22      | Fixed         | 22.95%                | Yes           |                  3 | On Loan: No      |
| DRB5860996.UP.NBM                     | DRB5860996.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9052 | PA      | $9343.64      | 0.01%             | 2030-08-22      | Fixed         | 31.94%                | Yes           |                  3 | On Loan: No      |
| 342672218.UL.NBM                      | 342672218.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       717 | PA      | $721.76       | 0.00%             | 2026-05-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342672321.UL.NBM                      | 342672321.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       470 | PA      | $473.59       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5866274.UP.NBM                      | FW5866274.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7067 | PA      | $7040.55      | 0.01%             | 2030-08-25      | Fixed         | 28.88%                | Yes           |                  3 | On Loan: No      |
| FW5866277.UP.NBM                      | FW5866277.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3084 | PA      | $2844.76      | 0.00%             | 2030-08-25      | Fixed         | 23.77%                | Yes           |                  3 | On Loan: No      |
| FW5859629.UP.NBM                      | FW5859629.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1749 | PA      | $1836.11      | 0.00%             | 2030-08-22      | Fixed         | 32.34%                | Yes           |                  3 | On Loan: No      |
| FW5861638.UP.NBM                      | FW5861638.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4251 | PA      | $4299.10      | 0.01%             | 2030-08-25      | Fixed         | 29.88%                | Yes           |                  3 | On Loan: No      |
| 343073341.UL.NBM                      | 343073341.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       254 | PA      | $252.37       | 0.00%             | 2026-02-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343073515.UL.NBM                      | 343073515.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        48 | PA      | $48.09        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5857652.UP.NBM                     | DRB5857652.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       904 | PA      | $911.76       | 0.00%             | 2030-08-22      | Fixed         | 30.64%                | Yes           |                  3 | On Loan: No      |
| DRB5857669.UP.NBM                     | DRB5857669.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5090 | PA      | $5313.69      | 0.01%             | 2030-08-22      | Fixed         | 32.28%                | Yes           |                  3 | On Loan: No      |
| 342689146.UL.NBM                      | 342689146.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        90 | PA      | $89.27        | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342689569.UL.NBM                      | 342689569.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       296 | PA      | $293.22       | 0.00%             | 2026-05-24      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| DRB5861008.UP.NBM                     | DRB5861008.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     26764 | PA      | $27109.08     | 0.04%             | 2030-08-22      | Fixed         | 29.95%                | Yes           |                  3 | On Loan: No      |
| DRB5861011.UP.NBM                     | DRB5861011.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1107 | PA      | $1041.60      | 0.00%             | 2028-08-22      | Fixed         | 25.16%                | Yes           |                  3 | On Loan: No      |
| 342912181.UL.NBM                      | 342912181.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1232 | PA      | $1217.46      | 0.00%             | 2026-07-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342912357.UL.NBM                      | 342912357.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        82 | PA      | $81.72        | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9763616.SQ.NBM                        | 9763616.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2261 | PA      | $2126.09      | 0.00%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9763651.SQ.NBM                        | 9763651.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2240 | PA      | $2145.10      | 0.00%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342691401.UL.NBM                      | 342691401.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       365 | PA      | $363.90       | 0.00%             | 2026-05-24      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342696182.UL.NBM                      | 342696182.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       598 | PA      | $49.48        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342849109.UL.NBM                      | 342849109.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       204 | PA      | $202.33       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342849426.UL.NBM                      | 342849426.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1424 | PA      | $1325.57      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10074197.SQ.NBM                       | 10074197.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1495 | PA      | $1302.07      | 0.00%             | 2027-05-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10074219.SQ.NBM                       | 10074219.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3050 | PA      | $2856.51      | 0.00%             | 2027-05-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5861012.UP.NBM                     | DRB5861012.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3479 | PA      | $3659.08      | 0.01%             | 2030-08-22      | Fixed         | 26.24%                | Yes           |                  3 | On Loan: No      |
| DRB5861030.UP.NBM                     | DRB5861030.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2523 | PA      | $2592.95      | 0.00%             | 2030-08-22      | Fixed         | 30.91%                | Yes           |                  3 | On Loan: No      |
| 9763706.SQ.NBM                        | 9763706.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9167 | PA      | $7589.44      | 0.01%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9763843.SQ.NBM                        | 9763843.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14694 | PA      | $12829.45     | 0.02%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341438510.UL.NBM                      | 341438510.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2161 | PA      | $2127.27      | 0.00%             | 2027-08-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341438515.UL.NBM                      | 341438515.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       218 | PA      | $216.57       | 0.00%             | 2026-05-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343074183.UL.NBM                      | 343074183.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        56 | PA      | $55.56        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343074247.UL.NBM                      | 343074247.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       288 | PA      | $281.90       | 0.00%             | 2026-06-02      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342697814.UL.NBM                      | 342697814.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       413 | PA      | $411.02       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342697845.UL.NBM                      | 342697845.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       278 | PA      | $263.35       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5861036.UP.NBM                     | DRB5861036.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     32058 | PA      | $32891.09     | 0.05%             | 2030-08-22      | Fixed         | 19.91%                | Yes           |                  3 | On Loan: No      |
| DRB5870466.UP.NBM                     | DRB5870466.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3768 | PA      | $874.17       | 0.00%             | 2030-08-25      | Fixed         | 31.97%                | Yes           |                  3 | On Loan: No      |
| 9764023.SQ.NBM                        | 9764023.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       198 | PA      | $194.46       | 0.00%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9764051.SQ.NBM                        | 9764051.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13942 | PA      | $13514.36     | 0.02%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341394699.UL.NBM                      | 341394699.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       200 | PA      | $197.80       | 0.00%             | 2026-05-20      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341394712.UL.NBM                      | 341394712.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       381 | PA      | $377.35       | 0.00%             | 2026-05-20      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342698895.UL.NBM                      | 342698895.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       134 | PA      | $132.72       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342702571.UL.NBM                      | 342702571.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       883 | PA      | $822.29       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10074320.SQ.NBM                       | 10074320.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2680 | PA      | $2400.10      | 0.00%             | 2027-05-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10074381.SQ.NBM                       | 10074381.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     30738 | PA      | $28567.52     | 0.04%             | 2027-05-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341713103.UL.NBM                      | 341713103.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        63 | PA      | $62.54        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341714946.UL.NBM                      | 341714946.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       497 | PA      | $491.79       | 0.00%             | 2026-05-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9764330.SQ.NBM                        | 9764330.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     23610 | PA      | $22652.69     | 0.03%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9764703.SQ.NBM                        | 9764703.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17460 | PA      | $16495.44     | 0.02%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5870476.UP.NBM                     | DRB5870476.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2331 | PA      | $2434.23      | 0.00%             | 2030-08-25      | Fixed         | 31.88%                | Yes           |                  3 | On Loan: No      |
| DRB5870478.UP.NBM                     | DRB5870478.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4078 | PA      | $4228.53      | 0.01%             | 2030-08-25      | Fixed         | 31.41%                | Yes           |                  3 | On Loan: No      |
| FW5861903.UP.NBM                      | FW5861903.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3291 | PA      | $3274.51      | 0.00%             | 2030-08-25      | Fixed         | 28.79%                | Yes           |                  3 | On Loan: No      |
| FW5862040.UP.NBM                      | FW5862040.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14491 | PA      | $15201.80     | 0.02%             | 2030-08-25      | Fixed         | 25.99%                | Yes           |                  3 | On Loan: No      |
| DRB5857677.UP.NBM                     | DRB5857677.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3789 | PA      | $3956.67      | 0.01%             | 2030-08-22      | Fixed         | 32.00%                | Yes           |                  3 | On Loan: No      |
| DRB5857697.UP.NBM                     | DRB5857697.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1067 | PA      | $1092.50      | 0.00%             | 2030-08-22      | Fixed         | 30.65%                | Yes           |                  3 | On Loan: No      |
| 343007164.UL.NBM                      | 343007164.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       281 | PA      | $265.95       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343007342.UL.NBM                      | 343007342.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       729 | PA      | $721.26       | 0.00%             | 2026-07-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341903956.UL.NBM                      | 341903956.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       203 | PA      | $200.68       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341967601.UL.NBM                      | 341967601.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       643 | PA      | $636.44       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9764949.SQ.NBM                        | 9764949.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11253 | PA      | $7951.59      | 0.01%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9765031.SQ.NBM                        | 9765031.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1468 | PA      | $1414.69      | 0.00%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341835450.UL.NBM                      | 341835450.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       243 | PA      | $240.60       | 0.00%             | 2026-05-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341835531.UL.NBM                      | 341835531.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       182 | PA      | $171.37       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5870490.UP.NBM                     | DRB5870490.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1834 | PA      | $1914.32      | 0.00%             | 2030-08-25      | Fixed         | 32.00%                | Yes           |                  3 | On Loan: No      |
| DRB5870497.UP.NBM                     | DRB5870497.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5733 | PA      | $6022.77      | 0.01%             | 2030-08-25      | Fixed         | 32.29%                | Yes           |                  3 | On Loan: No      |
| FW5862258.UP.NBM                      | FW5862258.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16851 | PA      | $16130.91     | 0.02%             | 2030-08-25      | Fixed         | 22.84%                | Yes           |                  3 | On Loan: No      |
| FW5862274.UP.NBM                      | FW5862274.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1648 | PA      | $1661.94      | 0.00%             | 2030-08-25      | Fixed         | 29.56%                | Yes           |                  3 | On Loan: No      |
| DRB5857763.UP.NBM                     | DRB5857763.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5956 | PA      | $5743.17      | 0.01%             | 2030-08-22      | Fixed         | 20.65%                | Yes           |                  3 | On Loan: No      |
| DRB5857767.UP.NBM                     | DRB5857767.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1637 | PA      | $1697.33      | 0.00%             | 2030-08-22      | Fixed         | 31.66%                | Yes           |                  3 | On Loan: No      |
| 9765528.SQ.NBM                        | 9765528.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9549 | PA      | $9152.61      | 0.01%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9765677.SQ.NBM                        | 9765677.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     30941 | PA      | $26693.69     | 0.04%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343007699.UL.NBM                      | 343007699.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       127 | PA      | $122.20       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343007713.UL.NBM                      | 343007713.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        93 | PA      | $92.06        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10075022.SQ.NBM                       | 10075022.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6066 | PA      | $5680.35      | 0.01%             | 2027-05-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10075138.SQ.NBM                       | 10075138.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12919 | PA      | $12217.95     | 0.02%             | 2027-05-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5862364.UP.NBM                      | FW5862364.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7573 | PA      | $7653.39      | 0.01%             | 2030-08-25      | Fixed         | 30.98%                | Yes           |                  3 | On Loan: No      |
| FW5862458.UP.NBM                      | FW5862458.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2202 | PA      | $1983.41      | 0.00%             | 2030-08-25      | Fixed         | 22.42%                | Yes           |                  3 | On Loan: No      |
| 341715482.UL.NBM                      | 341715482.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3484 | PA      | $3432.83      | 0.00%             | 2027-08-21      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341715693.UL.NBM                      | 341715693.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1482 | PA      | $1458.47      | 0.00%             | 2027-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341967616.UL.NBM                      | 341967616.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       287 | PA      | $285.22       | 0.00%             | 2026-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341967862.UL.NBM                      | 341967862.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       700 | PA      | $652.43       | 0.00%             | 2026-07-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5857777.UP.NBM                     | DRB5857777.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1650 | PA      | $1688.73      | 0.00%             | 2030-08-22      | Fixed         | 30.66%                | Yes           |                  3 | On Loan: No      |
| DRB5857782.UP.NBM                     | DRB5857782.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11702 | PA      | $11542.53     | 0.02%             | 2030-08-22      | Fixed         | 28.42%                | Yes           |                  3 | On Loan: No      |
| 343012175.UL.NBM                      | 343012175.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       153 | PA      | $151.44       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343012536.UL.NBM                      | 343012536.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       161 | PA      | $160.55       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| FW5862513.UP.NBM                      | FW5862513.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1641 | PA      | $1624.15      | 0.00%             | 2030-08-25      | Fixed         | 24.96%                | Yes           |                  3 | On Loan: No      |
| FW5862532.UP.NBM                      | FW5862532.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4079 | PA      | $4260.97      | 0.01%             | 2030-08-25      | Fixed         | 31.91%                | Yes           |                  3 | On Loan: No      |
| 10075335.SQ.NBM                       | 10075335.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3966 | PA      | $3409.58      | 0.00%             | 2027-05-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10075388.SQ.NBM                       | 10075388.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13498 | PA      | $12669.00     | 0.02%             | 2027-05-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9765976.SQ.NBM                        | 9765976.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       474 | PA      | $464.41       | 0.00%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9765985.SQ.NBM                        | 9765985.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6655 | PA      | $6337.96      | 0.01%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343074274.UL.NBM                      | 343074274.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        58 | PA      | $57.60        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343074319.UL.NBM                      | 343074319.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       192 | PA      | $190.69       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341715721.UL.NBM                      | 341715721.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       181 | PA      | $179.88       | 0.00%             | 2026-02-21      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341716027.UL.NBM                      | 341716027.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       353 | PA      | $349.94       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342642610.UL.NBM                      | 342642610.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2583 | PA      | $2542.45      | 0.00%             | 2027-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342642635.UL.NBM                      | 342642635.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       105 | PA      | $103.93       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5863222.UP.NBM                      | FW5863222.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5771 | PA      | $5477.87      | 0.01%             | 2030-08-25      | Fixed         | 22.46%                | Yes           |                  3 | On Loan: No      |
| FW5863491.UP.NBM                      | FW5863491.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3328 | PA      | $3339.58      | 0.00%             | 2030-08-25      | Fixed         | 18.58%                | Yes           |                  3 | On Loan: No      |
| 343013160.UL.NBM                      | 343013160.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        37 | PA      | $36.61        | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343013227.UL.NBM                      | 343013227.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       182 | PA      | $181.25       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5857785.UP.NBM                     | DRB5857785.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12760 | PA      | $12290.78     | 0.02%             | 2030-08-22      | Fixed         | 26.64%                | Yes           |                  3 | On Loan: No      |
| DRB5857788.UP.NBM                     | DRB5857788.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1074 | PA      | $875.70       | 0.00%             | 2030-08-22      | Fixed         | 27.83%                | Yes           |                  3 | On Loan: No      |
| 9766053.SQ.NBM                        | 9766053.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6185 | PA      | $5486.11      | 0.01%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9766093.SQ.NBM                        | 9766093.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1237 | PA      | $1210.01      | 0.00%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5870669.UP.NBM                     | DRB5870669.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3481 | PA      | $3646.55      | 0.01%             | 2030-08-25      | Fixed         | 32.23%                | Yes           |                  3 | On Loan: No      |
| DRB5870689.UP.NBM                     | DRB5870689.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     28705 | PA      | $27575.36     | 0.04%             | 2030-08-25      | Fixed         | 23.06%                | Yes           |                  3 | On Loan: No      |
| 343200683.UL.NBM                      | 343200683.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       198 | PA      | $196.67       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343200686.UL.NBM                      | 343200686.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2357 | PA      | $273.20       | 0.00%             | 2026-05-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343074332.UL.NBM                      | 343074332.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       156 | PA      | $149.89       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343074620.UL.NBM                      | 343074620.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2060 | PA      | $2047.84      | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5863659.UP.NBM                      | FW5863659.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2429 | PA      | $2553.20      | 0.00%             | 2030-08-25      | Fixed         | 32.32%                | Yes           |                  3 | On Loan: No      |
| FW5863792.UP.NBM                      | FW5863792.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1259 | PA      | $1255.69      | 0.00%             | 2030-08-25      | Fixed         | 28.81%                | Yes           |                  3 | On Loan: No      |
| 341716302.UL.NBM                      | 341716302.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       793 | PA      | $784.01       | 0.00%             | 2026-07-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341716403.UL.NBM                      | 341716403.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1161 | PA      | $1150.62      | 0.00%             | 2026-07-26      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 9766130.SQ.NBM                        | 9766130.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6480 | PA      | $4167.06      | 0.01%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9766196.SQ.NBM                        | 9766196.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3331 | PA      | $3216.91      | 0.00%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5857802.UP.NBM                     | DRB5857802.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2915 | PA      | $3059.86      | 0.00%             | 2030-08-22      | Fixed         | 32.34%                | Yes           |                  3 | On Loan: No      |
| DRB5857836.UP.NBM                     | DRB5857836.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1753 | PA      | $1701.12      | 0.00%             | 2028-08-22      | Fixed         | 28.49%                | Yes           |                  3 | On Loan: No      |
| 343200745.UL.NBM                      | 343200745.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       117 | PA      | $116.41       | 0.00%             | 2026-02-26      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 343200749.UL.NBM                      | 343200749.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1289 | PA      | $1274.32      | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5863902.UP.NBM                      | FW5863902.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1689 | PA      | $121.29       | 0.00%             | 2030-08-25      | Fixed         | 31.30%                | Yes           |                  3 | On Loan: No      |
| FW5863903.UP.NBM                      | FW5863903.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2113 | PA      | $2031.65      | 0.00%             | 2030-08-25      | Fixed         | 20.42%                | Yes           |                  3 | On Loan: No      |
| DRB5870732.UP.NBM                     | DRB5870732.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1455 | PA      | $1487.13      | 0.00%             | 2030-08-25      | Fixed         | 30.44%                | Yes           |                  3 | On Loan: No      |
| DRB5870775.UP.NBM                     | DRB5870775.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3786 | PA      | $3901.57      | 0.01%             | 2030-08-25      | Fixed         | 31.00%                | Yes           |                  3 | On Loan: No      |
| 343074658.UL.NBM                      | 343074658.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       221 | PA      | $219.47       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343074750.UL.NBM                      | 343074750.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       419 | PA      | $181.24       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9789950.SQ.NBM                        | 9789950.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4028 | PA      | $2951.22      | 0.00%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9790021.SQ.NBM                        | 9790021.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1518 | PA      | $1457.84      | 0.00%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341967868.UL.NBM                      | 341967868.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        21 | PA      | $21.12        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341967982.UL.NBM                      | 341967982.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       216 | PA      | $204.47       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5857849.UP.NBM                     | DRB5857849.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9677 | PA      | $8057.21      | 0.01%             | 2030-08-22      | Fixed         | 29.28%                | Yes           |                  3 | On Loan: No      |
| DRB5857893.UP.NBM                     | DRB5857893.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       972 | PA      | $1017.35      | 0.00%             | 2030-08-22      | Fixed         | 32.18%                | Yes           |                  3 | On Loan: No      |
| 341717181.UL.NBM                      | 341717181.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       112 | PA      | $107.73       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341767366.UL.NBM                      | 341767366.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       522 | PA      | $521.01       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5863906.UP.NBM                      | FW5863906.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6757 | PA      | $6375.53      | 0.01%             | 2030-08-25      | Fixed         | 25.22%                | Yes           |                  3 | On Loan: No      |
| FW5863920.UP.NBM                      | FW5863920.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3426 | PA      | $3328.28      | 0.00%             | 2028-08-25      | Fixed         | 28.20%                | Yes           |                  3 | On Loan: No      |
| 343074831.UL.NBM                      | 343074831.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       295 | PA      | $292.65       | 0.00%             | 2026-05-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343074984.UL.NBM                      | 343074984.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       125 | PA      | $124.04       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9790066.SQ.NBM                        | 9790066.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     32536 | PA      | $30838.05     | 0.04%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9790982.SQ.NBM                        | 9790982.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     25297 | PA      | $24299.02     | 0.03%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5870812.UP.NBM                     | DRB5870812.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7717 | PA      | $7584.37      | 0.01%             | 2030-08-25      | Fixed         | 24.50%                | Yes           |                  3 | On Loan: No      |
| DRB5870849.UP.NBM                     | DRB5870849.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8838 | PA      | $9161.71      | 0.01%             | 2030-08-26      | Fixed         | 25.33%                | Yes           |                  3 | On Loan: No      |
| 343201114.UL.NBM                      | 343201114.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       411 | PA      | $408.64       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343201131.UL.NBM                      | 343201131.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        63 | PA      | $62.27        | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| DRB5857896.UP.NBM                     | DRB5857896.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1100 | PA      | $-13.89       | -0.00%            | 2030-08-22      | Fixed         | 31.87%                | Yes           |                  3 | On Loan: No      |
| DRB5858018.UP.NBM                     | DRB5858018.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5143 | PA      | $5272.17      | 0.01%             | 2030-08-22      | Fixed         | 30.75%                | Yes           |                  3 | On Loan: No      |
| FW5864197.UP.NBM                      | FW5864197.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4248 | PA      | $4403.81      | 0.01%             | 2030-08-25      | Fixed         | 31.53%                | Yes           |                  3 | On Loan: No      |
| FW5864573.UP.NBM                      | FW5864573.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2981 | PA      | $2987.10      | 0.00%             | 2030-08-25      | Fixed         | 29.28%                | Yes           |                  3 | On Loan: No      |
| 342642751.UL.NBM                      | 342642751.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       382 | PA      | $380.25       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342642779.UL.NBM                      | 342642779.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       126 | PA      | $125.56       | 0.00%             | 2026-05-24      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 9791422.SQ.NBM                        | 9791422.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2860 | PA      | $2728.97      | 0.00%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9791494.SQ.NBM                        | 9791494.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5611 | PA      | $5093.91      | 0.01%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5870896.UP.NBM                     | DRB5870896.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     25444 | PA      | $26475.41     | 0.04%             | 2030-08-25      | Fixed         | 28.17%                | Yes           |                  3 | On Loan: No      |
| DRB5871004.UP.NBM                     | DRB5871004.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2817 | PA      | $2717.82      | 0.00%             | 2028-08-25      | Fixed         | 14.21%                | Yes           |                  3 | On Loan: No      |
| FW5864621.UP.NBM                      | FW5864621.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5303 | PA      | $5265.50      | 0.01%             | 2028-08-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| FW5864705.UP.NBM                      | FW5864705.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     22705 | PA      | $22492.21     | 0.03%             | 2028-08-25      | Fixed         | 30.45%                | Yes           |                  3 | On Loan: No      |
| 343201152.UL.NBM                      | 343201152.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1086 | PA      | $1073.87      | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343201178.UL.NBM                      | 343201178.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       346 | PA      | $342.66       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5866771.UP.NBM                     | DRB5866771.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1455 | PA      | $1474.40      | 0.00%             | 2030-08-25      | Fixed         | 29.90%                | Yes           |                  3 | On Loan: No      |
| DRB5866789.UP.NBM                     | DRB5866789.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5722 | PA      | $5952.70      | 0.01%             | 2030-08-25      | Fixed         | 31.77%                | Yes           |                  3 | On Loan: No      |
| 343075001.UL.NBM                      | 343075001.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        79 | PA      | $78.59        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343075053.UL.NBM                      | 343075053.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       244 | PA      | $242.27       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9791563.SQ.NBM                        | 9791563.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3230 | PA      | $2145.15      | 0.00%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9791591.SQ.NBM                        | 9791591.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9876 | PA      | $9407.70      | 0.01%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5865144.UP.NBM                      | FW5865144.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1649 | PA      | $1673.69      | 0.00%             | 2030-08-25      | Fixed         | 30.00%                | Yes           |                  3 | On Loan: No      |
| FW5865169.UP.NBM                      | FW5865169.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1140 | PA      | $1104.33      | 0.00%             | 2030-08-25      | Fixed         | 11.69%                | Yes           |                  3 | On Loan: No      |
| 10075733.SQ.NBM                       | 10075733.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17114 | PA      | $16021.29     | 0.02%             | 2027-05-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10076325.SQ.NBM                       | 10076325.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       944 | PA      | $880.35       | 0.00%             | 2027-05-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343075130.UL.NBM                      | 343075130.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        62 | PA      | $61.35        | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343075161.UL.NBM                      | 343075161.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        87 | PA      | $86.32        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5866808.UP.NBM                     | DRB5866808.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2700 | PA      | $2966.99      | 0.00%             | 2030-08-25      | Fixed         | 24.18%                | Yes           |                  3 | On Loan: No      |
| DRB5867394.UP.NBM                     | DRB5867394.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1163 | PA      | $1160.24      | 0.00%             | 2030-08-25      | Fixed         | 28.87%                | Yes           |                  3 | On Loan: No      |
| DRB5871168.UP.NBM                     | DRB5871168.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9627 | PA      | $964.22       | 0.00%             | 2028-08-26      | Fixed         | 28.61%                | Yes           |                  3 | On Loan: No      |
| DRB5871287.UP.NBM                     | DRB5871287.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2159 | PA      | $155.09       | 0.00%             | 2030-08-25      | Fixed         | 22.27%                | Yes           |                  3 | On Loan: No      |
| 343075285.UL.NBM                      | 343075285.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1738 | PA      | $1718.71      | 0.00%             | 2026-07-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343075354.UL.NBM                      | 343075354.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1787 | PA      | $1628.35      | 0.00%             | 2027-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5867408.UP.NBM                     | DRB5867408.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6491 | PA      | $6325.72      | 0.01%             | 2028-08-25      | Fixed         | 28.56%                | Yes           |                  3 | On Loan: No      |
| DRB5867413.UP.NBM                     | DRB5867413.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6749 | PA      | $6674.42      | 0.01%             | 2030-08-25      | Fixed         | 28.40%                | Yes           |                  3 | On Loan: No      |
| FW5865193.UP.NBM                      | FW5865193.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16333 | PA      | $15727.44     | 0.02%             | 2030-08-25      | Fixed         | 23.37%                | Yes           |                  3 | On Loan: No      |
| FW5865270.UP.NBM                      | FW5865270.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3100 | PA      | $3093.38      | 0.00%             | 2030-08-25      | Fixed         | 28.86%                | Yes           |                  3 | On Loan: No      |
| 343075377.UL.NBM                      | 343075377.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       523 | PA      | $520.88       | 0.00%             | 2026-05-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343075524.UL.NBM                      | 343075524.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       162 | PA      | $161.91       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341968031.UL.NBM                      | 341968031.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        96 | PA      | $95.19        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341968043.UL.NBM                      | 341968043.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       498 | PA      | $495.45       | 0.00%             | 2026-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 9791693.SQ.NBM                        | 9791693.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2913 | PA      | $2817.67      | 0.00%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9791772.SQ.NBM                        | 9791772.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1875 | PA      | $1737.98      | 0.00%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5865298.UP.NBM                      | FW5865298.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1392 | PA      | $1376.55      | 0.00%             | 2028-08-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| FW5865327.UP.NBM                      | FW5865327.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4944 | PA      | $4648.86      | 0.01%             | 2028-08-25      | Fixed         | 19.88%                | Yes           |                  3 | On Loan: No      |
| 343201220.UL.NBM                      | 343201220.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       143 | PA      | $142.48       | 0.00%             | 2026-02-26      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343201233.UL.NBM                      | 343201233.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       461 | PA      | $457.06       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343075867.UL.NBM                      | 343075867.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       194 | PA      | $192.24       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343075889.UL.NBM                      | 343075889.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       205 | PA      | $203.18       | 0.00%             | 2026-05-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 10076353.SQ.NBM                       | 10076353.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     36642 | PA      | $33898.42     | 0.05%             | 2027-05-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341225830.UL.NBM                      | 341225830.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       486 | PA      | $209.36       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5867426.UP.NBM                     | DRB5867426.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       958 | PA      | $938.82       | 0.00%             | 2030-08-25      | Fixed         | 27.95%                | Yes           |                  3 | On Loan: No      |
| DRB5867431.UP.NBM                     | DRB5867431.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4657 | PA      | $5017.87      | 0.01%             | 2030-08-25      | Fixed         | 30.46%                | Yes           |                  3 | On Loan: No      |
| FW5865383.UP.NBM                      | FW5865383.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1863 | PA      | $1888.85      | 0.00%             | 2030-08-25      | Fixed         | 29.66%                | Yes           |                  3 | On Loan: No      |
| FW5865601.UP.NBM                      | FW5865601.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2035 | PA      | $2070.52      | 0.00%             | 2030-08-25      | Fixed         | 30.28%                | Yes           |                  3 | On Loan: No      |
| 340993394.UL.NBM                      | 340993394.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        73 | PA      | $72.47        | 0.00%             | 2026-02-18      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 340993770.UL.NBM                      | 340993770.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       284 | PA      | $281.08       | 0.00%             | 2026-05-18      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343075922.UL.NBM                      | 343075922.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       521 | PA      | $518.22       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343075942.UL.NBM                      | 343075942.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        46 | PA      | $45.66        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343201353.UL.NBM                      | 343201353.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $66.23        | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343201370.UL.NBM                      | 343201370.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4452 | PA      | $4389.90      | 0.01%             | 2027-02-26      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| DRB5867458.UP.NBM                     | DRB5867458.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3686 | PA      | $3761.47      | 0.01%             | 2030-08-25      | Fixed         | 30.34%                | Yes           |                  3 | On Loan: No      |
| DRB5867480.UP.NBM                     | DRB5867480.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1986 | PA      | $140.34       | 0.00%             | 2030-08-25      | Fixed         | 30.07%                | Yes           |                  3 | On Loan: No      |
| FW5865622.UP.NBM                      | FW5865622.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3706 | PA      | $3820.82      | 0.01%             | 2030-08-25      | Fixed         | 31.03%                | Yes           |                  3 | On Loan: No      |
| FW5865649.UP.NBM                      | FW5865649.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1550 | PA      | $1546.63      | 0.00%             | 2030-08-25      | Fixed         | 28.86%                | Yes           |                  3 | On Loan: No      |
| 341388096.UL.NBM                      | 341388096.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2356 | PA      | $2366.41      | 0.00%             | 2026-05-20      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341442070.UL.NBM                      | 341442070.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       917 | PA      | $908.04       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343076042.UL.NBM                      | 343076042.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       299 | PA      | $278.38       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343076048.UL.NBM                      | 343076048.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.20        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343201375.UL.NBM                      | 343201375.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       453 | PA      | $97.56        | 0.00%             | 2035-11-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343201464.UL.NBM                      | 343201464.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       218 | PA      | $215.81       | 0.00%             | 2026-05-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9791901.SQ.NBM                        | 9791901.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21820 | PA      | $20636.12     | 0.03%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9792090.SQ.NBM                        | 9792090.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2234 | PA      | $1962.89      | 0.00%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5871363.UP.NBM                     | DRB5871363.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1941 | PA      | $1989.93      | 0.00%             | 2030-08-26      | Fixed         | 30.63%                | Yes           |                  3 | On Loan: No      |
| DRB5872206.UP.NBM                     | DRB5872206.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2100 | PA      | $164.98       | 0.00%             | 2030-08-26      | Fixed         | 29.69%                | Yes           |                  3 | On Loan: No      |
| FW5865664.UP.NBM                      | FW5865664.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1053 | PA      | $1038.18      | 0.00%             | 2030-08-25      | Fixed         | 17.44%                | Yes           |                  3 | On Loan: No      |
| FW5866138.UP.NBM                      | FW5866138.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4649 | PA      | $4631.72      | 0.01%             | 2030-08-25      | Fixed         | 28.75%                | Yes           |                  3 | On Loan: No      |
| 343076132.UL.NBM                      | 343076132.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       109 | PA      | $109.18       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343076178.UL.NBM                      | 343076178.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        71 | PA      | $71.04        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341226033.UL.NBM                      | 341226033.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       202 | PA      | $199.77       | 0.00%             | 2026-05-19      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341226115.UL.NBM                      | 341226115.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1130 | PA      | $1116.06      | 0.00%             | 2026-07-19      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9792161.SQ.NBM                        | 9792161.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5552 | PA      | $3855.41      | 0.01%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9792219.SQ.NBM                        | 9792219.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13556 | PA      | $12977.58     | 0.02%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5867501.UP.NBM                     | DRB5867501.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4365 | PA      | $4353.67      | 0.01%             | 2028-08-25      | Fixed         | 30.83%                | Yes           |                  3 | On Loan: No      |
| DRB5867518.UP.NBM                     | DRB5867518.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5473 | PA      | $5399.41      | 0.01%             | 2028-08-25      | Fixed         | 29.74%                | Yes           |                  3 | On Loan: No      |
| FW5866144.UP.NBM                      | FW5866144.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9046 | PA      | $9232.69      | 0.01%             | 2030-08-25      | Fixed         | 19.62%                | Yes           |                  3 | On Loan: No      |
| FW5866200.UP.NBM                      | FW5866200.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1072 | PA      | $1016.52      | 0.00%             | 2030-08-25      | Fixed         | 25.44%                | Yes           |                  3 | On Loan: No      |
| 343201479.UL.NBM                      | 343201479.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       175 | PA      | $173.44       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343201553.UL.NBM                      | 343201553.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        73 | PA      | $72.80        | 0.00%             | 2026-02-26      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| DRB5872288.UP.NBM                     | DRB5872288.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3841 | PA      | $3695.63      | 0.01%             | 2030-08-26      | Fixed         | 20.43%                | Yes           |                  3 | On Loan: No      |
| DRB5872313.UP.NBM                     | DRB5872313.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7757 | PA      | $7852.51      | 0.01%             | 2030-08-26      | Fixed         | 29.78%                | Yes           |                  3 | On Loan: No      |
| 341226592.UL.NBM                      | 341226592.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       200 | PA      | $198.46       | 0.00%             | 2026-05-19      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341273182.UL.NBM                      | 341273182.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       264 | PA      | $261.16       | 0.00%             | 2026-05-19      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9792399.SQ.NBM                        | 9792399.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2977 | PA      | $2887.59      | 0.00%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9795588.SQ.NBM                        | 9795588.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3407 | PA      | $3136.20      | 0.00%             | 2027-03-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5873051.UP.NBM                      | FW5873051.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     23650 | PA      | $24519.41     | 0.03%             | 2030-08-26      | Fixed         | 25.20%                | Yes           |                  3 | On Loan: No      |
| FW5873733.UP.NBM                      | FW5873733.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6243 | PA      | $1457.33      | 0.00%             | 2028-08-26      | Fixed         | 29.74%                | Yes           |                  3 | On Loan: No      |
| DRB5867533.UP.NBM                     | DRB5867533.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2446 | PA      | $2648.91      | 0.00%             | 2030-08-25      | Fixed         | 30.39%                | Yes           |                  3 | On Loan: No      |
| DRB5867542.UP.NBM                     | DRB5867542.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1111 | PA      | $1075.29      | 0.00%             | 2028-08-25      | Fixed         | 27.86%                | Yes           |                  3 | On Loan: No      |
| 343201637.UL.NBM                      | 343201637.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       477 | PA      | $475.00       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343201732.UL.NBM                      | 343201732.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       128 | PA      | $127.33       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5872317.UP.NBM                     | DRB5872317.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2039 | PA      | $2115.38      | 0.00%             | 2030-08-26      | Fixed         | 31.41%                | Yes           |                  3 | On Loan: No      |
| DRB5872329.UP.NBM                     | DRB5872329.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9562 | PA      | $9592.56      | 0.01%             | 2030-08-26      | Fixed         | 25.78%                | Yes           |                  3 | On Loan: No      |
| FW5873736.UP.NBM                      | FW5873736.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5554 | PA      | $5523.50      | 0.01%             | 2030-08-26      | Fixed         | 17.94%                | Yes           |                  3 | On Loan: No      |
| FW5873786.UP.NBM                      | FW5873786.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     26622 | PA      | $26480.19     | 0.04%             | 2030-08-26      | Fixed         | 17.95%                | Yes           |                  3 | On Loan: No      |
| 341274235.UL.NBM                      | 341274235.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       394 | PA      | $392.54       | 0.00%             | 2026-05-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341274407.UL.NBM                      | 341274407.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1002 | PA      | $929.13       | 0.00%             | 2026-07-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9795717.SQ.NBM                        | 9795717.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6189 | PA      | $5930.35      | 0.01%             | 2027-03-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9795788.SQ.NBM                        | 9795788.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1918 | PA      | $1669.82      | 0.00%             | 2027-03-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343201747.UL.NBM                      | 343201747.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       257 | PA      | $256.07       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343201757.UL.NBM                      | 343201757.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        64 | PA      | $63.84        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5867564.UP.NBM                     | DRB5867564.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3201 | PA      | $3260.85      | 0.00%             | 2030-08-25      | Fixed         | 30.23%                | Yes           |                  3 | On Loan: No      |
| 343076289.UL.NBM                      | 343076289.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       523 | PA      | $520.50       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343076764.UL.NBM                      | 343076764.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       309 | PA      | $306.07       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5873792.UP.NBM                      | FW5873792.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5402 | PA      | $5149.09      | 0.01%             | 2028-08-26      | Fixed         | 13.20%                | Yes           |                  3 | On Loan: No      |
| L5858279.UP.NBM                       | L5858279.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10529 | PA      | $9746.74      | 0.01%             | 2030-08-22      | Fixed         | 24.07%                | Yes           |                  3 | On Loan: No      |
| 341274787.UL.NBM                      | 341274787.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       798 | PA      | $787.98       | 0.00%             | 2026-07-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341281073.UL.NBM                      | 341281073.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        49 | PA      | $48.73        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342642998.UL.NBM                      | 342642998.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       208 | PA      | $207.18       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342643039.UL.NBM                      | 342643039.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       860 | PA      | $800.71       | 0.00%             | 2026-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9795798.SQ.NBM                        | 9795798.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2879 | PA      | $1673.23      | 0.00%             | 2027-03-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9795820.SQ.NBM                        | 9795820.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       875 | PA      | $840.23       | 0.00%             | 2027-03-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5858281.UP.NBM                       | L5858281.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17255 | PA      | $16171.37     | 0.02%             | 2030-08-22      | Fixed         | 18.86%                | Yes           |                  3 | On Loan: No      |
| L5858287.UP.NBM                       | L5858287.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2888 | PA      | $2749.25      | 0.00%             | 2030-08-22      | Fixed         | 22.56%                | Yes           |                  3 | On Loan: No      |
| 343076869.UL.NBM                      | 343076869.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        65 | PA      | $64.53        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343076910.UL.NBM                      | 343076910.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        93 | PA      | $92.21        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341394845.UL.NBM                      | 341394845.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       139 | PA      | $138.35       | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341394952.UL.NBM                      | 341394952.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        64 | PA      | $63.81        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341282529.UL.NBM                      | 341282529.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       176 | PA      | $173.67       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341282705.UL.NBM                      | 341282705.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       613 | PA      | $605.18       | 0.00%             | 2026-07-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5858301.UP.NBM                       | L5858301.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2004 | PA      | $1900.09      | 0.00%             | 2030-08-22      | Fixed         | 22.50%                | Yes           |                  3 | On Loan: No      |
| L5858315.UP.NBM                       | L5858315.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3398 | PA      | $2655.01      | 0.00%             | 2030-08-22      | Fixed         | 20.46%                | Yes           |                  3 | On Loan: No      |
| 343077065.UL.NBM                      | 343077065.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       596 | PA      | $568.81       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343077234.UL.NBM                      | 343077234.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       118 | PA      | $26.24        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5872339.UP.NBM                     | DRB5872339.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1328 | PA      | $1317.81      | 0.00%             | 2030-08-26      | Fixed         | 28.67%                | Yes           |                  3 | On Loan: No      |
| DRB5872406.UP.NBM                     | DRB5872406.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6915 | PA      | $6847.22      | 0.01%             | 2028-08-26      | Fixed         | 30.35%                | Yes           |                  3 | On Loan: No      |
| 9795836.SQ.NBM                        | 9795836.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4930 | PA      | $4657.62      | 0.01%             | 2027-03-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9796642.SQ.NBM                        | 9796642.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5759 | PA      | $5413.77      | 0.01%             | 2027-03-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341442375.UL.NBM                      | 341442375.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       154 | PA      | $23.03        | 0.00%             | 2035-11-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341442376.UL.NBM                      | 341442376.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       101 | PA      | $100.30       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5858317.UP.NBM                       | L5858317.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     24568 | PA      | $23007.84     | 0.03%             | 2028-08-22      | Fixed         | 19.50%                | Yes           |                  3 | On Loan: No      |
| L5858679.UP.NBM                       | L5858679.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2690 | PA      | $2593.27      | 0.00%             | 2030-08-22      | Fixed         | 20.64%                | Yes           |                  3 | On Loan: No      |
| 343123796.UL.NBM                      | 343123796.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        42 | PA      | $41.93        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343124084.UL.NBM                      | 343124084.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       417 | PA      | $414.35       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341282719.UL.NBM                      | 341282719.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       216 | PA      | $214.07       | 0.00%             | 2026-05-19      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341282956.UL.NBM                      | 341282956.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1041 | PA      | $1029.50      | 0.00%             | 2026-07-19      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 9796791.SQ.NBM                        | 9796791.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5941 | PA      | $5718.13      | 0.01%             | 2027-03-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9812358.SQ.NBM                        | 9812358.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2595 | PA      | $2432.16      | 0.00%             | 2027-03-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343124340.UL.NBM                      | 343124340.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       977 | PA      | $901.28       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343124429.UL.NBM                      | 343124429.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       140 | PA      | $134.52       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5872430.UP.NBM                     | DRB5872430.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1455 | PA      | $1482.58      | 0.00%             | 2030-08-26      | Fixed         | 30.20%                | Yes           |                  3 | On Loan: No      |
| DRB5872441.UP.NBM                     | DRB5872441.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3877 | PA      | $3857.80      | 0.01%             | 2028-08-26      | Fixed         | 30.86%                | Yes           |                  3 | On Loan: No      |
| 340997242.UL.NBM                      | 340997242.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        60 | PA      | $59.92        | 0.00%             | 2026-02-18      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341000609.UL.NBM                      | 341000609.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1847 | PA      | $1817.73      | 0.00%             | 2027-08-18      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| L5858683.UP.NBM                       | L5858683.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5470 | PA      | $5205.99      | 0.01%             | 2030-08-22      | Fixed         | 19.82%                | Yes           |                  3 | On Loan: No      |
| L5858699.UP.NBM                       | L5858699.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1340 | PA      | $1326.64      | 0.00%             | 2030-08-22      | Fixed         | 17.70%                | Yes           |                  3 | On Loan: No      |
| 343124628.UL.NBM                      | 343124628.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2803 | PA      | $2759.15      | 0.00%             | 2027-08-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343124642.UL.NBM                      | 343124642.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       739 | PA      | $744.68       | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341284394.UL.NBM                      | 341284394.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       216 | PA      | $214.79       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341284595.UL.NBM                      | 341284595.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       177 | PA      | $175.47       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9812635.SQ.NBM                        | 9812635.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9041 | PA      | $8535.40      | 0.01%             | 2027-03-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9812869.SQ.NBM                        | 9812869.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1759 | PA      | $1623.36      | 0.00%             | 2027-03-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5872450.UP.NBM                     | DRB5872450.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10940 | PA      | $10420.69     | 0.01%             | 2030-08-26      | Fixed         | 19.81%                | Yes           |                  3 | On Loan: No      |
| DRB5872499.UP.NBM                     | DRB5872499.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1644 | PA      | $1600.18      | 0.00%             | 2030-08-26      | Fixed         | 27.19%                | Yes           |                  3 | On Loan: No      |
| 343124738.UL.NBM                      | 343124738.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       121 | PA      | $120.48       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343124761.UL.NBM                      | 343124761.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2758 | PA      | $2716.82      | 0.00%             | 2027-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341438659.UL.NBM                      | 341438659.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       302 | PA      | $304.08       | 0.00%             | 2026-05-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341438960.UL.NBM                      | 341438960.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       140 | PA      | $11.14        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341284716.UL.NBM                      | 341284716.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       209 | PA      | $207.99       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341284937.UL.NBM                      | 341284937.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       394 | PA      | $391.17       | 0.00%             | 2026-02-19      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342643105.UL.NBM                      | 342643105.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       369 | PA      | $343.90       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342643300.UL.NBM                      | 342643300.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2402 | PA      | $2243.88      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343125093.UL.NBM                      | 343125093.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       797 | PA      | $788.24       | 0.00%             | 2026-07-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343125293.UL.NBM                      | 343125293.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       223 | PA      | $221.37       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| DRB5872505.UP.NBM                     | DRB5872505.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7272 | PA      | $6977.58      | 0.01%             | 2028-08-26      | Fixed         | 17.08%                | Yes           |                  3 | On Loan: No      |
| DRB5872511.UP.NBM                     | DRB5872511.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1067 | PA      | $1141.15      | 0.00%             | 2030-08-26      | Fixed         | 29.95%                | Yes           |                  3 | On Loan: No      |
| 343201838.UL.NBM                      | 343201838.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       243 | PA      | $242.40       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343202064.UL.NBM                      | 343202064.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       144 | PA      | $142.94       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9812938.SQ.NBM                        | 9812938.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3704 | PA      | $3523.49      | 0.00%             | 2027-03-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9813091.SQ.NBM                        | 9813091.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     29141 | PA      | $27167.36     | 0.04%             | 2027-03-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341285327.UL.NBM                      | 341285327.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       273 | PA      | $259.42       | 0.00%             | 2026-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341285495.UL.NBM                      | 341285495.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       158 | PA      | $157.19       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341395199.UL.NBM                      | 341395199.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       346 | PA      | $343.66       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341395222.UL.NBM                      | 341395222.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1552 | PA      | $1438.34      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343125332.UL.NBM                      | 343125332.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        33 | PA      | $33.34        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343125670.UL.NBM                      | 343125670.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       128 | PA      | $127.32       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343202079.UL.NBM                      | 343202079.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        63 | PA      | $63.03        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343202239.UL.NBM                      | 343202239.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       133 | PA      | $132.71       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9813243.SQ.NBM                        | 9813243.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2457 | PA      | $1416.96      | 0.00%             | 2027-03-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9814418.SQ.NBM                        | 9814418.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5273 | PA      | $5025.10      | 0.01%             | 2027-03-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5872515.UP.NBM                     | DRB5872515.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4613 | PA      | $4559.03      | 0.01%             | 2028-08-26      | Fixed         | 30.15%                | Yes           |                  3 | On Loan: No      |
| DRB5872525.UP.NBM                     | DRB5872525.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1160 | PA      | $1179.24      | 0.00%             | 2030-08-26      | Fixed         | 26.63%                | Yes           |                  3 | On Loan: No      |
| 341285654.UL.NBM                      | 341285654.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       296 | PA      | $293.20       | 0.00%             | 2026-05-19      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341285712.UL.NBM                      | 341285712.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        40 | PA      | $39.37        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343202288.UL.NBM                      | 343202288.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       184 | PA      | $183.60       | 0.00%             | 2026-02-26      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343202309.UL.NBM                      | 343202309.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       280 | PA      | $265.03       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343125735.UL.NBM                      | 343125735.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       186 | PA      | $185.31       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343125837.UL.NBM                      | 343125837.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       566 | PA      | $560.56       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341963942.UL.NBM                      | 341963942.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        59 | PA      | $58.59        | 0.00%             | 2026-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341964029.UL.NBM                      | 341964029.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       365 | PA      | $360.93       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341286153.UL.NBM                      | 341286153.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        32 | PA      | $31.24        | 0.00%             | 2026-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341286598.UL.NBM                      | 341286598.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       238 | PA      | $235.47       | 0.00%             | 2026-05-19      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| DRB5872534.UP.NBM                     | DRB5872534.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9500 | PA      | $694.65       | 0.00%             | 2030-08-26      | Fixed         | 28.88%                | Yes           |                  3 | On Loan: No      |
| DRB5872537.UP.NBM                     | DRB5872537.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5107 | PA      | $4882.69      | 0.01%             | 2028-08-26      | Fixed         | 16.62%                | Yes           |                  3 | On Loan: No      |
| 9814507.SQ.NBM                        | 9814507.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18945 | PA      | $17781.91     | 0.02%             | 2027-03-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9815178.SQ.NBM                        | 9815178.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3752 | PA      | $3541.42      | 0.00%             | 2027-03-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343125857.UL.NBM                      | 343125857.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       573 | PA      | $570.34       | 0.00%             | 2026-02-25      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 343126489.UL.NBM                      | 343126489.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       382 | PA      | $159.84       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343202326.UL.NBM                      | 343202326.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        46 | PA      | $45.73        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343202374.UL.NBM                      | 343202374.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       190 | PA      | $188.93       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341439174.UL.NBM                      | 341439174.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       407 | PA      | $402.24       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341439348.UL.NBM                      | 341439348.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        46 | PA      | $45.87        | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341286633.UL.NBM                      | 341286633.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       379 | PA      | $374.64       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341287156.UL.NBM                      | 341287156.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       988 | PA      | $975.77       | 0.00%             | 2026-07-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343127080.UL.NBM                      | 343127080.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       167 | PA      | $156.86       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343127333.UL.NBM                      | 343127333.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       310 | PA      | $307.76       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5872555.UP.NBM                     | DRB5872555.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1261 | PA      | $1288.52      | 0.00%             | 2030-08-26      | Fixed         | 30.39%                | Yes           |                  3 | On Loan: No      |
| FW5854016.UP.NBM                      | FW5854016.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2899 | PA      | $2782.86      | 0.00%             | 2030-08-22      | Fixed         | 26.41%                | Yes           |                  3 | On Loan: No      |
| 343202375.UL.NBM                      | 343202375.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       233 | PA      | $231.31       | 0.00%             | 2026-05-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343202511.UL.NBM                      | 343202511.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       175 | PA      | $174.35       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9815280.SQ.NBM                        | 9815280.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2344 | PA      | $2275.81      | 0.00%             | 2027-03-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9815299.SQ.NBM                        | 9815299.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8160 | PA      | $7563.77      | 0.01%             | 2027-03-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343342840.UL.NBM                      | 343342840.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        88 | PA      | $87.83        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343343609.UL.NBM                      | 343343609.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       357 | PA      | $353.93       | 0.00%             | 2026-05-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341287209.UL.NBM                      | 341287209.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1035 | PA      | $1022.08      | 0.00%             | 2026-07-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341314896.UL.NBM                      | 341314896.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       792 | PA      | $782.72       | 0.00%             | 2026-07-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343127484.UL.NBM                      | 343127484.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1713 | PA      | $1694.35      | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343127570.UL.NBM                      | 343127570.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       775 | PA      | $720.57       | 0.00%             | 2026-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5856466.UP.NBM                      | FW5856466.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4070 | PA      | $3981.10      | 0.01%             | 2028-09-06      | Fixed         | 29.48%                | Yes           |                  3 | On Loan: No      |
| FW5857292.UP.NBM                      | FW5857292.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5911 | PA      | $5915.46      | 0.01%             | 2030-08-22      | Fixed         | 29.15%                | Yes           |                  3 | On Loan: No      |
| 9815396.SQ.NBM                        | 9815396.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7865 | PA      | $6466.80      | 0.01%             | 2027-03-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9815450.SQ.NBM                        | 9815450.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1185 | PA      | $1142.22      | 0.00%             | 2027-03-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343202748.UL.NBM                      | 343202748.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        76 | PA      | $75.65        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343202775.UL.NBM                      | 343202775.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       189 | PA      | $187.14       | 0.00%             | 2026-05-26      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 343128374.UL.NBM                      | 343128374.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       117 | PA      | $116.22       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343128777.UL.NBM                      | 343128777.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       228 | PA      | $225.49       | 0.00%             | 2026-05-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341319582.UL.NBM                      | 341319582.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        44 | PA      | $43.69        | 0.00%             | 2026-02-19      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341319747.UL.NBM                      | 341319747.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       316 | PA      | $314.03       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342912387.UL.NBM                      | 342912387.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1101 | PA      | $1058.24      | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342912602.UL.NBM                      | 342912602.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       426 | PA      | $425.20       | 0.00%             | 2026-02-24      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 9815483.SQ.NBM                        | 9815483.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     40677 | PA      | $37731.19     | 0.05%             | 2027-03-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9815988.SQ.NBM                        | 9815988.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3160 | PA      | $2532.53      | 0.00%             | 2027-03-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343128854.UL.NBM                      | 343128854.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       607 | PA      | $581.91       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343128916.UL.NBM                      | 343128916.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       173 | PA      | $172.29       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342643587.UL.NBM                      | 342643587.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        65 | PA      | $64.27        | 0.00%             | 2026-02-24      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342643726.UL.NBM                      | 342643726.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       139 | PA      | $133.90       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343202853.UL.NBM                      | 343202853.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       351 | PA      | $347.93       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343202905.UL.NBM                      | 343202905.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       142 | PA      | $142.18       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341319812.UL.NBM                      | 341319812.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       108 | PA      | $106.93       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341320201.UL.NBM                      | 341320201.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       204 | PA      | $203.14       | 0.00%             | 2026-02-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343128930.UL.NBM                      | 343128930.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2500 | PA      | $2335.20      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343129195.UL.NBM                      | 343129195.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       152 | PA      | $151.43       | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9816026.SQ.NBM                        | 9816026.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       763 | PA      | $719.99       | 0.00%             | 2027-03-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9816037.SQ.NBM                        | 9816037.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4633 | PA      | $3229.71      | 0.00%             | 2027-03-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343203020.UL.NBM                      | 343203020.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       228 | PA      | $215.07       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343203079.UL.NBM                      | 343203079.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1669 | PA      | $1643.32      | 0.00%             | 2026-12-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341964109.UL.NBM                      | 341964109.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1013 | PA      | $1017.30      | 0.00%             | 2026-07-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341964304.UL.NBM                      | 341964304.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       968 | PA      | $957.57       | 0.00%             | 2026-07-22      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| FW5857612.UP.NBM                      | FW5857612.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2086 | PA      | $137.10       | 0.00%             | 2030-08-22      | Fixed         | 31.88%                | Yes           |                  3 | On Loan: No      |
| FW5857657.UP.NBM                      | FW5857657.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       909 | PA      | $847.99       | 0.00%             | 2028-08-22      | Fixed         | 14.38%                | Yes           |                  3 | On Loan: No      |
| 341320253.UL.NBM                      | 341320253.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        83 | PA      | $82.55        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341320356.UL.NBM                      | 341320356.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       164 | PA      | $163.32       | 0.00%             | 2026-02-19      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343129580.UL.NBM                      | 343129580.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       510 | PA      | $507.68       | 0.00%             | 2026-02-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343129749.UL.NBM                      | 343129749.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $66.73        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9816074.SQ.NBM                        | 9816074.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     25364 | PA      | $24260.55     | 0.03%             | 2027-03-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9816469.SQ.NBM                        | 9816469.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11555 | PA      | $11247.39     | 0.02%             | 2027-03-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342643919.UL.NBM                      | 342643919.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        72 | PA      | $72.08        | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342643956.UL.NBM                      | 342643956.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       176 | PA      | $35.62        | 0.00%             | 2035-11-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343129928.UL.NBM                      | 343129928.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       894 | PA      | $888.05       | 0.00%             | 2026-07-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343130056.UL.NBM                      | 343130056.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       157 | PA      | $158.14       | 0.00%             | 2026-02-25      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| FW5857684.UP.NBM                      | FW5857684.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9624 | PA      | $9136.15      | 0.01%             | 2030-08-22      | Fixed         | 22.38%                | Yes           |                  3 | On Loan: No      |
| FW5857695.UP.NBM                      | FW5857695.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1050 | PA      | $250.32       | 0.00%             | 2028-08-22      | Fixed         | 18.68%                | Yes           |                  3 | On Loan: No      |
| 341395255.UL.NBM                      | 341395255.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        84 | PA      | $83.36        | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341395281.UL.NBM                      | 341395281.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       373 | PA      | $356.38       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343130470.UL.NBM                      | 343130470.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        58 | PA      | $57.58        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343130540.UL.NBM                      | 343130540.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       513 | PA      | $509.84       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343203143.UL.NBM                      | 343203143.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       837 | PA      | $827.53       | 0.00%             | 2026-07-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343203148.UL.NBM                      | 343203148.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       260 | PA      | $257.67       | 0.00%             | 2026-07-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 9816800.SQ.NBM                        | 9816800.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     20271 | PA      | $18901.30     | 0.03%             | 2027-03-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9817132.SQ.NBM                        | 9817132.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2298 | PA      | $2201.87      | 0.00%             | 2027-03-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343185009.UL.NBM                      | 343185009.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       478 | PA      | $451.69       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343185059.UL.NBM                      | 343185059.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       319 | PA      | $315.77       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341330030.UL.NBM                      | 341330030.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        94 | PA      | $93.22        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341330225.UL.NBM                      | 341330225.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        63 | PA      | $62.64        | 0.00%             | 2026-02-23      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341411263.UL.NBM                      | 341411263.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       735 | PA      | $726.62       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341411277.UL.NBM                      | 341411277.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       519 | PA      | $479.79       | 0.00%             | 2026-05-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9888947.SQ.NBM                        | 9888947.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2446 | PA      | $2223.66      | 0.00%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9888987.SQ.NBM                        | 9888987.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7825 | PA      | $7372.69      | 0.01%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341002215.UL.NBM                      | 341002215.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       106 | PA      | $105.59       | 0.00%             | 2026-02-18      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341004128.UL.NBM                      | 341004128.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       689 | PA      | $680.43       | 0.00%             | 2026-07-18      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343185060.UL.NBM                      | 343185060.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       224 | PA      | $225.90       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343185078.UL.NBM                      | 343185078.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       324 | PA      | $320.96       | 0.00%             | 2026-05-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 9817217.SQ.NBM                        | 9817217.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6546 | PA      | $6098.33      | 0.01%             | 2027-03-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9817352.SQ.NBM                        | 9817352.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13649 | PA      | $7929.45      | 0.01%             | 2027-03-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343343776.UL.NBM                      | 343343776.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1145 | PA      | $1058.12      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343343927.UL.NBM                      | 343343927.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3102 | PA      | $3069.82      | 0.00%             | 2026-08-26      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 9889211.SQ.NBM                        | 9889211.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     55923 | PA      | $53110.72     | 0.07%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9889976.SQ.NBM                        | 9889976.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7709 | PA      | $7314.35      | 0.01%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343193369.UL.NBM                      | 343193369.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        48 | PA      | $47.81        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343193515.UL.NBM                      | 343193515.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       163 | PA      | $161.37       | 0.00%             | 2026-05-26      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341395401.UL.NBM                      | 341395401.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        41 | PA      | $40.49        | 0.00%             | 2026-02-20      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341395409.UL.NBM                      | 341395409.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       241 | PA      | $238.38       | 0.00%             | 2026-05-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9817623.SQ.NBM                        | 9817623.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18220 | PA      | $4560.69      | 0.01%             | 2027-03-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9848188.SQ.NBM                        | 9848188.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1426 | PA      | $1396.08      | 0.00%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341439369.UL.NBM                      | 341439369.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       395 | PA      | $390.69       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341439637.UL.NBM                      | 341439637.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       258 | PA      | $256.17       | 0.00%             | 2026-02-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343193592.UL.NBM                      | 343193592.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       133 | PA      | $127.96       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343193726.UL.NBM                      | 343193726.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       967 | PA      | $896.44       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9890084.SQ.NBM                        | 9890084.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3759 | PA      | $3490.33      | 0.00%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9890105.SQ.NBM                        | 9890105.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1814 | PA      | $1725.99      | 0.00%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341330257.UL.NBM                      | 341330257.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1970 | PA      | $1838.66      | 0.00%             | 2026-07-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341330458.UL.NBM                      | 341330458.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1592 | PA      | $1567.46      | 0.00%             | 2027-02-19      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341380688.UL.NBM                      | 341380688.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       241 | PA      | $234.29       | 0.00%             | 2026-07-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341380895.UL.NBM                      | 341380895.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1321 | PA      | $1235.28      | 0.00%             | 2026-07-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9848253.SQ.NBM                        | 9848253.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15324 | PA      | $14809.35     | 0.02%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9848632.SQ.NBM                        | 9848632.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5104 | PA      | $4840.17      | 0.01%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343193771.UL.NBM                      | 343193771.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       139 | PA      | $138.82       | 0.00%             | 2026-02-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343193816.UL.NBM                      | 343193816.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       185 | PA      | $184.45       | 0.00%             | 2026-02-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 9890118.SQ.NBM                        | 9890118.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12612 | PA      | $11937.15     | 0.02%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9890243.SQ.NBM                        | 9890243.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1852 | PA      | $1756.68      | 0.00%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5867608.UP.NBM                     | DRB5867608.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7656 | PA      | $7925.42      | 0.01%             | 2030-08-25      | Fixed         | 31.43%                | Yes           |                  3 | On Loan: No      |
| DRB5867674.UP.NBM                     | DRB5867674.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3284 | PA      | $3323.03      | 0.00%             | 2030-08-25      | Fixed         | 29.91%                | Yes           |                  3 | On Loan: No      |
| 341395476.UL.NBM                      | 341395476.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       576 | PA      | $572.92       | 0.00%             | 2026-02-20      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341449665.UL.NBM                      | 341449665.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1053 | PA      | $1047.41      | 0.00%             | 2026-07-20      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341334708.UL.NBM                      | 341334708.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        46 | PA      | $45.64        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341334733.UL.NBM                      | 341334733.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       240 | PA      | $237.37       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9890248.SQ.NBM                        | 9890248.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     36141 | PA      | $34077.11     | 0.05%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9893468.SQ.NBM                        | 9893468.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2229 | PA      | $2155.14      | 0.00%             | 2027-04-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9848831.SQ.NBM                        | 9848831.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1271 | PA      | $1191.38      | 0.00%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9848870.SQ.NBM                        | 9848870.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3089 | PA      | $2958.40      | 0.00%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343344652.UL.NBM                      | 343344652.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1058 | PA      | $981.28       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343344798.UL.NBM                      | 343344798.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       816 | PA      | $812.53       | 0.00%             | 2026-02-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343193842.UL.NBM                      | 343193842.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       311 | PA      | $308.44       | 0.00%             | 2026-05-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343193893.UL.NBM                      | 343193893.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       194 | PA      | $192.74       | 0.00%             | 2026-05-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| DRB5872682.UP.NBM                     | DRB5872682.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1645 | PA      | $1704.45      | 0.00%             | 2030-08-26      | Fixed         | 31.46%                | Yes           |                  3 | On Loan: No      |
| DRB5872690.UP.NBM                     | DRB5872690.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8837 | PA      | $9188.34      | 0.01%             | 2030-08-26      | Fixed         | 31.56%                | Yes           |                  3 | On Loan: No      |
| 341336141.UL.NBM                      | 341336141.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       305 | PA      | $302.82       | 0.00%             | 2026-02-19      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 341336934.UL.NBM                      | 341336934.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       229 | PA      | $226.88       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9848937.SQ.NBM                        | 9848937.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2869 | PA      | $2759.78      | 0.00%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9848987.SQ.NBM                        | 9848987.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7184 | PA      | $6822.74      | 0.01%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343195067.UL.NBM                      | 343195067.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        44 | PA      | $43.99        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343195296.UL.NBM                      | 343195296.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       398 | PA      | $397.84       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341449705.UL.NBM                      | 341449705.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       207 | PA      | $205.68       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341449785.UL.NBM                      | 341449785.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        76 | PA      | $75.18        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5872695.UP.NBM                     | DRB5872695.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2223 | PA      | $2139.85      | 0.00%             | 2030-08-26      | Fixed         | 26.48%                | Yes           |                  3 | On Loan: No      |
| DRB5872704.UP.NBM                     | DRB5872704.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1762 | PA      | $1738.51      | 0.00%             | 2028-08-26      | Fixed         | 29.68%                | Yes           |                  3 | On Loan: No      |
| 343195309.UL.NBM                      | 343195309.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        55 | PA      | $54.33        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343195408.UL.NBM                      | 343195408.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       151 | PA      | $145.63       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9893523.SQ.NBM                        | 9893523.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6453 | PA      | $5964.57      | 0.01%             | 2027-04-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9893582.SQ.NBM                        | 9893582.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4700 | PA      | $4418.21      | 0.01%             | 2027-04-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341337404.UL.NBM                      | 341337404.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       206 | PA      | $204.94       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341338158.UL.NBM                      | 341338158.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1139 | PA      | $1127.53      | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9849171.SQ.NBM                        | 9849171.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4028 | PA      | $3702.84      | 0.01%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9849258.SQ.NBM                        | 9849258.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     20364 | PA      | $15132.97     | 0.02%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343272740.UL.NBM                      | 343272740.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       974 | PA      | $902.41       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343272741.UL.NBM                      | 343272741.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       180 | PA      | $177.91       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343345183.UL.NBM                      | 343345183.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       393 | PA      | $389.68       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343347330.UL.NBM                      | 343347330.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       288 | PA      | $287.23       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5872720.UP.NBM                     | DRB5872720.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6525 | PA      | $6161.04      | 0.01%             | 2028-08-26      | Fixed         | 12.24%                | Yes           |                  3 | On Loan: No      |
| DRB5872723.UP.NBM                     | DRB5872723.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15446 | PA      | $14593.51     | 0.02%             | 2030-08-26      | Fixed         | 25.28%                | Yes           |                  3 | On Loan: No      |
| 9893626.SQ.NBM                        | 9893626.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21253 | PA      | $20145.12     | 0.03%             | 2027-04-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5866604.UP.NBM                     | DRB5866604.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2733 | PA      | $2735.67      | 0.00%             | 2030-08-25      | Fixed         | 29.31%                | Yes           |                  3 | On Loan: No      |
| 9849559.SQ.NBM                        | 9849559.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19404 | PA      | $4602.47      | 0.01%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9849739.SQ.NBM                        | 9849739.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21592 | PA      | $20306.86     | 0.03%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343273486.UL.NBM                      | 343273486.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       486 | PA      | $484.00       | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343273581.UL.NBM                      | 343273581.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       833 | PA      | $820.48       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341338173.UL.NBM                      | 341338173.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       275 | PA      | $271.65       | 0.00%             | 2026-05-19      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341338713.UL.NBM                      | 341338713.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        95 | PA      | $94.71        | 0.00%             | 2026-02-19      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343347335.UL.NBM                      | 343347335.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       307 | PA      | $303.51       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343348393.UL.NBM                      | 343348393.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       882 | PA      | $875.22       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5872724.UP.NBM                     | DRB5872724.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4347 | PA      | $4554.84      | 0.01%             | 2030-08-26      | Fixed         | 25.89%                | Yes           |                  3 | On Loan: No      |
| DRB5872726.UP.NBM                     | DRB5872726.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14627 | PA      | $14582.96     | 0.02%             | 2030-08-26      | Fixed         | 28.77%                | Yes           |                  3 | On Loan: No      |
| 341463300.UL.NBM                      | 341463300.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       139 | PA      | $138.17       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341463347.UL.NBM                      | 341463347.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        85 | PA      | $6.75         | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343296803.UL.NBM                      | 343296803.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       257 | PA      | $243.50       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343297171.UL.NBM                      | 343297171.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1240 | PA      | $525.34       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341439733.UL.NBM                      | 341439733.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        46 | PA      | $45.91        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341439864.UL.NBM                      | 341439864.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        80 | PA      | $79.11        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341339093.UL.NBM                      | 341339093.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1595 | PA      | $1580.98      | 0.00%             | 2026-07-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341339134.UL.NBM                      | 341339134.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       104 | PA      | $103.45       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5858875.UP.NBM                      | FW5858875.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3592 | PA      | $3709.17      | 0.01%             | 2030-08-22      | Fixed         | 31.24%                | Yes           |                  3 | On Loan: No      |
| FW5858879.UP.NBM                      | FW5858879.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1158 | PA      | $1111.83      | 0.00%             | 2030-08-22      | Fixed         | 26.55%                | Yes           |                  3 | On Loan: No      |
| 343298728.UL.NBM                      | 343298728.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        83 | PA      | $82.54        | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343299319.UL.NBM                      | 343299319.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       459 | PA      | $455.38       | 0.00%             | 2026-05-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343348424.UL.NBM                      | 343348424.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        83 | PA      | $82.64        | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343348644.UL.NBM                      | 343348644.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       334 | PA      | $317.87       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9850491.SQ.NBM                        | 9850491.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2906 | PA      | $2717.74      | 0.00%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9850523.SQ.NBM                        | 9850523.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11335 | PA      | $10530.00     | 0.01%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341339853.UL.NBM                      | 341339853.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       280 | PA      | $278.22       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341339869.UL.NBM                      | 341339869.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       408 | PA      | $403.62       | 0.00%             | 2026-05-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343339463.UL.NBM                      | 343339463.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1002 | PA      | $928.70       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343339576.UL.NBM                      | 343339576.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       293 | PA      | $289.94       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5858887.UP.NBM                      | FW5858887.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       968 | PA      | $949.61       | 0.00%             | 2030-08-22      | Fixed         | 27.85%                | Yes           |                  3 | On Loan: No      |
| FW5858890.UP.NBM                      | FW5858890.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1054 | PA      | $1061.13      | 0.00%             | 2030-08-22      | Fixed         | 18.72%                | Yes           |                  3 | On Loan: No      |
| 343348951.UL.NBM                      | 343348951.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       170 | PA      | $169.37       | 0.00%             | 2026-07-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343349147.UL.NBM                      | 343349147.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       215 | PA      | $213.64       | 0.00%             | 2026-02-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341463365.UL.NBM                      | 341463365.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       321 | PA      | $306.15       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341463474.UL.NBM                      | 341463474.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       259 | PA      | $256.26       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9850661.SQ.NBM                        | 9850661.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     31142 | PA      | $29123.07     | 0.04%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9851119.SQ.NBM                        | 9851119.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5432 | PA      | $5185.57      | 0.01%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341004827.UL.NBM                      | 341004827.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1142 | PA      | $1128.18      | 0.00%             | 2026-07-18      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 341014111.UL.NBM                      | 341014111.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1097 | PA      | $511.74       | 0.00%             | 2026-07-18      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343339824.UL.NBM                      | 343339824.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        91 | PA      | $90.94        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343340362.UL.NBM                      | 343340362.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       287 | PA      | $284.43       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343349256.UL.NBM                      | 343349256.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       162 | PA      | $160.93       | 0.00%             | 2026-02-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343349923.UL.NBM                      | 343349923.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       216 | PA      | $214.35       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341411352.UL.NBM                      | 341411352.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       111 | PA      | $110.39       | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341411575.UL.NBM                      | 341411575.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        99 | PA      | $99.04        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5858892.UP.NBM                      | FW5858892.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1938 | PA      | $1943.26      | 0.00%             | 2030-08-22      | Fixed         | 29.27%                | Yes           |                  3 | On Loan: No      |
| FW5858897.UP.NBM                      | FW5858897.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2014 | PA      | $1900.87      | 0.00%             | 2028-08-22      | Fixed         | 15.46%                | Yes           |                  3 | On Loan: No      |
| 9851204.SQ.NBM                        | 9851204.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3380 | PA      | $3251.10      | 0.00%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9851251.SQ.NBM                        | 9851251.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1574 | PA      | $1493.71      | 0.00%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341339881.UL.NBM                      | 341339881.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       108 | PA      | $107.42       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341340357.UL.NBM                      | 341340357.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       313 | PA      | $309.64       | 0.00%             | 2026-05-19      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| DRB5866614.UP.NBM                     | DRB5866614.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1650 | PA      | $1698.03      | 0.00%             | 2030-08-25      | Fixed         | 30.91%                | Yes           |                  3 | On Loan: No      |
| DRB5866641.UP.NBM                     | DRB5866641.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     38960 | PA      | $38725.07     | 0.05%             | 2030-08-25      | Fixed         | 28.79%                | Yes           |                  3 | On Loan: No      |
| 343351446.UL.NBM                      | 343351446.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       333 | PA      | $316.91       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343352244.UL.NBM                      | 343352244.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1108 | PA      | $1099.02      | 0.00%             | 2027-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5858907.UP.NBM                      | FW5858907.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       908 | PA      | $832.60       | 0.00%             | 2028-08-22      | Fixed         | 17.58%                | Yes           |                  3 | On Loan: No      |
| FW5858926.UP.NBM                      | FW5858926.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2933 | PA      | $2553.06      | 0.00%             | 2030-08-22      | Fixed         | 32.09%                | Yes           |                  3 | On Loan: No      |
| 342746924.UL.NBM                      | 342746924.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       372 | PA      | $43.57        | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342747010.UL.NBM                      | 342747010.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       219 | PA      | $206.94       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9851269.SQ.NBM                        | 9851269.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       732 | PA      | $697.17       | 0.00%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9851287.SQ.NBM                        | 9851287.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     28842 | PA      | $28030.44     | 0.04%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341340800.UL.NBM                      | 341340800.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       373 | PA      | $370.63       | 0.00%             | 2026-02-19      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341341086.UL.NBM                      | 341341086.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       277 | PA      | $273.92       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5858934.UP.NBM                      | FW5858934.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1688 | PA      | $119.10       | 0.00%             | 2030-08-22      | Fixed         | 28.52%                | Yes           |                  3 | On Loan: No      |
| FW5859028.UP.NBM                      | FW5859028.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19268 | PA      | $20060.45     | 0.03%             | 2030-08-22      | Fixed         | 28.29%                | Yes           |                  3 | On Loan: No      |
| 343352352.UL.NBM                      | 343352352.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       117 | PA      | $117.66       | 0.00%             | 2026-02-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343353645.UL.NBM                      | 343353645.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       192 | PA      | $191.46       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9851852.SQ.NBM                        | 9851852.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1703 | PA      | $1646.50      | 0.00%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9851898.SQ.NBM                        | 9851898.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7837 | PA      | $7470.35      | 0.01%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5866695.UP.NBM                     | DRB5866695.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2719 | PA      | $2826.60      | 0.00%             | 2030-08-25      | Fixed         | 31.58%                | Yes           |                  3 | On Loan: No      |
| DRB5866720.UP.NBM                     | DRB5866720.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17159 | PA      | $16059.53     | 0.02%             | 2030-08-25      | Fixed         | 14.29%                | Yes           |                  3 | On Loan: No      |
| FW5859052.UP.NBM                      | FW5859052.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3092 | PA      | $2951.82      | 0.00%             | 2030-08-22      | Fixed         | 26.07%                | Yes           |                  3 | On Loan: No      |
| FW5859058.UP.NBM                      | FW5859058.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2234 | PA      | $2326.49      | 0.00%             | 2030-08-22      | Fixed         | 31.81%                | Yes           |                  3 | On Loan: No      |
| 341964445.UL.NBM                      | 341964445.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       189 | PA      | $188.77       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341964458.UL.NBM                      | 341964458.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3274 | PA      | $3239.97      | 0.00%             | 2026-07-22      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 343354518.UL.NBM                      | 343354518.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       114 | PA      | $114.26       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343354555.UL.NBM                      | 343354555.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       204 | PA      | $201.35       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342849485.UL.NBM                      | 342849485.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       287 | PA      | $286.09       | 0.00%             | 2027-08-24      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342850599.UL.NBM                      | 342850599.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       126 | PA      | $125.16       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5866278.UP.NBM                      | FW5866278.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7098 | PA      | $7010.01      | 0.01%             | 2028-08-25      | Fixed         | 30.14%                | Yes           |                  3 | On Loan: No      |
| FW5866749.UP.NBM                      | FW5866749.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6202 | PA      | $6215.64      | 0.01%             | 2030-08-25      | Fixed         | 29.15%                | Yes           |                  3 | On Loan: No      |
| 342850931.UL.NBM                      | 342850931.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       979 | PA      | $914.23       | 0.00%             | 2026-08-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342850953.UL.NBM                      | 342850953.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       245 | PA      | $242.28       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5859083.UP.NBM                      | FW5859083.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7798 | PA      | $7334.46      | 0.01%             | 2030-09-05      | Fixed         | 25.47%                | Yes           |                  3 | On Loan: No      |
| L5858720.UP.NBM                       | L5858720.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10378 | PA      | $10050.31     | 0.01%             | 2030-08-22      | Fixed         | 20.92%                | Yes           |                  3 | On Loan: No      |
| 343355777.UL.NBM                      | 343355777.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       354 | PA      | $36.69        | 0.00%             | 2026-05-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343356259.UL.NBM                      | 343356259.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       247 | PA      | $244.83       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9852217.SQ.NBM                        | 9852217.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7459 | PA      | $6629.25      | 0.01%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9852493.SQ.NBM                        | 9852493.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5304 | PA      | $4978.53      | 0.01%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341376085.UL.NBM                      | 341376085.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       507 | PA      | $501.98       | 0.00%             | 2026-05-19      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341383394.UL.NBM                      | 341383394.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        29 | PA      | $28.64        | 0.00%             | 2026-02-20      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| DRB5866729.UP.NBM                     | DRB5866729.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1569 | PA      | $1486.62      | 0.00%             | 2028-08-25      | Fixed         | 25.70%                | Yes           |                  3 | On Loan: No      |
| DRB5866737.UP.NBM                     | DRB5866737.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1712 | PA      | $1734.30      | 0.00%             | 2030-08-25      | Fixed         | 30.05%                | Yes           |                  3 | On Loan: No      |
| L5858722.UP.NBM                       | L5858722.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5014 | PA      | $4885.46      | 0.01%             | 2030-08-22      | Fixed         | 24.03%                | Yes           |                  3 | On Loan: No      |
| L5858735.UP.NBM                       | L5858735.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     47928 | PA      | $49099.36     | 0.07%             | 2030-08-22      | Fixed         | 19.90%                | Yes           |                  3 | On Loan: No      |
| 341442774.UL.NBM                      | 341442774.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       239 | PA      | $238.20       | 0.00%             | 2026-05-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341442990.UL.NBM                      | 341442990.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        63 | PA      | $62.78        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341381214.UL.NBM                      | 341381214.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       540 | PA      | $536.56       | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341381413.UL.NBM                      | 341381413.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       391 | PA      | $388.13       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9852666.SQ.NBM                        | 9852666.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     20820 | PA      | $15808.02     | 0.02%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9853056.SQ.NBM                        | 9853056.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7678 | PA      | $6349.65      | 0.01%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5858750.UP.NBM                       | L5858750.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     35117 | PA      | $34297.45     | 0.05%             | 2030-08-22      | Fixed         | 24.34%                | Yes           |                  3 | On Loan: No      |
| L5858752.UP.NBM                       | L5858752.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4768 | PA      | $4667.39      | 0.01%             | 2030-08-22      | Fixed         | 17.09%                | Yes           |                  3 | On Loan: No      |
| 341383776.UL.NBM                      | 341383776.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1068 | PA      | $985.98       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341383868.UL.NBM                      | 341383868.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       228 | PA      | $225.29       | 0.00%             | 2026-05-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| DRB5866747.UP.NBM                     | DRB5866747.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5148 | PA      | $5361.07      | 0.01%             | 2030-08-25      | Fixed         | 31.71%                | Yes           |                  3 | On Loan: No      |
| DRB5866757.UP.NBM                     | DRB5866757.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19428 | PA      | $1443.89      | 0.00%             | 2030-08-25      | Fixed         | 29.65%                | Yes           |                  3 | On Loan: No      |
| 341964596.UL.NBM                      | 341964596.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1733 | PA      | $1705.93      | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341964653.UL.NBM                      | 341964653.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       289 | PA      | $274.96       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343356463.UL.NBM                      | 343356463.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       204 | PA      | $203.09       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343357207.UL.NBM                      | 343357207.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       593 | PA      | $587.51       | 0.00%             | 2026-05-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| L5858770.UP.NBM                       | L5858770.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16184 | PA      | $15929.20     | 0.02%             | 2030-08-22      | Fixed         | 17.43%                | Yes           |                  3 | On Loan: No      |
| L5858772.UP.NBM                       | L5858772.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2401 | PA      | $2315.87      | 0.00%             | 2030-08-22      | Fixed         | 20.80%                | Yes           |                  3 | On Loan: No      |
| 9853221.SQ.NBM                        | 9853221.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11209 | PA      | $7701.48      | 0.01%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9853309.SQ.NBM                        | 9853309.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     20682 | PA      | $19657.19     | 0.03%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341383982.UL.NBM                      | 341383982.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4868 | PA      | $4523.42      | 0.01%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341397013.UL.NBM                      | 341397013.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       344 | PA      | $340.87       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5866759.UP.NBM                     | DRB5866759.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     47594 | PA      | $49613.75     | 0.07%             | 2030-08-25      | Fixed         | 31.77%                | Yes           |                  3 | On Loan: No      |
| DRB5866767.UP.NBM                     | DRB5866767.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1331 | PA      | $1313.41      | 0.00%             | 2030-08-25      | Fixed         | 28.30%                | Yes           |                  3 | On Loan: No      |
| 342747024.UL.NBM                      | 342747024.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        47 | PA      | $46.43        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342747437.UL.NBM                      | 342747437.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       465 | PA      | $460.70       | 0.00%             | 2026-05-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343359819.UL.NBM                      | 343359819.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       608 | PA      | $604.89       | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343360106.UL.NBM                      | 343360106.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        73 | PA      | $21.90        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341381565.UL.NBM                      | 341381565.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       501 | PA      | $495.56       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341381878.UL.NBM                      | 341381878.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       293 | PA      | $291.02       | 0.00%             | 2026-02-19      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| L5858780.UP.NBM                       | L5858780.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3377 | PA      | $3165.18      | 0.00%             | 2030-08-22      | Fixed         | 24.87%                | Yes           |                  3 | On Loan: No      |
| L5858799.UP.NBM                       | L5858799.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7062 | PA      | $6708.55      | 0.01%             | 2030-08-22      | Fixed         | 15.20%                | Yes           |                  3 | On Loan: No      |
| DRB5866770.UP.NBM                     | DRB5866770.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8957 | PA      | $8936.97      | 0.01%             | 2030-08-25      | Fixed         | 28.99%                | Yes           |                  3 | On Loan: No      |
| L5859684.UP.NBM                       | L5859684.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4282 | PA      | $4184.22      | 0.01%             | 2030-08-22      | Fixed         | 21.61%                | Yes           |                  3 | On Loan: No      |
| 341397186.UL.NBM                      | 341397186.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       118 | PA      | $117.63       | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341397373.UL.NBM                      | 341397373.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       345 | PA      | $343.88       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342747680.UL.NBM                      | 342747680.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       108 | PA      | $107.44       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342747954.UL.NBM                      | 342747954.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       658 | PA      | $628.59       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343362867.UL.NBM                      | 343362867.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1098 | PA      | $1019.23      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343362900.UL.NBM                      | 343362900.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       791 | PA      | $787.02       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5865474.UP.NBM                       | L5865474.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3475 | PA      | $3229.09      | 0.00%             | 2028-08-25      | Fixed         | 18.63%                | Yes           |                  3 | On Loan: No      |
| L5865482.UP.NBM                       | L5865482.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1865 | PA      | $1858.08      | 0.00%             | 2030-08-25      | Fixed         | 22.85%                | Yes           |                  3 | On Loan: No      |
| 9853707.SQ.NBM                        | 9853707.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12256 | PA      | $11777.38     | 0.02%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9853874.SQ.NBM                        | 9853874.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6474 | PA      | $5516.48      | 0.01%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5859691.UP.NBM                       | L5859691.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     47978 | PA      | $49058.29     | 0.07%             | 2030-08-22      | Fixed         | 19.70%                | Yes           |                  3 | On Loan: No      |
| L5859708.UP.NBM                       | L5859708.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3733 | PA      | $3685.91      | 0.01%             | 2030-08-22      | Fixed         | 17.55%                | Yes           |                  3 | On Loan: No      |
| 341021016.UL.NBM                      | 341021016.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       105 | PA      | $104.20       | 0.00%             | 2026-02-18      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341076198.UL.NBM                      | 341076198.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       307 | PA      | $26.30        | 0.00%             | 2026-02-18      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343362984.UL.NBM                      | 343362984.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       840 | PA      | $788.09       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343363342.UL.NBM                      | 343363342.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       323 | PA      | $320.34       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5865498.UP.NBM                       | L5865498.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3541 | PA      | $3662.14      | 0.01%             | 2030-08-25      | Fixed         | 20.42%                | Yes           |                  3 | On Loan: No      |
| L5865515.UP.NBM                       | L5865515.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2238 | PA      | $2122.65      | 0.00%             | 2030-08-25      | Fixed         | 22.15%                | Yes           |                  3 | On Loan: No      |
| 342748144.UL.NBM                      | 342748144.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       245 | PA      | $242.51       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342824869.UL.NBM                      | 342824869.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       442 | PA      | $420.99       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341397651.UL.NBM                      | 341397651.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       796 | PA      | $790.05       | 0.00%             | 2026-07-20      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341397822.UL.NBM                      | 341397822.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        95 | PA      | $94.50        | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| L5859710.UP.NBM                       | L5859710.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10616 | PA      | $10229.31     | 0.01%             | 2030-08-22      | Fixed         | 23.49%                | Yes           |                  3 | On Loan: No      |
| L5859711.UP.NBM                       | L5859711.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6424 | PA      | $6501.39      | 0.01%             | 2030-08-22      | Fixed         | 19.06%                | Yes           |                  3 | On Loan: No      |
| 341964765.UL.NBM                      | 341964765.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       129 | PA      | $128.64       | 0.00%             | 2026-02-22      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341965062.UL.NBM                      | 341965062.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1254 | PA      | $1245.94      | 0.00%             | 2026-08-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343415113.UL.NBM                      | 343415113.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       677 | PA      | $622.57       | 0.00%             | 2026-05-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343415480.UL.NBM                      | 343415480.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2914 | PA      | $2882.40      | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341381936.UL.NBM                      | 341381936.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       295 | PA      | $291.73       | 0.00%             | 2026-05-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341382168.UL.NBM                      | 341382168.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        92 | PA      | $91.19        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341397827.UL.NBM                      | 341397827.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       185 | PA      | $183.94       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341397946.UL.NBM                      | 341397946.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       233 | PA      | $230.32       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342825035.UL.NBM                      | 342825035.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       108 | PA      | $107.45       | 0.00%             | 2026-02-24      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342825689.UL.NBM                      | 342825689.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       553 | PA      | $547.98       | 0.00%             | 2026-05-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| L5859740.UP.NBM                       | L5859740.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2158 | PA      | $2015.24      | 0.00%             | 2030-08-22      | Fixed         | 14.21%                | Yes           |                  3 | On Loan: No      |
| L5859774.UP.NBM                       | L5859774.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2882 | PA      | $2989.44      | 0.00%             | 2030-08-22      | Fixed         | 20.60%                | Yes           |                  3 | On Loan: No      |
| 343415798.UL.NBM                      | 343415798.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1260 | PA      | $1246.65      | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343416185.UL.NBM                      | 343416185.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       145 | PA      | $144.14       | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342826529.UL.NBM                      | 342826529.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       133 | PA      | $132.32       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342826866.UL.NBM                      | 342826866.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       237 | PA      | $237.74       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341397994.UL.NBM                      | 341397994.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1319 | PA      | $1305.14      | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341398031.UL.NBM                      | 341398031.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       198 | PA      | $11.12        | 0.00%             | 2035-11-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341443386.UL.NBM                      | 341443386.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |         6 | PA      | $6.22         | 0.00%             | 2035-11-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341443416.UL.NBM                      | 341443416.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       472 | PA      | $467.37       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341965229.UL.NBM                      | 341965229.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       228 | PA      | $225.89       | 0.00%             | 2026-05-22      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341965368.UL.NBM                      | 341965368.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       289 | PA      | $287.61       | 0.00%             | 2026-05-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341382260.UL.NBM                      | 341382260.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1122 | PA      | $1109.72      | 0.00%             | 2026-07-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341382385.UL.NBM                      | 341382385.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       218 | PA      | $215.52       | 0.00%             | 2026-05-20      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341412325.UL.NBM                      | 341412325.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       369 | PA      | $364.91       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341413170.UL.NBM                      | 341413170.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       116 | PA      | $111.91       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341076976.UL.NBM                      | 341076976.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1193 | PA      | $1179.45      | 0.00%             | 2026-07-18      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341078354.UL.NBM                      | 341078354.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        54 | PA      | $53.82        | 0.00%             | 2026-02-18      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343416276.UL.NBM                      | 343416276.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       599 | PA      | $562.52       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343416708.UL.NBM                      | 343416708.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       128 | PA      | $126.84       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341398093.UL.NBM                      | 341398093.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       262 | PA      | $259.15       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341398380.UL.NBM                      | 341398380.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       208 | PA      | $205.82       | 0.00%             | 2026-05-20      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342827359.UL.NBM                      | 342827359.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1295 | PA      | $1301.00      | 0.00%             | 2026-07-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342827581.UL.NBM                      | 342827581.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       133 | PA      | $127.82       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342851191.UL.NBM                      | 342851191.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2559 | PA      | $2400.47      | 0.00%             | 2026-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342852344.UL.NBM                      | 342852344.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       218 | PA      | $216.17       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341965978.UL.NBM                      | 341965978.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       234 | PA      | $233.20       | 0.00%             | 2026-02-22      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341966048.UL.NBM                      | 341966048.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       334 | PA      | $331.99       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343416937.UL.NBM                      | 343416937.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       251 | PA      | $248.51       | 0.00%             | 2026-07-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343417370.UL.NBM                      | 343417370.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |         8 | PA      | $8.48         | 0.00%             | 2035-11-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341398611.UL.NBM                      | 341398611.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1000 | PA      | $931.71       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341398687.UL.NBM                      | 341398687.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1282 | PA      | $1267.13      | 0.00%             | 2026-08-20      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341440006.UL.NBM                      | 341440006.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        79 | PA      | $78.56        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341440138.UL.NBM                      | 341440138.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1702 | PA      | $1586.98      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342827814.UL.NBM                      | 342827814.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1087 | PA      | $1074.87      | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342827835.UL.NBM                      | 342827835.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       377 | PA      | $374.51       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341966086.UL.NBM                      | 341966086.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       728 | PA      | $718.07       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341966165.UL.NBM                      | 341966165.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        32 | PA      | $31.82        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341382483.UL.NBM                      | 341382483.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9161 | PA      | $9050.53      | 0.01%             | 2026-08-19      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341382619.UL.NBM                      | 341382619.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       350 | PA      | $347.31       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342852351.UL.NBM                      | 342852351.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1220 | PA      | $1205.63      | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342852823.UL.NBM                      | 342852823.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       264 | PA      | $262.41       | 0.00%             | 2026-02-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341398713.UL.NBM                      | 341398713.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       248 | PA      | $245.52       | 0.00%             | 2026-05-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341398790.UL.NBM                      | 341398790.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1004 | PA      | $956.59       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5857704.UP.NBM                      | FW5857704.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2219 | PA      | $2067.90      | 0.00%             | 2030-08-22      | Fixed         | 24.52%                | Yes           |                  3 | On Loan: No      |
| FW5857730.UP.NBM                      | FW5857730.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8591 | PA      | $8112.52      | 0.01%             | 2030-08-22      | Fixed         | 22.23%                | Yes           |                  3 | On Loan: No      |
| 341083019.UL.NBM                      | 341083019.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       232 | PA      | $229.88       | 0.00%             | 2026-05-18      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341089027.UL.NBM                      | 341089027.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       177 | PA      | $174.82       | 0.00%             | 2026-05-18      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343417789.UL.NBM                      | 343417789.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        89 | PA      | $86.41        | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343418127.UL.NBM                      | 343418127.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       673 | PA      | $654.70       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341382623.UL.NBM                      | 341382623.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       119 | PA      | $118.06       | 0.00%             | 2026-02-19      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341384030.UL.NBM                      | 341384030.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       183 | PA      | $181.80       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341980789.UL.NBM                      | 341980789.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        98 | PA      | $13.58        | 0.00%             | 2026-05-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341980854.UL.NBM                      | 341980854.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       425 | PA      | $421.24       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341398995.UL.NBM                      | 341398995.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       572 | PA      | $567.64       | 0.00%             | 2027-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341399477.UL.NBM                      | 341399477.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       370 | PA      | $365.61       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342828270.UL.NBM                      | 342828270.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1647 | PA      | $1561.85      | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342828875.UL.NBM                      | 342828875.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       212 | PA      | $209.67       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341413311.UL.NBM                      | 341413311.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2612 | PA      | $2574.09      | 0.00%             | 2027-02-20      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341413408.UL.NBM                      | 341413408.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       107 | PA      | $106.74       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343418235.UL.NBM                      | 343418235.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       319 | PA      | $302.81       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343418671.UL.NBM                      | 343418671.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        49 | PA      | $49.21        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341091788.UL.NBM                      | 341091788.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       320 | PA      | $317.93       | 0.00%             | 2026-02-18      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341093340.UL.NBM                      | 341093340.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        30 | PA      | $29.87        | 0.00%             | 2026-02-18      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341399532.UL.NBM                      | 341399532.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        80 | PA      | $79.64        | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341399679.UL.NBM                      | 341399679.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       448 | PA      | $443.59       | 0.00%             | 2026-05-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| FW5857916.UP.NBM                      | FW5857916.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1431 | PA      | $1427.61      | 0.00%             | 2030-08-22      | Fixed         | 18.24%                | Yes           |                  3 | On Loan: No      |
| FW5857962.UP.NBM                      | FW5857962.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4068 | PA      | $4039.10      | 0.01%             | 2030-08-22      | Fixed         | 28.63%                | Yes           |                  3 | On Loan: No      |
| 343418800.UL.NBM                      | 343418800.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       723 | PA      | $671.94       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343419194.UL.NBM                      | 343419194.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       625 | PA      | $618.68       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342828940.UL.NBM                      | 342828940.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1346 | PA      | $1245.59      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342829542.UL.NBM                      | 342829542.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1409 | PA      | $1311.22      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341981521.UL.NBM                      | 341981521.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1236 | PA      | $1225.51      | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341981617.UL.NBM                      | 341981617.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       202 | PA      | $199.91       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341399694.UL.NBM                      | 341399694.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $66.92        | 0.00%             | 2026-02-20      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341399756.UL.NBM                      | 341399756.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        58 | PA      | $57.97        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341384043.UL.NBM                      | 341384043.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       202 | PA      | $199.43       | 0.00%             | 2026-03-04      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341384064.UL.NBM                      | 341384064.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.09        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343419300.UL.NBM                      | 343419300.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       953 | PA      | $883.29       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343421502.UL.NBM                      | 343421502.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        95 | PA      | $94.72        | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341413488.UL.NBM                      | 341413488.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       201 | PA      | $199.38       | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341413610.UL.NBM                      | 341413610.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        69 | PA      | $68.41        | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| FW5866854.UP.NBM                      | FW5866854.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2713 | PA      | $2721.96      | 0.00%             | 2030-08-25      | Fixed         | 29.21%                | Yes           |                  3 | On Loan: No      |
| FW5866859.UP.NBM                      | FW5866859.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1161 | PA      | $1137.91      | 0.00%             | 2030-08-25      | Fixed         | 27.67%                | Yes           |                  3 | On Loan: No      |
| 10173730.SQ.NBM                       | 10173730.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2451 | PA      | $2135.62      | 0.00%             | 2027-06-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10173837.SQ.NBM                       | 10173837.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5786 | PA      | $5427.04      | 0.01%             | 2027-06-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342830166.UL.NBM                      | 342830166.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       220 | PA      | $217.79       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342830194.UL.NBM                      | 342830194.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6666 | PA      | $6567.31      | 0.01%             | 2027-02-24      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341399799.UL.NBM                      | 341399799.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       176 | PA      | $173.92       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341399972.UL.NBM                      | 341399972.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       535 | PA      | $529.25       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5858068.UP.NBM                      | FW5858068.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9607 | PA      | $8877.96      | 0.01%             | 2030-08-22      | Fixed         | 20.71%                | Yes           |                  3 | On Loan: No      |
| FW5858119.UP.NBM                      | FW5858119.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1650 | PA      | $1704.54      | 0.00%             | 2030-08-22      | Fixed         | 31.25%                | Yes           |                  3 | On Loan: No      |
| 343421874.UL.NBM                      | 343421874.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1991 | PA      | $1967.55      | 0.00%             | 2027-02-26      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 343422151.UL.NBM                      | 343422151.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       409 | PA      | $402.33       | 0.00%             | 2026-06-10      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341384618.UL.NBM                      | 341384618.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       593 | PA      | $549.92       | 0.00%             | 2026-05-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342290833.UL.NBM                      | 342290833.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       146 | PA      | $145.90       | 0.00%             | 2026-02-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341099046.UL.NBM                      | 341099046.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1584 | PA      | $1564.76      | 0.00%             | 2026-07-18      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341108389.UL.NBM                      | 341108389.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       218 | PA      | $216.18       | 0.00%             | 2026-05-18      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341415102.UL.NBM                      | 341415102.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        94 | PA      | $93.78        | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341415197.UL.NBM                      | 341415197.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       131 | PA      | $130.25       | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341399989.UL.NBM                      | 341399989.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       448 | PA      | $443.63       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341400016.UL.NBM                      | 341400016.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       264 | PA      | $39.40        | 0.00%             | 2035-11-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343422399.UL.NBM                      | 343422399.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       141 | PA      | $140.51       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343422501.UL.NBM                      | 343422501.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       756 | PA      | $694.40       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341981691.UL.NBM                      | 341981691.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       188 | PA      | $186.66       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341981820.UL.NBM                      | 341981820.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       299 | PA      | $295.77       | 0.00%             | 2026-05-22      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| FW5858124.UP.NBM                      | FW5858124.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2958 | PA      | $663.38       | 0.00%             | 2030-08-22      | Fixed         | 31.43%                | Yes           |                  3 | On Loan: No      |
| FW5858178.UP.NBM                      | FW5858178.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2165 | PA      | $473.95       | 0.00%             | 2030-08-22      | Fixed         | 27.06%                | Yes           |                  3 | On Loan: No      |
| 342865867.UL.NBM                      | 342865867.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       316 | PA      | $315.13       | 0.00%             | 2026-02-24      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 342866068.UL.NBM                      | 342866068.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        21 | PA      | $20.77        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341110409.UL.NBM                      | 341110409.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       217 | PA      | $215.51       | 0.00%             | 2026-02-18      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341111920.UL.NBM                      | 341111920.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       509 | PA      | $476.29       | 0.00%             | 2026-05-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343423814.UL.NBM                      | 343423814.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       272 | PA      | $43.71        | 0.00%             | 2035-11-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343424045.UL.NBM                      | 343424045.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1179 | PA      | $1112.62      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341400154.UL.NBM                      | 341400154.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       214 | PA      | $211.97       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341400277.UL.NBM                      | 341400277.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       367 | PA      | $363.44       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341416625.UL.NBM                      | 341416625.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1060 | PA      | $1050.85      | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341417139.UL.NBM                      | 341417139.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       257 | PA      | $255.23       | 0.00%             | 2026-05-31      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341981872.UL.NBM                      | 341981872.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       203 | PA      | $201.35       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341981882.UL.NBM                      | 341981882.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       367 | PA      | $349.50       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5858209.UP.NBM                      | FW5858209.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1845 | PA      | $1916.22      | 0.00%             | 2030-08-22      | Fixed         | 31.62%                | Yes           |                  3 | On Loan: No      |
| FW5858216.UP.NBM                      | FW5858216.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1234 | PA      | $1267.49      | 0.00%             | 2030-08-22      | Fixed         | 31.11%                | Yes           |                  3 | On Loan: No      |
| 343424153.UL.NBM                      | 343424153.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2262 | PA      | $2232.10      | 0.00%             | 2027-02-28      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343424228.UL.NBM                      | 343424228.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       644 | PA      | $605.37       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341400318.UL.NBM                      | 341400318.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       394 | PA      | $379.38       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341400587.UL.NBM                      | 341400587.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       802 | PA      | $156.24       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341113555.UL.NBM                      | 341113555.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1376 | PA      | $1357.51      | 0.00%             | 2026-07-18      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341114169.UL.NBM                      | 341114169.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       173 | PA      | $170.74       | 0.00%             | 2026-05-18      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341417437.UL.NBM                      | 341417437.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       205 | PA      | $202.48       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341418350.UL.NBM                      | 341418350.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       317 | PA      | $17.76        | 0.00%             | 2035-11-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341981907.UL.NBM                      | 341981907.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        93 | PA      | $91.99        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341982052.UL.NBM                      | 341982052.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        89 | PA      | $88.76        | 0.00%             | 2026-02-22      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| FW5858225.UP.NBM                      | FW5858225.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1355 | PA      | $1331.64      | 0.00%             | 2030-08-22      | Fixed         | 27.95%                | Yes           |                  3 | On Loan: No      |
| FW5858236.UP.NBM                      | FW5858236.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5234 | PA      | $4212.93      | 0.01%             | 2030-08-22      | Fixed         | 27.15%                | Yes           |                  3 | On Loan: No      |
| 341400699.UL.NBM                      | 341400699.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       920 | PA      | $909.84       | 0.00%             | 2026-07-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341400712.UL.NBM                      | 341400712.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        84 | PA      | $16.84        | 0.00%             | 2035-11-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341114686.UL.NBM                      | 341114686.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1374 | PA      | $1364.52      | 0.00%             | 2026-07-18      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341151869.UL.NBM                      | 341151869.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       232 | PA      | $229.14       | 0.00%             | 2026-05-18      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342866309.UL.NBM                      | 342866309.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       426 | PA      | $422.43       | 0.00%             | 2026-05-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342866582.UL.NBM                      | 342866582.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        72 | PA      | $71.18        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341555636.UL.NBM                      | 341555636.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        89 | PA      | $88.00        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341555693.UL.NBM                      | 341555693.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       235 | PA      | $233.03       | 0.00%             | 2026-02-20      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341982373.UL.NBM                      | 341982373.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       303 | PA      | $300.14       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341982531.UL.NBM                      | 341982531.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       167 | PA      | $165.80       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343424349.UL.NBM                      | 343424349.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4264 | PA      | $4205.47      | 0.01%             | 2026-12-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343424411.UL.NBM                      | 343424411.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       135 | PA      | $133.89       | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341401100.UL.NBM                      | 341401100.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       144 | PA      | $143.13       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343052706.UL.NBM                      | 343052706.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        47 | PA      | $46.39        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341152795.UL.NBM                      | 341152795.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1642 | PA      | $1560.41      | 0.00%             | 2026-02-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341155361.UL.NBM                      | 341155361.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       170 | PA      | $168.64       | 0.00%             | 2026-02-18      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341440531.UL.NBM                      | 341440531.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       180 | PA      | $179.13       | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341440566.UL.NBM                      | 341440566.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       431 | PA      | $158.97       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341556081.UL.NBM                      | 341556081.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        88 | PA      | $86.98        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341556171.UL.NBM                      | 341556171.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       146 | PA      | $144.19       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343424417.UL.NBM                      | 343424417.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       258 | PA      | $255.42       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343424566.UL.NBM                      | 343424566.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       250 | PA      | $15.03        | 0.00%             | 2035-11-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343052788.UL.NBM                      | 343052788.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       166 | PA      | $62.91        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343053588.UL.NBM                      | 343053588.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       397 | PA      | $393.04       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5858238.UP.NBM                      | FW5858238.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7760 | PA      | $6246.62      | 0.01%             | 2030-08-22      | Fixed         | 18.93%                | Yes           |                  3 | On Loan: No      |
| FW5858262.UP.NBM                      | FW5858262.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1259 | PA      | $1254.22      | 0.00%             | 2030-08-22      | Fixed         | 28.83%                | Yes           |                  3 | On Loan: No      |
| 341158273.UL.NBM                      | 341158273.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        63 | PA      | $62.44        | 0.00%             | 2026-02-18      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341523395.UL.NBM                      | 341523395.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       377 | PA      | $372.82       | 0.00%             | 2026-05-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341982863.UL.NBM                      | 341982863.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1887 | PA      | $1871.32      | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341982930.UL.NBM                      | 341982930.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        94 | PA      | $93.90        | 0.00%             | 2026-02-22      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 343426563.UL.NBM                      | 343426563.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       475 | PA      | $471.31       | 0.00%             | 2026-05-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343427457.UL.NBM                      | 343427457.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       330 | PA      | $326.61       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343053788.UL.NBM                      | 343053788.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       232 | PA      | $233.81       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343179355.UL.NBM                      | 343179355.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       226 | PA      | $225.05       | 0.00%             | 2026-05-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341968119.UL.NBM                      | 341968119.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2049 | PA      | $1917.39      | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341968141.UL.NBM                      | 341968141.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       405 | PA      | $401.28       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5858266.UP.NBM                      | FW5858266.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2325 | PA      | $2311.81      | 0.00%             | 2030-08-22      | Fixed         | 28.73%                | Yes           |                  3 | On Loan: No      |
| FW5858282.UP.NBM                      | FW5858282.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2906 | PA      | $2895.31      | 0.00%             | 2030-08-22      | Fixed         | 28.85%                | Yes           |                  3 | On Loan: No      |
| 341835536.UL.NBM                      | 341835536.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        64 | PA      | $63.61        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341835626.UL.NBM                      | 341835626.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       403 | PA      | $399.45       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341523526.UL.NBM                      | 341523526.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1812 | PA      | $1689.01      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341523856.UL.NBM                      | 341523856.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       112 | PA      | $110.87       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343427893.UL.NBM                      | 343427893.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        48 | PA      | $47.66        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343427951.UL.NBM                      | 343427951.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       610 | PA      | $565.12       | 0.00%             | 2026-05-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343179380.UL.NBM                      | 343179380.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        96 | PA      | $95.77        | 0.00%             | 2026-02-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343179385.UL.NBM                      | 343179385.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       903 | PA      | $833.51       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342462977.UL.NBM                      | 342462977.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1646 | PA      | $1534.16      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342463120.UL.NBM                      | 342463120.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       108 | PA      | $107.07       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5858292.UP.NBM                      | FW5858292.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10653 | PA      | $10141.43     | 0.01%             | 2030-08-22      | Fixed         | 19.84%                | Yes           |                  3 | On Loan: No      |
| FW5858299.UP.NBM                      | FW5858299.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18282 | PA      | $18120.70     | 0.02%             | 2028-08-26      | Fixed         | 30.15%                | Yes           |                  3 | On Loan: No      |
| 341523925.UL.NBM                      | 341523925.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       433 | PA      | $435.32       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341528586.UL.NBM                      | 341528586.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       230 | PA      | $223.24       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343428489.UL.NBM                      | 343428489.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       850 | PA      | $840.64       | 0.00%             | 2026-07-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343429911.UL.NBM                      | 343429911.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        36 | PA      | $35.85        | 0.00%             | 2026-02-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343179393.UL.NBM                      | 343179393.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       325 | PA      | $323.82       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343179455.UL.NBM                      | 343179455.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        57 | PA      | $57.74        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341588969.UL.NBM                      | 341588969.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       336 | PA      | $333.71       | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341588986.UL.NBM                      | 341588986.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        74 | PA      | $73.44        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343073909.UL.NBM                      | 343073909.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2168 | PA      | $1988.92      | 0.00%             | 2027-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343073961.UL.NBM                      | 343073961.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       312 | PA      | $310.30       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| FW5858309.UP.NBM                      | FW5858309.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2809 | PA      | $2800.56      | 0.00%             | 2030-08-22      | Fixed         | 28.89%                | Yes           |                  3 | On Loan: No      |
| FW5858366.UP.NBM                      | FW5858366.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2996 | PA      | $3150.77      | 0.00%             | 2030-08-22      | Fixed         | 29.12%                | Yes           |                  3 | On Loan: No      |
| 341983028.UL.NBM                      | 341983028.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        95 | PA      | $94.46        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341983049.UL.NBM                      | 341983049.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        62 | PA      | $61.88        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343430039.UL.NBM                      | 343430039.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       220 | PA      | $207.38       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343430680.UL.NBM                      | 343430680.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       905 | PA      | $908.53       | 0.00%             | 2026-07-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343179485.UL.NBM                      | 343179485.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       151 | PA      | $149.59       | 0.00%             | 2026-05-31      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343179552.UL.NBM                      | 343179552.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       570 | PA      | $566.80       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342890043.UL.NBM                      | 342890043.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       200 | PA      | $199.40       | 0.00%             | 2026-02-24      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342890090.UL.NBM                      | 342890090.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1236 | PA      | $1142.64      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341589015.UL.NBM                      | 341589015.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       115 | PA      | $114.33       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341589055.UL.NBM                      | 341589055.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       170 | PA      | $169.05       | 0.00%             | 2026-02-21      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| FW5858381.UP.NBM                      | FW5858381.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1438 | PA      | $1351.10      | 0.00%             | 2030-08-22      | Fixed         | 19.01%                | Yes           |                  3 | On Loan: No      |
| FW5858393.UP.NBM                      | FW5858393.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4604 | PA      | $4006.34      | 0.01%             | 2030-08-22      | Fixed         | 32.36%                | Yes           |                  3 | On Loan: No      |
| 343430747.UL.NBM                      | 343430747.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        42 | PA      | $42.17        | 0.00%             | 2026-02-26      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343430937.UL.NBM                      | 343430937.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       101 | PA      | $100.40       | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343179561.UL.NBM                      | 343179561.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        58 | PA      | $2.32         | 0.00%             | 2035-11-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343180570.UL.NBM                      | 343180570.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       328 | PA      | $325.37       | 0.00%             | 2026-05-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341528829.UL.NBM                      | 341528829.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        82 | PA      | $81.24        | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341528850.UL.NBM                      | 341528850.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       291 | PA      | $288.21       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343073965.UL.NBM                      | 343073965.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       115 | PA      | $113.80       | 0.00%             | 2026-03-02      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343073966.UL.NBM                      | 343073966.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       119 | PA      | $15.95        | 0.00%             | 2035-11-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5858395.UP.NBM                      | FW5858395.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5715 | PA      | $1273.99      | 0.00%             | 2030-08-22      | Fixed         | 30.36%                | Yes           |                  3 | On Loan: No      |
| FW5872488.UP.NBM                      | FW5872488.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3682 | PA      | $3688.20      | 0.01%             | 2030-08-26      | Fixed         | 29.08%                | Yes           |                  3 | On Loan: No      |
| 343431705.UL.NBM                      | 343431705.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       190 | PA      | $189.09       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343432939.UL.NBM                      | 343432939.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       722 | PA      | $714.51       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343180595.UL.NBM                      | 343180595.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       978 | PA      | $923.36       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343180670.UL.NBM                      | 343180670.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       162 | PA      | $161.12       | 0.00%             | 2026-05-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341592332.UL.NBM                      | 341592332.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       251 | PA      | $247.10       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341592374.UL.NBM                      | 341592374.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       154 | PA      | $30.99        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341528908.UL.NBM                      | 341528908.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        86 | PA      | $84.90        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341528925.UL.NBM                      | 341528925.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       102 | PA      | $20.73        | 0.00%             | 2035-11-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343160589.UL.NBM                      | 343160589.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        60 | PA      | $59.34        | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343160732.UL.NBM                      | 343160732.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       647 | PA      | $640.40       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5872533.UP.NBM                      | FW5872533.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1871 | PA      | $1750.78      | 0.00%             | 2030-08-26      | Fixed         | 18.87%                | Yes           |                  3 | On Loan: No      |
| FW5872541.UP.NBM                      | FW5872541.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3108 | PA      | $3243.35      | 0.00%             | 2030-08-26      | Fixed         | 31.80%                | Yes           |                  3 | On Loan: No      |
| 343180678.UL.NBM                      | 343180678.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1272 | PA      | $1261.45      | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343180697.UL.NBM                      | 343180697.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2709 | PA      | $2666.68      | 0.00%             | 2027-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341983071.UL.NBM                      | 341983071.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       217 | PA      | $215.74       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341983214.UL.NBM                      | 341983214.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       161 | PA      | $161.08       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341528977.UL.NBM                      | 341528977.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1004 | PA      | $992.68       | 0.00%             | 2026-07-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341867630.UL.NBM                      | 341867630.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       126 | PA      | $126.08       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341750033.UL.NBM                      | 341750033.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       216 | PA      | $214.51       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341750104.UL.NBM                      | 341750104.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        59 | PA      | $58.91        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5872553.UP.NBM                      | FW5872553.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2201 | PA      | $2165.19      | 0.00%             | 2030-08-26      | Fixed         | 17.28%                | Yes           |                  3 | On Loan: No      |
| FW5872556.UP.NBM                      | FW5872556.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1640 | PA      | $1648.02      | 0.00%             | 2030-08-26      | Fixed         | 29.42%                | Yes           |                  3 | On Loan: No      |
| 343180742.UL.NBM                      | 343180742.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       250 | PA      | $247.95       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343180818.UL.NBM                      | 343180818.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       138 | PA      | $139.07       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343432977.UL.NBM                      | 343432977.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3510 | PA      | $3283.85      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343433570.UL.NBM                      | 343433570.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        98 | PA      | $97.50        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343161241.UL.NBM                      | 343161241.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       451 | PA      | $430.88       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343162234.UL.NBM                      | 343162234.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       521 | PA      | $517.77       | 0.00%             | 2026-05-25      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341867699.UL.NBM                      | 341867699.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       243 | PA      | $241.05       | 0.00%             | 2026-05-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341867782.UL.NBM                      | 341867782.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       507 | PA      | $502.12       | 0.00%             | 2026-05-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341751055.UL.NBM                      | 341751055.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1410 | PA      | $483.92       | 0.00%             | 2026-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341751331.UL.NBM                      | 341751331.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        69 | PA      | $68.76        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341983320.UL.NBM                      | 341983320.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       547 | PA      | $542.11       | 0.00%             | 2026-05-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341983651.UL.NBM                      | 341983651.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       219 | PA      | $218.10       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343162909.UL.NBM                      | 343162909.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       258 | PA      | $256.41       | 0.00%             | 2026-02-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343163161.UL.NBM                      | 343163161.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       858 | PA      | $789.53       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343434936.UL.NBM                      | 343434936.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       589 | PA      | $562.20       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343435167.UL.NBM                      | 343435167.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       239 | PA      | $226.00       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341888764.UL.NBM                      | 341888764.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       138 | PA      | $137.65       | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341889537.UL.NBM                      | 341889537.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       312 | PA      | $308.38       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341480901.UL.NBM                      | 341480901.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       106 | PA      | $105.58       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341481406.UL.NBM                      | 341481406.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       230 | PA      | $217.67       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10109317.SQ.NBM                       | 10109317.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1810 | PA      | $1615.89      | 0.00%             | 2027-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10109347.SQ.NBM                       | 10109347.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       688 | PA      | $663.25       | 0.00%             | 2027-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5872588.UP.NBM                      | FW5872588.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1010 | PA      | $968.40       | 0.00%             | 2028-08-26      | Fixed         | 21.61%                | Yes           |                  3 | On Loan: No      |
| FW5872615.UP.NBM                      | FW5872615.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       917 | PA      | $911.35       | 0.00%             | 2028-08-26      | Fixed         | 25.12%                | Yes           |                  3 | On Loan: No      |
| 343163352.UL.NBM                      | 343163352.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       310 | PA      | $308.42       | 0.00%             | 2026-02-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343163372.UL.NBM                      | 343163372.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        84 | PA      | $83.95        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342890202.UL.NBM                      | 342890202.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       118 | PA      | $48.81        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342890499.UL.NBM                      | 342890499.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       906 | PA      | $895.26       | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343436252.UL.NBM                      | 343436252.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       392 | PA      | $389.80       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343436338.UL.NBM                      | 343436338.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       164 | PA      | $162.08       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342463282.UL.NBM                      | 342463282.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       170 | PA      | $169.11       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342463346.UL.NBM                      | 342463346.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       453 | PA      | $448.34       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343163380.UL.NBM                      | 343163380.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       850 | PA      | $465.93       | 0.00%             | 2026-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343163438.UL.NBM                      | 343163438.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4465 | PA      | $4402.84      | 0.01%             | 2027-02-25      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 341890276.UL.NBM                      | 341890276.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4007 | PA      | $3720.70      | 0.01%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341890786.UL.NBM                      | 341890786.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       833 | PA      | $823.13       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342290932.UL.NBM                      | 342290932.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       764 | PA      | $705.40       | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342290987.UL.NBM                      | 342290987.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       295 | PA      | $280.13       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341767797.UL.NBM                      | 341767797.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       678 | PA      | $674.20       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341768342.UL.NBM                      | 341768342.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       265 | PA      | $262.05       | 0.00%             | 2026-05-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 10109362.SQ.NBM                       | 10109362.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8632 | PA      | $8097.22      | 0.01%             | 2027-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10109517.SQ.NBM                       | 10109517.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2635 | PA      | $2446.46      | 0.00%             | 2027-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343436625.UL.NBM                      | 343436625.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       796 | PA      | $783.73       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343476100.UL.NBM                      | 343476100.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       418 | PA      | $415.67       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341983676.UL.NBM                      | 341983676.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       188 | PA      | $186.51       | 0.00%             | 2026-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342079539.UL.NBM                      | 342079539.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       187 | PA      | $15.14        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342463847.UL.NBM                      | 342463847.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       237 | PA      | $237.01       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342464346.UL.NBM                      | 342464346.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        94 | PA      | $93.61        | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341891358.UL.NBM                      | 341891358.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       483 | PA      | $477.93       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341891427.UL.NBM                      | 341891427.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        54 | PA      | $54.11        | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343163486.UL.NBM                      | 343163486.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       802 | PA      | $762.45       | 0.00%             | 2026-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343163508.UL.NBM                      | 343163508.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1766 | PA      | $1646.33      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343477395.UL.NBM                      | 343477395.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        83 | PA      | $82.69        | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343477651.UL.NBM                      | 343477651.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       247 | PA      | $245.10       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10168921.SQ.NBM                       | 10168921.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7621 | PA      | $7147.88      | 0.01%             | 2027-06-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10169294.SQ.NBM                       | 10169294.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2932 | PA      | $2750.98      | 0.00%             | 2027-06-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341456843.UL.NBM                      | 341456843.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1050 | PA      | $1056.91      | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341477089.UL.NBM                      | 341477089.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        52 | PA      | $51.65        | 0.00%             | 2026-02-20      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343193093.UL.NBM                      | 343193093.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       185 | PA      | $176.11       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343193132.UL.NBM                      | 343193132.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        89 | PA      | $88.52        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343479203.UL.NBM                      | 343479203.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        99 | PA      | $23.88        | 0.00%             | 2035-11-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343479549.UL.NBM                      | 343479549.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       221 | PA      | $219.21       | 0.00%             | 2026-05-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342464540.UL.NBM                      | 342464540.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        96 | PA      | $95.44        | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342465074.UL.NBM                      | 342465074.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       178 | PA      | $176.63       | 0.00%             | 2026-02-23      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 10169422.SQ.NBM                       | 10169422.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9487 | PA      | $8838.18      | 0.01%             | 2027-06-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9743266.SQ.NBM                        | 9743266.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1531 | PA      | $407.29       | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343193257.UL.NBM                      | 343193257.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1018 | PA      | $976.73       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343193344.UL.NBM                      | 343193344.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       438 | PA      | $436.35       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342291023.UL.NBM                      | 342291023.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       826 | PA      | $816.17       | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342300493.UL.NBM                      | 342300493.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       814 | PA      | $752.62       | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343481945.UL.NBM                      | 343481945.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       296 | PA      | $294.45       | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343482073.UL.NBM                      | 343482073.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       953 | PA      | $942.61       | 0.00%             | 2026-07-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342079605.UL.NBM                      | 342079605.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       118 | PA      | $117.54       | 0.00%             | 2026-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342136987.UL.NBM                      | 342136987.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5253 | PA      | $5166.97      | 0.01%             | 2027-08-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343282354.UL.NBM                      | 343282354.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       460 | PA      | $457.18       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343283675.UL.NBM                      | 343283675.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       445 | PA      | $443.36       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9743286.SQ.NBM                        | 9743286.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2351 | PA      | $2246.52      | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9743318.SQ.NBM                        | 9743318.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2730 | PA      | $2614.05      | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342465118.UL.NBM                      | 342465118.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       699 | PA      | $691.75       | 0.00%             | 2026-07-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342467102.UL.NBM                      | 342467102.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       306 | PA      | $303.46       | 0.00%             | 2026-05-23      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343483096.UL.NBM                      | 343483096.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        58 | PA      | $57.97        | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343483463.UL.NBM                      | 343483463.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       252 | PA      | $249.85       | 0.00%             | 2026-05-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343284205.UL.NBM                      | 343284205.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1902 | PA      | $1884.24      | 0.00%             | 2027-03-05      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343285241.UL.NBM                      | 343285241.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       613 | PA      | $605.58       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341768359.UL.NBM                      | 341768359.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       200 | PA      | $198.78       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341768560.UL.NBM                      | 341768560.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1016 | PA      | $1004.44      | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9758465.SQ.NBM                        | 9758465.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9219 | PA      | $9027.71      | 0.01%             | 2027-03-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9759283.SQ.NBM                        | 9759283.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13570 | PA      | $13178.50     | 0.02%             | 2027-03-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342467468.UL.NBM                      | 342467468.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        84 | PA      | $83.94        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342606345.UL.NBM                      | 342606345.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       753 | PA      | $709.72       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341891722.UL.NBM                      | 341891722.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        99 | PA      | $98.87        | 0.00%             | 2026-02-21      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341892911.UL.NBM                      | 341892911.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        78 | PA      | $77.38        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343294575.UL.NBM                      | 343294575.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        92 | PA      | $91.09        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343295428.UL.NBM                      | 343295428.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       205 | PA      | $204.15       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10174008.SQ.NBM                       | 10174008.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7016 | PA      | $6581.57      | 0.01%             | 2027-06-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10176483.SQ.NBM                       | 10176483.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6196 | PA      | $5675.68      | 0.01%             | 2027-06-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9759592.SQ.NBM                        | 9759592.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1128 | PA      | $735.48       | 0.00%             | 2027-03-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9759600.SQ.NBM                        | 9759600.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12479 | PA      | $11822.62     | 0.02%             | 2027-03-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343295845.UL.NBM                      | 343295845.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       116 | PA      | $115.55       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343360111.UL.NBM                      | 343360111.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       474 | PA      | $443.52       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343484613.UL.NBM                      | 343484613.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        76 | PA      | $9.05         | 0.00%             | 2035-11-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343484925.UL.NBM                      | 343484925.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        89 | PA      | $88.54        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341893589.UL.NBM                      | 341893589.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       230 | PA      | $52.02        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341894185.UL.NBM                      | 341894185.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       187 | PA      | $176.57       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342991684.UL.NBM                      | 342991684.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       179 | PA      | $178.43       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342991724.UL.NBM                      | 342991724.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       542 | PA      | $537.05       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341443457.UL.NBM                      | 341443457.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       200 | PA      | $198.43       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341443651.UL.NBM                      | 341443651.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       388 | PA      | $386.12       | 0.00%             | 2026-02-20      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343360860.UL.NBM                      | 343360860.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        57 | PA      | $56.69        | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343362241.UL.NBM                      | 343362241.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       580 | PA      | $577.24       | 0.00%             | 2026-07-30      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9759788.SQ.NBM                        | 9759788.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11017 | PA      | $10617.81     | 0.01%             | 2027-03-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9760159.SQ.NBM                        | 9760159.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1388 | PA      | $1330.72      | 0.00%             | 2027-03-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343486349.UL.NBM                      | 343486349.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1014 | PA      | $1002.45      | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343487842.UL.NBM                      | 343487842.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       328 | PA      | $330.22       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341769640.UL.NBM                      | 341769640.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       763 | PA      | $754.17       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341769959.UL.NBM                      | 341769959.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3486 | PA      | $3422.39      | 0.00%             | 2027-02-21      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341894753.UL.NBM                      | 341894753.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       269 | PA      | $266.31       | 0.00%             | 2026-05-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341896039.UL.NBM                      | 341896039.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       140 | PA      | $138.72       | 0.00%             | 2026-02-21      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341477168.UL.NBM                      | 341477168.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       400 | PA      | $396.35       | 0.00%             | 2026-05-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341477254.UL.NBM                      | 341477254.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       276 | PA      | $273.35       | 0.00%             | 2026-05-20      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 343362510.UL.NBM                      | 343362510.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       219 | PA      | $217.27       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343420149.UL.NBM                      | 343420149.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        79 | PA      | $78.35        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9760176.SQ.NBM                        | 9760176.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3612 | PA      | $3499.30      | 0.00%             | 2027-03-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9760228.SQ.NBM                        | 9760228.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5160 | PA      | $4887.74      | 0.01%             | 2027-03-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343488970.UL.NBM                      | 343488970.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1542 | PA      | $1518.23      | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343489934.UL.NBM                      | 343489934.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       201 | PA      | $199.97       | 0.00%             | 2026-02-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 10176848.SQ.NBM                       | 10176848.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       669 | PA      | $600.14       | 0.00%             | 2027-06-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9735132.SQ.NBM                        | 9735132.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       956 | PA      | $918.40       | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343420193.UL.NBM                      | 343420193.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       253 | PA      | $250.67       | 0.00%             | 2026-05-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343420419.UL.NBM                      | 343420419.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       101 | PA      | $100.41       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341896117.UL.NBM                      | 341896117.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       123 | PA      | $122.23       | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341896196.UL.NBM                      | 341896196.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       176 | PA      | $174.36       | 0.00%             | 2026-05-21      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 9760334.SQ.NBM                        | 9760334.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4139 | PA      | $3948.60      | 0.01%             | 2027-03-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9760393.SQ.NBM                        | 9760393.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4662 | PA      | $2544.09      | 0.00%             | 2027-03-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343489994.UL.NBM                      | 343489994.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       380 | PA      | $380.04       | 0.00%             | 2026-02-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343490011.UL.NBM                      | 343490011.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.64        | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343421224.UL.NBM                      | 343421224.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       142 | PA      | $136.71       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343475262.UL.NBM                      | 343475262.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       211 | PA      | $209.80       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341477355.UL.NBM                      | 341477355.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       174 | PA      | $172.67       | 0.00%             | 2026-02-20      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341477393.UL.NBM                      | 341477393.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        99 | PA      | $98.21        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342300507.UL.NBM                      | 342300507.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        49 | PA      | $48.62        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342300643.UL.NBM                      | 342300643.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        48 | PA      | $47.29        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9760467.SQ.NBM                        | 9760467.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     40310 | PA      | $39088.66     | 0.05%             | 2027-03-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9761190.SQ.NBM                        | 9761190.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     20869 | PA      | $19602.31     | 0.03%             | 2027-03-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343490696.UL.NBM                      | 343490696.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       782 | PA      | $772.52       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343490943.UL.NBM                      | 343490943.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        46 | PA      | $46.01        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342991999.UL.NBM                      | 342991999.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       263 | PA      | $260.67       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342993304.UL.NBM                      | 342993304.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1418 | PA      | $1403.67      | 0.00%             | 2026-07-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341477397.UL.NBM                      | 341477397.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       179 | PA      | $176.75       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341519300.UL.NBM                      | 341519300.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        58 | PA      | $57.86        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9793216.SQ.NBM                        | 9793216.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10175 | PA      | $9649.50      | 0.01%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9793397.SQ.NBM                        | 9793397.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8108 | PA      | $7694.99      | 0.01%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341443702.UL.NBM                      | 341443702.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       233 | PA      | $221.41       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341443776.UL.NBM                      | 341443776.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       145 | PA      | $137.56       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343492374.UL.NBM                      | 343492374.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        90 | PA      | $13.75        | 0.00%             | 2035-11-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343492380.UL.NBM                      | 343492380.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1144 | PA      | $1132.03      | 0.00%             | 2026-07-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341770363.UL.NBM                      | 341770363.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3693 | PA      | $3651.86      | 0.01%             | 2026-07-21      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341771067.UL.NBM                      | 341771067.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       315 | PA      | $314.70       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341519369.UL.NBM                      | 341519369.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1458 | PA      | $1440.89      | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341519448.UL.NBM                      | 341519448.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       367 | PA      | $363.65       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9793467.SQ.NBM                        | 9793467.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6143 | PA      | $5652.68      | 0.01%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9793512.SQ.NBM                        | 9793512.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1398 | PA      | $1243.07      | 0.00%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342300669.UL.NBM                      | 342300669.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       178 | PA      | $177.17       | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342300672.UL.NBM                      | 342300672.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       235 | PA      | $234.19       | 0.00%             | 2026-05-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343493625.UL.NBM                      | 343493625.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        72 | PA      | $72.17        | 0.00%             | 2026-02-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343493676.UL.NBM                      | 343493676.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       347 | PA      | $343.60       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9735155.SQ.NBM                        | 9735155.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     29499 | PA      | $27534.98     | 0.04%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9735502.SQ.NBM                        | 9735502.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7869 | PA      | $7280.43      | 0.01%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9793529.SQ.NBM                        | 9793529.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3417 | PA      | $3282.12      | 0.00%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9793565.SQ.NBM                        | 9793565.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     28983 | PA      | $27431.23     | 0.04%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341519471.UL.NBM                      | 341519471.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        91 | PA      | $90.41        | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341519862.UL.NBM                      | 341519862.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       177 | PA      | $31.46        | 0.00%             | 2035-11-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343494556.UL.NBM                      | 343494556.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       265 | PA      | $262.92       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343494830.UL.NBM                      | 343494830.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        56 | PA      | $55.43        | 0.00%             | 2026-02-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342890508.UL.NBM                      | 342890508.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       454 | PA      | $449.64       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342890785.UL.NBM                      | 342890785.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       170 | PA      | $169.31       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9793959.SQ.NBM                        | 9793959.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4606 | PA      | $4412.62      | 0.01%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9794017.SQ.NBM                        | 9794017.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2223 | PA      | $2038.32      | 0.00%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9794060.SQ.NBM                        | 9794060.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3606 | PA      | $3474.92      | 0.00%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9794104.SQ.NBM                        | 9794104.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1019 | PA      | $919.87       | 0.00%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341519963.UL.NBM                      | 341519963.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       521 | PA      | $515.44       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341519971.UL.NBM                      | 341519971.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        81 | PA      | $80.83        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341277754.UL.NBM                      | 341277754.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       433 | PA      | $431.46       | 0.00%             | 2026-02-19      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341278071.UL.NBM                      | 341278071.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        41 | PA      | $40.58        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342993493.UL.NBM                      | 342993493.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       223 | PA      | $221.71       | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342993887.UL.NBM                      | 342993887.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       173 | PA      | $172.29       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342300699.UL.NBM                      | 342300699.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1362 | PA      | $1349.21      | 0.00%             | 2027-02-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342300703.UL.NBM                      | 342300703.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $70.16        | 0.00%             | 2026-02-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341896286.UL.NBM                      | 341896286.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        55 | PA      | $54.50        | 0.00%             | 2026-02-21      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341897524.UL.NBM                      | 341897524.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       258 | PA      | $255.63       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341722607.UL.NBM                      | 341722607.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       313 | PA      | $304.24       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341722752.UL.NBM                      | 341722752.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       793 | PA      | $783.32       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9794116.SQ.NBM                        | 9794116.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5480 | PA      | $2372.85      | 0.00%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9794169.SQ.NBM                        | 9794169.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4052 | PA      | $3938.63      | 0.01%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342300905.UL.NBM                      | 342300905.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       109 | PA      | $21.65        | 0.00%             | 2035-11-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342300981.UL.NBM                      | 342300981.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       100 | PA      | $99.01        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342994187.UL.NBM                      | 342994187.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       312 | PA      | $310.52       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342994267.UL.NBM                      | 342994267.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       156 | PA      | $154.39       | 0.00%             | 2026-05-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343495240.UL.NBM                      | 343495240.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2309 | PA      | $2276.55      | 0.00%             | 2027-02-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343495675.UL.NBM                      | 343495675.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $67.10        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342890788.UL.NBM                      | 342890788.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       184 | PA      | $182.46       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342891928.UL.NBM                      | 342891928.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3889 | PA      | $3850.63      | 0.01%             | 2027-08-24      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 341520546.UL.NBM                      | 341520546.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        38 | PA      | $38.22        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341520721.UL.NBM                      | 341520721.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       655 | PA      | $644.82       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342301000.UL.NBM                      | 342301000.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       144 | PA      | $143.31       | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342301087.UL.NBM                      | 342301087.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       751 | PA      | $755.01       | 0.00%             | 2026-05-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343495870.UL.NBM                      | 343495870.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2704 | PA      | $2663.70      | 0.00%             | 2027-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343495912.UL.NBM                      | 343495912.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       273 | PA      | $270.06       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341443901.UL.NBM                      | 341443901.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       585 | PA      | $578.42       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341507872.UL.NBM                      | 341507872.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.64        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341898570.UL.NBM                      | 341898570.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       206 | PA      | $204.39       | 0.00%             | 2026-05-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341898669.UL.NBM                      | 341898669.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       383 | PA      | $380.34       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9853998.SQ.NBM                        | 9853998.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2204 | PA      | $1894.88      | 0.00%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342301106.UL.NBM                      | 342301106.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        78 | PA      | $78.54        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342301144.UL.NBM                      | 342301144.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1243 | PA      | $1235.32      | 0.00%             | 2026-05-23      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343496622.UL.NBM                      | 343496622.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       359 | PA      | $355.78       | 0.00%             | 2026-05-26      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343497141.UL.NBM                      | 343497141.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       136 | PA      | $135.03       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341321021.UL.NBM                      | 341321021.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       112 | PA      | $111.11       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341321226.UL.NBM                      | 341321226.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       511 | PA      | $505.96       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341520881.UL.NBM                      | 341520881.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        41 | PA      | $40.76        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341520925.UL.NBM                      | 341520925.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       322 | PA      | $319.23       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341899135.UL.NBM                      | 341899135.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       257 | PA      | $255.76       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341909273.UL.NBM                      | 341909273.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3310 | PA      | $3255.07      | 0.00%             | 2027-08-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343586936.UL.NBM                      | 343586936.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        97 | PA      | $96.92        | 0.00%             | 2026-02-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343587260.UL.NBM                      | 343587260.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        76 | PA      | $75.41        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342301345.UL.NBM                      | 342301345.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        35 | PA      | $34.94        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342301655.UL.NBM                      | 342301655.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       119 | PA      | $118.29       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342996553.UL.NBM                      | 342996553.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        66 | PA      | $65.63        | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342996578.UL.NBM                      | 342996578.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       126 | PA      | $125.77       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342892053.UL.NBM                      | 342892053.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7264 | PA      | $6668.68      | 0.01%             | 2027-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342892070.UL.NBM                      | 342892070.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1000 | PA      | $930.06       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341520929.UL.NBM                      | 341520929.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       485 | PA      | $481.27       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341521099.UL.NBM                      | 341521099.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       255 | PA      | $252.40       | 0.00%             | 2026-05-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341909279.UL.NBM                      | 341909279.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       407 | PA      | $403.30       | 0.00%             | 2026-05-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341910198.UL.NBM                      | 341910198.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       238 | PA      | $235.66       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342301685.UL.NBM                      | 342301685.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       147 | PA      | $145.94       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342301801.UL.NBM                      | 342301801.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        61 | PA      | $15.06        | 0.00%             | 2035-11-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343587745.UL.NBM                      | 343587745.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       162 | PA      | $161.61       | 0.00%             | 2026-02-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343588748.UL.NBM                      | 343588748.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       310 | PA      | $307.48       | 0.00%             | 2026-05-27      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341508122.UL.NBM                      | 341508122.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       200 | PA      | $197.86       | 0.00%             | 2026-07-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341508200.UL.NBM                      | 341508200.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       193 | PA      | $190.59       | 0.00%             | 2026-05-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342892189.UL.NBM                      | 342892189.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       726 | PA      | $717.52       | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342892263.UL.NBM                      | 342892263.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       838 | PA      | $790.46       | 0.00%             | 2026-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341540943.UL.NBM                      | 341540943.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        46 | PA      | $45.88        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341541103.UL.NBM                      | 341541103.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       864 | PA      | $828.09       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342301849.UL.NBM                      | 342301849.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       399 | PA      | $394.99       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342302117.UL.NBM                      | 342302117.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       332 | PA      | $330.21       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343589593.UL.NBM                      | 343589593.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       277 | PA      | $274.41       | 0.00%             | 2026-05-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343590041.UL.NBM                      | 343590041.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       740 | PA      | $728.66       | 0.00%             | 2026-02-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342997224.UL.NBM                      | 342997224.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       860 | PA      | $850.97       | 0.00%             | 2026-07-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342999012.UL.NBM                      | 342999012.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        11 | PA      | $10.79        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341722970.UL.NBM                      | 341722970.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        42 | PA      | $41.70        | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341723426.UL.NBM                      | 341723426.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       181 | PA      | $180.32       | 0.00%             | 2026-02-21      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341541360.UL.NBM                      | 341541360.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1367 | PA      | $1351.45      | 0.00%             | 2026-07-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341541527.UL.NBM                      | 341541527.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       213 | PA      | $211.61       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343590261.UL.NBM                      | 343590261.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2849 | PA      | $2803.59      | 0.00%             | 2027-08-27      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343590416.UL.NBM                      | 343590416.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       149 | PA      | $148.42       | 0.00%             | 2026-02-27      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342302238.UL.NBM                      | 342302238.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        58 | PA      | $57.54        | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342302279.UL.NBM                      | 342302279.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       128 | PA      | $48.77        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342892491.UL.NBM                      | 342892491.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       100 | PA      | $99.60        | 0.00%             | 2026-02-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342894725.UL.NBM                      | 342894725.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2971 | PA      | $2777.45      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341910604.UL.NBM                      | 341910604.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        77 | PA      | $77.03        | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341967544.UL.NBM                      | 341967544.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1553 | PA      | $1534.90      | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343590518.UL.NBM                      | 343590518.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       388 | PA      | $386.25       | 0.00%             | 2026-02-27      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343590641.UL.NBM                      | 343590641.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       318 | PA      | $316.25       | 0.00%             | 2026-02-27      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341541647.UL.NBM                      | 341541647.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       193 | PA      | $191.83       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341541830.UL.NBM                      | 341541830.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        29 | PA      | $28.84        | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9735664.SQ.NBM                        | 9735664.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14009 | PA      | $13639.83     | 0.02%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9739573.SQ.NBM                        | 9739573.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1562 | PA      | $1363.99      | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341726751.UL.NBM                      | 341726751.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        98 | PA      | $97.74        | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341727109.UL.NBM                      | 341727109.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       733 | PA      | $724.20       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341508243.UL.NBM                      | 341508243.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       659 | PA      | $632.65       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341508891.UL.NBM                      | 341508891.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        66 | PA      | $65.24        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341967556.UL.NBM                      | 341967556.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       474 | PA      | $95.68        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341969591.UL.NBM                      | 341969591.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        94 | PA      | $93.19        | 0.00%             | 2026-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342894800.UL.NBM                      | 342894800.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       191 | PA      | $189.99       | 0.00%             | 2026-02-28      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342894821.UL.NBM                      | 342894821.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       152 | PA      | $151.96       | 0.00%             | 2026-02-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| DRB5859567.UP.NBM                     | DRB5859567.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1260 | PA      | $1273.66      | 0.00%             | 2030-08-22      | Fixed         | 29.79%                | Yes           |                  3 | On Loan: No      |
| DRB5860004.UP.NBM                     | DRB5860004.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5908 | PA      | $5894.47      | 0.01%             | 2030-08-22      | Fixed         | 29.07%                | Yes           |                  3 | On Loan: No      |
| 341727200.UL.NBM                      | 341727200.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2074 | PA      | $2043.51      | 0.00%             | 2027-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341728561.UL.NBM                      | 341728561.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1292 | PA      | $1284.03      | 0.00%             | 2026-07-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342302494.UL.NBM                      | 342302494.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       473 | PA      | $244.11       | 0.00%             | 2026-05-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342302496.UL.NBM                      | 342302496.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       805 | PA      | $770.43       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341542371.UL.NBM                      | 341542371.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       996 | PA      | $955.03       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341542609.UL.NBM                      | 341542609.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       211 | PA      | $209.74       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341969603.UL.NBM                      | 341969603.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        24 | PA      | $23.88        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341969605.UL.NBM                      | 341969605.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       549 | PA      | $544.19       | 0.00%             | 2026-05-22      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342894949.UL.NBM                      | 342894949.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       227 | PA      | $225.31       | 0.00%             | 2026-05-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342896054.UL.NBM                      | 342896054.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       148 | PA      | $146.69       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341728569.UL.NBM                      | 341728569.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       350 | PA      | $347.53       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341731373.UL.NBM                      | 341731373.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1327 | PA      | $1234.36      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341509384.UL.NBM                      | 341509384.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1062 | PA      | $1050.14      | 0.00%             | 2026-07-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341509519.UL.NBM                      | 341509519.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       187 | PA      | $185.48       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341542644.UL.NBM                      | 341542644.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       972 | PA      | $896.83       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341543310.UL.NBM                      | 341543310.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1800 | PA      | $1773.75      | 0.00%             | 2027-08-20      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 341969678.UL.NBM                      | 341969678.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1004 | PA      | $993.12       | 0.00%             | 2026-07-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341969853.UL.NBM                      | 341969853.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       193 | PA      | $182.26       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342302650.UL.NBM                      | 342302650.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       248 | PA      | $246.25       | 0.00%             | 2026-02-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342303074.UL.NBM                      | 342303074.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       179 | PA      | $178.06       | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341731647.UL.NBM                      | 341731647.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       110 | PA      | $108.86       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341731648.UL.NBM                      | 341731648.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       203 | PA      | $191.88       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342896452.UL.NBM                      | 342896452.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       299 | PA      | $36.93        | 0.00%             | 2035-11-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342896614.UL.NBM                      | 342896614.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1078 | PA      | $995.31       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341321342.UL.NBM                      | 341321342.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       106 | PA      | $105.05       | 0.00%             | 2026-02-19      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341321365.UL.NBM                      | 341321365.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       866 | PA      | $860.18       | 0.00%             | 2026-02-19      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341969861.UL.NBM                      | 341969861.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       285 | PA      | $282.46       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341969890.UL.NBM                      | 341969890.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       449 | PA      | $444.14       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342303078.UL.NBM                      | 342303078.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        92 | PA      | $92.06        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342303105.UL.NBM                      | 342303105.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       363 | PA      | $361.82       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343590831.UL.NBM                      | 343590831.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       553 | PA      | $544.84       | 0.00%             | 2026-02-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343591624.UL.NBM                      | 343591624.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       480 | PA      | $482.72       | 0.00%             | 2026-05-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341543369.UL.NBM                      | 341543369.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        79 | PA      | $78.01        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341543674.UL.NBM                      | 341543674.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       281 | PA      | $276.15       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342896621.UL.NBM                      | 342896621.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       295 | PA      | $294.47       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342896681.UL.NBM                      | 342896681.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       764 | PA      | $754.47       | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341969898.UL.NBM                      | 341969898.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       159 | PA      | $157.89       | 0.00%             | 2026-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341969924.UL.NBM                      | 341969924.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       205 | PA      | $202.57       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342303341.UL.NBM                      | 342303341.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       343 | PA      | $339.80       | 0.00%             | 2026-05-23      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342508480.UL.NBM                      | 342508480.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       241 | PA      | $238.87       | 0.00%             | 2026-05-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343591963.UL.NBM                      | 343591963.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        66 | PA      | $66.10        | 0.00%             | 2026-02-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343592052.UL.NBM                      | 343592052.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       251 | PA      | $248.27       | 0.00%             | 2026-05-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341544102.UL.NBM                      | 341544102.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        90 | PA      | $89.77        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341544105.UL.NBM                      | 341544105.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1040 | PA      | $960.43       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342999057.UL.NBM                      | 342999057.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        60 | PA      | $59.70        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342999261.UL.NBM                      | 342999261.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       514 | PA      | $509.09       | 0.00%             | 2026-05-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341969998.UL.NBM                      | 341969998.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       331 | PA      | $329.49       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341970033.UL.NBM                      | 341970033.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       323 | PA      | $320.26       | 0.00%             | 2026-05-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342509044.UL.NBM                      | 342509044.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       692 | PA      | $654.02       | 0.00%             | 2026-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342510376.UL.NBM                      | 342510376.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       207 | PA      | $86.91        | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343592070.UL.NBM                      | 343592070.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       185 | PA      | $183.53       | 0.00%             | 2026-05-27      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343592430.UL.NBM                      | 343592430.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        22 | PA      | $3.63         | 0.00%             | 2035-11-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341544143.UL.NBM                      | 341544143.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        61 | PA      | $60.79        | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341544389.UL.NBM                      | 341544389.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       184 | PA      | $182.13       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342896703.UL.NBM                      | 342896703.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       299 | PA      | $297.46       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342897211.UL.NBM                      | 342897211.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       879 | PA      | $868.63       | 0.00%             | 2026-07-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341970132.UL.NBM                      | 341970132.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       351 | PA      | $345.49       | 0.00%             | 2026-06-01      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341970698.UL.NBM                      | 341970698.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        28 | PA      | $28.23        | 0.00%             | 2026-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343592535.UL.NBM                      | 343592535.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       797 | PA      | $789.82       | 0.00%             | 2026-02-27      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343593678.UL.NBM                      | 343593678.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       575 | PA      | $572.50       | 0.00%             | 2026-05-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342511819.UL.NBM                      | 342511819.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       450 | PA      | $447.52       | 0.00%             | 2026-05-23      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342524783.UL.NBM                      | 342524783.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1742 | PA      | $1615.40      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342999374.UL.NBM                      | 342999374.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        49 | PA      | $49.00        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343001445.UL.NBM                      | 343001445.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       256 | PA      | $253.53       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341731852.UL.NBM                      | 341731852.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2054 | PA      | $2019.88      | 0.00%             | 2027-08-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341733509.UL.NBM                      | 341733509.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       837 | PA      | $774.53       | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343594361.UL.NBM                      | 343594361.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       237 | PA      | $235.05       | 0.00%             | 2026-07-27      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343594585.UL.NBM                      | 343594585.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       120 | PA      | $119.29       | 0.00%             | 2026-05-27      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342525310.UL.NBM                      | 342525310.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       375 | PA      | $57.13        | 0.00%             | 2035-11-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342525655.UL.NBM                      | 342525655.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        41 | PA      | $8.76         | 0.00%             | 2035-11-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341771117.UL.NBM                      | 341771117.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        73 | PA      | $73.20        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341772062.UL.NBM                      | 341772062.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2361 | PA      | $2205.35      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5872559.UP.NBM                     | DRB5872559.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     47989 | PA      | $45778.32     | 0.06%             | 2030-08-26      | Fixed         | 19.90%                | Yes           |                  3 | On Loan: No      |
| DRB5872568.UP.NBM                     | DRB5872568.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1547 | PA      | $1492.25      | 0.00%             | 2030-08-26      | Fixed         | 26.63%                | Yes           |                  3 | On Loan: No      |
| 341521171.UL.NBM                      | 341521171.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       419 | PA      | $416.14       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341521317.UL.NBM                      | 341521317.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        29 | PA      | $5.43         | 0.00%             | 2035-11-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9963668.SQ.NBM                        | 9963668.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11749 | PA      | $11089.48     | 0.02%             | 2027-04-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9963811.SQ.NBM                        | 9963811.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1916 | PA      | $1827.74      | 0.00%             | 2027-04-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343594771.UL.NBM                      | 343594771.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        95 | PA      | $94.21        | 0.00%             | 2026-02-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343595199.UL.NBM                      | 343595199.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       707 | PA      | $703.68       | 0.00%             | 2026-05-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342897392.UL.NBM                      | 342897392.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       438 | PA      | $434.68       | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342897732.UL.NBM                      | 342897732.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       823 | PA      | $813.58       | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342527019.UL.NBM                      | 342527019.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       184 | PA      | $21.43        | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342527725.UL.NBM                      | 342527725.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2218 | PA      | $2125.61      | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341736717.UL.NBM                      | 341736717.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       137 | PA      | $136.53       | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341737536.UL.NBM                      | 341737536.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       676 | PA      | $667.56       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343596037.UL.NBM                      | 343596037.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        92 | PA      | $91.96        | 0.00%             | 2026-02-27      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343596936.UL.NBM                      | 343596936.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       248 | PA      | $246.18       | 0.00%             | 2026-05-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341772861.UL.NBM                      | 341772861.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       255 | PA      | $253.52       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341772898.UL.NBM                      | 341772898.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       293 | PA      | $290.23       | 0.00%             | 2026-05-21      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341970741.UL.NBM                      | 341970741.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1222 | PA      | $1206.27      | 0.00%             | 2027-08-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341970971.UL.NBM                      | 341970971.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       504 | PA      | $499.26       | 0.00%             | 2026-05-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342898082.UL.NBM                      | 342898082.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        40 | PA      | $39.39        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342898197.UL.NBM                      | 342898197.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1462 | PA      | $1354.24      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343597086.UL.NBM                      | 343597086.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       744 | PA      | $736.41       | 0.00%             | 2026-07-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343597200.UL.NBM                      | 343597200.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        65 | PA      | $64.41        | 0.00%             | 2026-02-27      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341521365.UL.NBM                      | 341521365.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       773 | PA      | $719.48       | 0.00%             | 2026-05-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341521657.UL.NBM                      | 341521657.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       174 | PA      | $173.41       | 0.00%             | 2026-02-20      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341737567.UL.NBM                      | 341737567.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       124 | PA      | $122.98       | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341737698.UL.NBM                      | 341737698.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       773 | PA      | $713.89       | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5872590.UP.NBM                     | DRB5872590.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1550 | PA      | $1542.68      | 0.00%             | 2030-08-26      | Fixed         | 28.67%                | Yes           |                  3 | On Loan: No      |
| DRB5872591.UP.NBM                     | DRB5872591.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     33673 | PA      | $34579.64     | 0.05%             | 2030-08-26      | Fixed         | 30.73%                | Yes           |                  3 | On Loan: No      |
| 342938913.UL.NBM                      | 342938913.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       107 | PA      | $107.37       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342938974.UL.NBM                      | 342938974.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       154 | PA      | $152.97       | 0.00%             | 2026-02-25      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341970993.UL.NBM                      | 341970993.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3516 | PA      | $3459.72      | 0.00%             | 2027-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341971002.UL.NBM                      | 341971002.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1015 | PA      | $941.46       | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342899727.UL.NBM                      | 342899727.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        78 | PA      | $77.55        | 0.00%             | 2026-02-24      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342900019.UL.NBM                      | 342900019.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1388 | PA      | $164.45       | 0.00%             | 2035-11-24      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343597524.UL.NBM                      | 343597524.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $9.96         | 0.00%             | 2035-11-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343597775.UL.NBM                      | 343597775.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       353 | PA      | $351.48       | 0.00%             | 2026-07-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341738095.UL.NBM                      | 341738095.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       137 | PA      | $137.60       | 0.00%             | 2026-02-21      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 341738227.UL.NBM                      | 341738227.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       119 | PA      | $118.44       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342978232.UL.NBM                      | 342978232.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       202 | PA      | $200.42       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342978318.UL.NBM                      | 342978318.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       269 | PA      | $270.51       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9973238.SQ.NBM                        | 9973238.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2296 | PA      | $2188.48      | 0.00%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9973291.SQ.NBM                        | 9973291.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2905 | PA      | $2756.60      | 0.00%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341972114.UL.NBM                      | 341972114.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        46 | PA      | $46.09        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341972132.UL.NBM                      | 341972132.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       737 | PA      | $728.81       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343597817.UL.NBM                      | 343597817.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |         9 | PA      | $9.38         | 0.00%             | 2035-11-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343597987.UL.NBM                      | 343597987.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       110 | PA      | $109.70       | 0.00%             | 2026-02-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341739294.UL.NBM                      | 341739294.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        93 | PA      | $92.83        | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341740221.UL.NBM                      | 341740221.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        63 | PA      | $62.54        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341968184.UL.NBM                      | 341968184.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       173 | PA      | $171.19       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341968247.UL.NBM                      | 341968247.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       446 | PA      | $442.36       | 0.00%             | 2026-05-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| FW5866885.UP.NBM                      | FW5866885.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2245 | PA      | $2346.24      | 0.00%             | 2030-08-25      | Fixed         | 31.85%                | Yes           |                  3 | On Loan: No      |
| FW5867112.UP.NBM                      | FW5867112.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1095 | PA      | $1055.38      | 0.00%             | 2028-08-25      | Fixed         | 17.52%                | Yes           |                  3 | On Loan: No      |
| 342978443.UL.NBM                      | 342978443.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3257 | PA      | $3204.62      | 0.00%             | 2027-08-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342978606.UL.NBM                      | 342978606.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       556 | PA      | $551.10       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342900099.UL.NBM                      | 342900099.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        98 | PA      | $97.09        | 0.00%             | 2026-02-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342900301.UL.NBM                      | 342900301.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2971 | PA      | $2777.45      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341972243.UL.NBM                      | 341972243.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        53 | PA      | $52.62        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341972350.UL.NBM                      | 341972350.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       143 | PA      | $142.57       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343598409.UL.NBM                      | 343598409.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       271 | PA      | $268.11       | 0.00%             | 2026-05-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343599036.UL.NBM                      | 343599036.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       192 | PA      | $190.22       | 0.00%             | 2026-05-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341740697.UL.NBM                      | 341740697.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       500 | PA      | $496.64       | 0.00%             | 2026-07-21      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341741452.UL.NBM                      | 341741452.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3181 | PA      | $2926.45      | 0.00%             | 2027-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9739628.SQ.NBM                        | 9739628.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1677 | PA      | $1573.22      | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9739708.SQ.NBM                        | 9739708.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     38435 | PA      | $37418.43     | 0.05%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342982008.UL.NBM                      | 342982008.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        65 | PA      | $8.29         | 0.00%             | 2035-11-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342982159.UL.NBM                      | 342982159.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       319 | PA      | $302.94       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5872610.UP.NBM                     | DRB5872610.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6152 | PA      | $5968.92      | 0.01%             | 2030-08-26      | Fixed         | 22.97%                | Yes           |                  3 | On Loan: No      |
| DRB5872619.UP.NBM                     | DRB5872619.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2251 | PA      | $217.60       | 0.00%             | 2028-08-26      | Fixed         | 17.14%                | Yes           |                  3 | On Loan: No      |
| 342091295.UL.NBM                      | 342091295.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       215 | PA      | $212.53       | 0.00%             | 2026-05-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342091532.UL.NBM                      | 342091532.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       110 | PA      | $109.52       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341741457.UL.NBM                      | 341741457.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       132 | PA      | $131.20       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341741675.UL.NBM                      | 341741675.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       198 | PA      | $196.62       | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9855963.SQ.NBM                        | 9855963.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3732 | PA      | $3447.30      | 0.00%             | 2027-03-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9856018.SQ.NBM                        | 9856018.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17237 | PA      | $16365.57     | 0.02%             | 2027-03-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342982469.UL.NBM                      | 342982469.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       234 | PA      | $232.92       | 0.00%             | 2026-02-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342982755.UL.NBM                      | 342982755.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       402 | PA      | $91.54        | 0.00%             | 2035-11-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342926962.UL.NBM                      | 342926962.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       274 | PA      | $271.87       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342927077.UL.NBM                      | 342927077.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       282 | PA      | $279.91       | 0.00%             | 2026-05-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341773656.UL.NBM                      | 341773656.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        54 | PA      | $53.89        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341773958.UL.NBM                      | 341773958.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       250 | PA      | $248.94       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341792282.UL.NBM                      | 341792282.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       705 | PA      | $647.10       | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341792332.UL.NBM                      | 341792332.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       241 | PA      | $239.89       | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342091982.UL.NBM                      | 342091982.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       643 | PA      | $636.24       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342092036.UL.NBM                      | 342092036.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       180 | PA      | $178.10       | 0.00%             | 2026-05-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343031119.UL.NBM                      | 343031119.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       365 | PA      | $362.99       | 0.00%             | 2026-02-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343031336.UL.NBM                      | 343031336.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       207 | PA      | $204.67       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9856180.SQ.NBM                        | 9856180.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       581 | PA      | $571.65       | 0.00%             | 2027-03-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9856197.SQ.NBM                        | 9856197.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3330 | PA      | $3164.75      | 0.00%             | 2027-03-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10134400.SQ.NBM                       | 10134400.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2492 | PA      | $2362.75      | 0.00%             | 2027-05-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341201644.UL.NBM                      | 341201644.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       269 | PA      | $266.51       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9973370.SQ.NBM                        | 9973370.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1440 | PA      | $1345.82      | 0.00%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9973404.SQ.NBM                        | 9973404.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10056 | PA      | $8935.60      | 0.01%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341202329.UL.NBM                      | 341202329.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        84 | PA      | $83.93        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341202649.UL.NBM                      | 341202649.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       208 | PA      | $206.15       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343031402.UL.NBM                      | 343031402.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.19        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343032340.UL.NBM                      | 343032340.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        37 | PA      | $36.79        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342092053.UL.NBM                      | 342092053.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       606 | PA      | $601.99       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342092734.UL.NBM                      | 342092734.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        76 | PA      | $75.83        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342927141.UL.NBM                      | 342927141.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3990 | PA      | $3949.09      | 0.01%             | 2027-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342927242.UL.NBM                      | 342927242.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       275 | PA      | $261.08       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9887536.SQ.NBM                        | 9887536.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7588 | PA      | $7107.08      | 0.01%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9887872.SQ.NBM                        | 9887872.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5916 | PA      | $5446.50      | 0.01%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9995908.SQ.NBM                        | 9995908.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1329 | PA      | $1249.35      | 0.00%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9995934.SQ.NBM                        | 9995934.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7791 | PA      | $7115.86      | 0.01%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343036675.UL.NBM                      | 343036675.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1051 | PA      | $1039.74      | 0.00%             | 2026-07-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343036696.UL.NBM                      | 343036696.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       516 | PA      | $478.66       | 0.00%             | 2026-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341203241.UL.NBM                      | 341203241.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       120 | PA      | $17.78        | 0.00%             | 2035-11-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341215169.UL.NBM                      | 341215169.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        39 | PA      | $38.50        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342092786.UL.NBM                      | 342092786.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        86 | PA      | $85.66        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342092895.UL.NBM                      | 342092895.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        91 | PA      | $91.22        | 0.00%             | 2026-02-22      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 9887995.SQ.NBM                        | 9887995.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2231 | PA      | $2120.16      | 0.00%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9888028.SQ.NBM                        | 9888028.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3356 | PA      | $2099.58      | 0.00%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9997663.SQ.NBM                        | 9997663.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     45246 | PA      | $42882.81     | 0.06%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9998267.SQ.NBM                        | 9998267.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9082 | PA      | $8595.01      | 0.01%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9740663.SQ.NBM                        | 9740663.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       680 | PA      | $590.79       | 0.00%             | 2027-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9761550.SQ.NBM                        | 9761550.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17276 | PA      | $15015.03     | 0.02%             | 2027-03-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342927368.UL.NBM                      | 342927368.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2240 | PA      | $2206.02      | 0.00%             | 2027-08-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342927453.UL.NBM                      | 342927453.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       297 | PA      | $294.64       | 0.00%             | 2026-05-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342912637.UL.NBM                      | 342912637.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        51 | PA      | $50.80        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342912669.UL.NBM                      | 342912669.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        99 | PA      | $98.82        | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| DRB5872659.UP.NBM                     | DRB5872659.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7526 | PA      | $7626.39      | 0.01%             | 2030-08-26      | Fixed         | 29.97%                | Yes           |                  3 | On Loan: No      |
| DRB5872675.UP.NBM                     | DRB5872675.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1943 | PA      | $2027.70      | 0.00%             | 2030-08-26      | Fixed         | 31.82%                | Yes           |                  3 | On Loan: No      |
| 343036709.UL.NBM                      | 343036709.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       897 | PA      | $888.16       | 0.00%             | 2026-07-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343037065.UL.NBM                      | 343037065.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       239 | PA      | $236.89       | 0.00%             | 2026-05-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 9935220.SQ.NBM                        | 9935220.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3703 | PA      | $3414.04      | 0.00%             | 2027-04-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9935655.SQ.NBM                        | 9935655.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2812 | PA      | $2576.41      | 0.00%             | 2027-04-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341792782.UL.NBM                      | 341792782.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2448 | PA      | $485.44       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341792895.UL.NBM                      | 341792895.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       250 | PA      | $48.58        | 0.00%             | 2035-11-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9998405.SQ.NBM                        | 9998405.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     24253 | PA      | $22884.12     | 0.03%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9998709.SQ.NBM                        | 9998709.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9309 | PA      | $8807.47      | 0.01%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342927494.UL.NBM                      | 342927494.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       320 | PA      | $303.90       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342927545.UL.NBM                      | 342927545.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       767 | PA      | $759.08       | 0.00%             | 2026-07-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341867877.UL.NBM                      | 341867877.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       241 | PA      | $239.56       | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341868293.UL.NBM                      | 341868293.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1275 | PA      | $1185.35      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343058571.UL.NBM                      | 343058571.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       116 | PA      | $115.46       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343058601.UL.NBM                      | 343058601.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       174 | PA      | $172.07       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341802262.UL.NBM                      | 341802262.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       105 | PA      | $104.06       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341802499.UL.NBM                      | 341802499.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1252 | PA      | $1236.85      | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9935697.SQ.NBM                        | 9935697.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7720 | PA      | $6728.75      | 0.01%             | 2027-04-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9935818.SQ.NBM                        | 9935818.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14212 | PA      | $12933.40     | 0.02%             | 2027-04-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5875893.UP.NBM                     | DRB5875893.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1055 | PA      | $1056.45      | 0.00%             | 2028-08-26      | Fixed         | 26.22%                | Yes           |                  3 | On Loan: No      |
| DRB5875895.UP.NBM                     | DRB5875895.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2040 | PA      | $2068.12      | 0.00%             | 2030-08-26      | Fixed         | 29.86%                | Yes           |                  3 | On Loan: No      |
| 9998776.SQ.NBM                        | 9998776.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1418 | PA      | $1319.83      | 0.00%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9998795.SQ.NBM                        | 9998795.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     28944 | PA      | $26563.29     | 0.04%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341802529.UL.NBM                      | 341802529.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       123 | PA      | $122.87       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341802604.UL.NBM                      | 341802604.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       133 | PA      | $132.64       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343062011.UL.NBM                      | 343062011.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1733 | PA      | $1720.85      | 0.00%             | 2026-05-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343062144.UL.NBM                      | 343062144.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       617 | PA      | $611.70       | 0.00%             | 2026-05-25      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 9936008.SQ.NBM                        | 9936008.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3549 | PA      | $3364.17      | 0.00%             | 2027-04-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9943737.SQ.NBM                        | 9943737.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5204 | PA      | $4930.71      | 0.01%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342913124.UL.NBM                      | 342913124.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2582 | PA      | $2551.10      | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342913173.UL.NBM                      | 342913173.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        40 | PA      | $40.07        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9999139.SQ.NBM                        | 9999139.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4969 | PA      | $4631.93      | 0.01%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9999174.SQ.NBM                        | 9999174.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4182 | PA      | $3894.88      | 0.01%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341810716.UL.NBM                      | 341810716.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1254 | PA      | $1241.77      | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341810743.UL.NBM                      | 341810743.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1969 | PA      | $1795.80      | 0.00%             | 2027-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343062151.UL.NBM                      | 343062151.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       157 | PA      | $156.18       | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343062290.UL.NBM                      | 343062290.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       405 | PA      | $402.50       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9943799.SQ.NBM                        | 9943799.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5550 | PA      | $5258.61      | 0.01%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9943859.SQ.NBM                        | 9943859.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4286 | PA      | $4063.83      | 0.01%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9999206.SQ.NBM                        | 9999206.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1206 | PA      | $1132.71      | 0.00%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9999216.SQ.NBM                        | 9999216.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3244 | PA      | $3054.99      | 0.00%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5875902.UP.NBM                     | DRB5875902.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1150 | PA      | $1111.40      | 0.00%             | 2030-08-26      | Fixed         | 26.89%                | Yes           |                  3 | On Loan: No      |
| DRB5875915.UP.NBM                     | DRB5875915.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4742 | PA      | $5018.30      | 0.01%             | 2030-08-26      | Fixed         | 32.16%                | Yes           |                  3 | On Loan: No      |
| 341810798.UL.NBM                      | 341810798.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       254 | PA      | $251.34       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341810802.UL.NBM                      | 341810802.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       196 | PA      | $184.84       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9943914.SQ.NBM                        | 9943914.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     47797 | PA      | $45316.83     | 0.06%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9964427.SQ.NBM                        | 9964427.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       917 | PA      | $867.21       | 0.00%             | 2027-04-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343064234.UL.NBM                      | 343064234.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       141 | PA      | $140.23       | 0.00%             | 2026-05-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343064259.UL.NBM                      | 343064259.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       812 | PA      | $808.19       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342093000.UL.NBM                      | 342093000.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       314 | PA      | $311.06       | 0.00%             | 2026-05-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342093018.UL.NBM                      | 342093018.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1488 | PA      | $1410.19      | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341845248.UL.NBM                      | 341845248.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       192 | PA      | $190.51       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341845541.UL.NBM                      | 341845541.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        78 | PA      | $77.02        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9999238.SQ.NBM                        | 9999238.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2798 | PA      | $1396.28      | 0.00%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9999273.SQ.NBM                        | 9999273.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1572 | PA      | $1524.48      | 0.00%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9964461.SQ.NBM                        | 9964461.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1998 | PA      | $1895.37      | 0.00%             | 2027-04-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9964544.SQ.NBM                        | 9964544.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2843 | PA      | $2650.79      | 0.00%             | 2027-04-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343064403.UL.NBM                      | 343064403.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       401 | PA      | $396.87       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343064548.UL.NBM                      | 343064548.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       178 | PA      | $177.18       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341845546.UL.NBM                      | 341845546.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       206 | PA      | $204.24       | 0.00%             | 2026-05-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341845784.UL.NBM                      | 341845784.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       891 | PA      | $825.03       | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5875954.UP.NBM                     | DRB5875954.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19297 | PA      | $19514.86     | 0.03%             | 2030-08-26      | Fixed         | 29.71%                | Yes           |                  3 | On Loan: No      |
| DRB5875958.UP.NBM                     | DRB5875958.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2232 | PA      | $2218.87      | 0.00%             | 2028-08-26      | Fixed         | 25.79%                | Yes           |                  3 | On Loan: No      |
| 341845788.UL.NBM                      | 341845788.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1063 | PA      | $1050.85      | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341845858.UL.NBM                      | 341845858.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       112 | PA      | $111.53       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342093456.UL.NBM                      | 342093456.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       272 | PA      | $56.10        | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342093507.UL.NBM                      | 342093507.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       801 | PA      | $740.13       | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9964624.SQ.NBM                        | 9964624.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11444 | PA      | $10805.85     | 0.01%             | 2027-04-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9968232.SQ.NBM                        | 9968232.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     28019 | PA      | $24331.29     | 0.03%             | 2027-04-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342137016.UL.NBM                      | 342137016.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.56        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342137208.UL.NBM                      | 342137208.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       211 | PA      | $208.41       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342644094.UL.NBM                      | 342644094.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       684 | PA      | $677.40       | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342644111.UL.NBM                      | 342644111.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       410 | PA      | $403.39       | 0.00%             | 2027-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341868896.UL.NBM                      | 341868896.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       143 | PA      | $141.64       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341869897.UL.NBM                      | 341869897.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       516 | PA      | $510.50       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341846959.UL.NBM                      | 341846959.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1021 | PA      | $941.94       | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341848025.UL.NBM                      | 341848025.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       253 | PA      | $252.13       | 0.00%             | 2026-05-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9968516.SQ.NBM                        | 9968516.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19544 | PA      | $18321.54     | 0.03%             | 2027-04-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9968752.SQ.NBM                        | 9968752.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16649 | PA      | $14458.22     | 0.02%             | 2027-04-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342093864.UL.NBM                      | 342093864.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       866 | PA      | $869.42       | 0.00%             | 2026-07-22      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342093878.UL.NBM                      | 342093878.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       857 | PA      | $846.97       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9999306.SQ.NBM                        | 9999306.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21250 | PA      | $19393.62     | 0.03%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9999485.SQ.NBM                        | 9999485.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3403 | PA      | $3171.49      | 0.00%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343066793.UL.NBM                      | 343066793.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        54 | PA      | $53.55        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343066873.UL.NBM                      | 343066873.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       600 | PA      | $264.21       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341848795.UL.NBM                      | 341848795.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       528 | PA      | $488.05       | 0.00%             | 2026-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341849235.UL.NBM                      | 341849235.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        41 | PA      | $8.37         | 0.00%             | 2035-11-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9971635.SQ.NBM                        | 9971635.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       524 | PA      | $508.27       | 0.00%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| CBM5858128.UP.NBM                     | CBM5858128.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2293 | PA      | $2349.56      | 0.00%             | 2030-08-22      | Fixed         | 31.17%                | Yes           |                  3 | On Loan: No      |
| DRB5875962.UP.NBM                     | DRB5875962.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4767 | PA      | $476.62       | 0.00%             | 2030-08-26      | Fixed         | 30.07%                | Yes           |                  3 | On Loan: No      |
| FW5872617.UP.NBM                      | FW5872617.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       994 | PA      | $926.20       | 0.00%             | 2028-08-26      | Fixed         | 19.03%                | Yes           |                  3 | On Loan: No      |
| 342094797.UL.NBM                      | 342094797.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       158 | PA      | $156.68       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342094810.UL.NBM                      | 342094810.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       168 | PA      | $167.45       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9999517.SQ.NBM                        | 9999517.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17061 | PA      | $15832.28     | 0.02%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9999729.SQ.NBM                        | 9999729.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7597 | PA      | $7179.82      | 0.01%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341849624.UL.NBM                      | 341849624.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       113 | PA      | $112.03       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341849860.UL.NBM                      | 341849860.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       364 | PA      | $360.52       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343066935.UL.NBM                      | 343066935.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       291 | PA      | $290.00       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343073090.UL.NBM                      | 343073090.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        81 | PA      | $80.08        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341215455.UL.NBM                      | 341215455.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       352 | PA      | $348.35       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341215918.UL.NBM                      | 341215918.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       272 | PA      | $269.76       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342095299.UL.NBM                      | 342095299.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       541 | PA      | $124.92       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342095375.UL.NBM                      | 342095375.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        99 | PA      | $95.50        | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9999860.SQ.NBM                        | 9999860.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2093 | PA      | $1965.60      | 0.00%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9999892.SQ.NBM                        | 9999892.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7970 | PA      | $7528.68      | 0.01%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341850294.UL.NBM                      | 341850294.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       147 | PA      | $11.83        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341850445.UL.NBM                      | 341850445.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2319 | PA      | $2201.37      | 0.00%             | 2026-08-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5872701.UP.NBM                      | FW5872701.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3291 | PA      | $3256.12      | 0.00%             | 2030-08-26      | Fixed         | 28.39%                | Yes           |                  3 | On Loan: No      |
| FW5872712.UP.NBM                      | FW5872712.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2216 | PA      | $2227.84      | 0.00%             | 2030-08-26      | Fixed         | 29.46%                | Yes           |                  3 | On Loan: No      |
| CBM5858140.UP.NBM                     | CBM5858140.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16349 | PA      | $16195.19     | 0.02%             | 2030-08-22      | Fixed         | 28.66%                | Yes           |                  3 | On Loan: No      |
| CBM5858148.UP.NBM                     | CBM5858148.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2219 | PA      | $2189.28      | 0.00%             | 2030-08-22      | Fixed         | 24.81%                | Yes           |                  3 | On Loan: No      |
| 341869902.UL.NBM                      | 341869902.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       194 | PA      | $192.78       | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341869927.UL.NBM                      | 341869927.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        64 | PA      | $64.11        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342095706.UL.NBM                      | 342095706.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        58 | PA      | $13.64        | 0.00%             | 2035-11-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342096473.UL.NBM                      | 342096473.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3194 | PA      | $3159.94      | 0.00%             | 2026-07-22      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 341850627.UL.NBM                      | 341850627.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       560 | PA      | $554.55       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341851181.UL.NBM                      | 341851181.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       140 | PA      | $134.66       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9999986.SQ.NBM                        | 9999986.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11454 | PA      | $10628.68     | 0.01%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| CBM5857981.UP.NBM                     | CBM5857981.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1261 | PA      | $1274.67      | 0.00%             | 2030-08-22      | Fixed         | 29.84%                | Yes           |                  3 | On Loan: No      |
| FW5872722.UP.NBM                      | FW5872722.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5748 | PA      | $5453.10      | 0.01%             | 2030-08-26      | Fixed         | 22.42%                | Yes           |                  3 | On Loan: No      |
| FW5872778.UP.NBM                      | FW5872778.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2729 | PA      | $2594.77      | 0.00%             | 2028-08-26      | Fixed         | 16.23%                | Yes           |                  3 | On Loan: No      |
| 341216092.UL.NBM                      | 341216092.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       800 | PA      | $790.47       | 0.00%             | 2026-07-19      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341216390.UL.NBM                      | 341216390.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       145 | PA      | $140.52       | 0.00%             | 2026-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342096545.UL.NBM                      | 342096545.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        73 | PA      | $72.09        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342096633.UL.NBM                      | 342096633.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       249 | PA      | $247.40       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341323134.UL.NBM                      | 341323134.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        59 | PA      | $58.12        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341323607.UL.NBM                      | 341323607.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1873 | PA      | $1841.34      | 0.00%             | 2027-08-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341835995.UL.NBM                      | 341835995.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       252 | PA      | $249.59       | 0.00%             | 2026-05-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341836966.UL.NBM                      | 341836966.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       186 | PA      | $184.59       | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341851843.UL.NBM                      | 341851843.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       507 | PA      | $509.34       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341854007.UL.NBM                      | 341854007.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1183 | PA      | $1168.20      | 0.00%             | 2026-07-21      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343075554.UL.NBM                      | 343075554.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       209 | PA      | $205.61       | 0.00%             | 2026-06-05      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343075555.UL.NBM                      | 343075555.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       260 | PA      | $257.93       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5872779.UP.NBM                      | FW5872779.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6122 | PA      | $6440.56      | 0.01%             | 2030-08-26      | Fixed         | 32.35%                | Yes           |                  3 | On Loan: No      |
| FW5872781.UP.NBM                      | FW5872781.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4553 | PA      | $4547.84      | 0.01%             | 2030-08-26      | Fixed         | 28.89%                | Yes           |                  3 | On Loan: No      |
| CBM5858071.UP.NBM                     | CBM5858071.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2118 | PA      | $2074.37      | 0.00%             | 2030-08-22      | Fixed         | 27.85%                | Yes           |                  3 | On Loan: No      |
| CBM5858083.UP.NBM                     | CBM5858083.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4494 | PA      | $4525.47      | 0.01%             | 2028-08-22      | Fixed         | 27.39%                | Yes           |                  3 | On Loan: No      |
| 342096963.UL.NBM                      | 342096963.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       251 | PA      | $248.79       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342097260.UL.NBM                      | 342097260.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        99 | PA      | $98.99        | 0.00%             | 2026-02-28      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341854867.UL.NBM                      | 341854867.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1632 | PA      | $1520.58      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341857987.UL.NBM                      | 341857987.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       107 | PA      | $105.88       | 0.00%             | 2026-02-21      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343075708.UL.NBM                      | 343075708.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       344 | PA      | $340.93       | 0.00%             | 2026-05-25      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343075859.UL.NBM                      | 343075859.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       933 | PA      | $928.48       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| FW5872789.UP.NBM                      | FW5872789.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21140 | PA      | $20140.41     | 0.03%             | 2030-08-26      | Fixed         | 22.65%                | Yes           |                  3 | On Loan: No      |
| FW5872800.UP.NBM                      | FW5872800.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3891 | PA      | $3640.90      | 0.01%             | 2030-08-26      | Fixed         | 24.74%                | Yes           |                  3 | On Loan: No      |
| CBM5858563.UP.NBM                     | CBM5858563.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2872 | PA      | $2799.34      | 0.00%             | 2028-08-22      | Fixed         | 28.68%                | Yes           |                  3 | On Loan: No      |
| CBM5858593.UP.NBM                     | CBM5858593.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1005 | PA      | $1027.19      | 0.00%             | 2030-08-22      | Fixed         | 30.97%                | Yes           |                  3 | On Loan: No      |
| 341869938.UL.NBM                      | 341869938.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       779 | PA      | $769.49       | 0.00%             | 2026-07-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341870025.UL.NBM                      | 341870025.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       296 | PA      | $16.80        | 0.00%             | 2035-11-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341858490.UL.NBM                      | 341858490.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       133 | PA      | $128.89       | 0.00%             | 2026-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341858696.UL.NBM                      | 341858696.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       163 | PA      | $161.81       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343077568.UL.NBM                      | 343077568.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       248 | PA      | $245.51       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343077701.UL.NBM                      | 343077701.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       212 | PA      | $209.70       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5858611.UP.NBM                     | CBM5858611.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1261 | PA      | $1278.09      | 0.00%             | 2030-08-22      | Fixed         | 30.01%                | Yes           |                  3 | On Loan: No      |
| CBM5858665.UP.NBM                     | CBM5858665.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17606 | PA      | $17819.83     | 0.02%             | 2030-08-22      | Fixed         | 30.03%                | Yes           |                  3 | On Loan: No      |
| FW5872828.UP.NBM                      | FW5872828.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2200 | PA      | $2155.11      | 0.00%             | 2030-08-26      | Fixed         | 17.02%                | Yes           |                  3 | On Loan: No      |
| FW5872850.UP.NBM                      | FW5872850.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3133 | PA      | $2933.51      | 0.00%             | 2028-08-26      | Fixed         | 24.48%                | Yes           |                  3 | On Loan: No      |
| 342137380.UL.NBM                      | 342137380.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       128 | PA      | $126.86       | 0.00%             | 2026-02-22      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342137530.UL.NBM                      | 342137530.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       350 | PA      | $347.83       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343077776.UL.NBM                      | 343077776.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       116 | PA      | $115.22       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343077863.UL.NBM                      | 343077863.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       404 | PA      | $401.16       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342927622.UL.NBM                      | 342927622.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       449 | PA      | $427.86       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342927688.UL.NBM                      | 342927688.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       317 | PA      | $314.07       | 0.00%             | 2026-05-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| CBM5864551.UP.NBM                     | CBM5864551.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3062 | PA      | $3131.39      | 0.00%             | 2030-08-25      | Fixed         | 30.68%                | Yes           |                  3 | On Loan: No      |
| CBM5864843.UP.NBM                     | CBM5864843.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3595 | PA      | $3760.72      | 0.01%             | 2030-08-25      | Fixed         | 32.00%                | Yes           |                  3 | On Loan: No      |
| 341858982.UL.NBM                      | 341858982.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       103 | PA      | $102.32       | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341866280.UL.NBM                      | 341866280.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        69 | PA      | $68.78        | 0.00%             | 2026-02-21      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| FW5872853.UP.NBM                      | FW5872853.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11212 | PA      | $10687.27     | 0.01%             | 2030-08-26      | Fixed         | 25.75%                | Yes           |                  3 | On Loan: No      |
| FW5872876.UP.NBM                      | FW5872876.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6112 | PA      | $6253.18      | 0.01%             | 2030-08-26      | Fixed         | 30.48%                | Yes           |                  3 | On Loan: No      |
| 343078087.UL.NBM                      | 343078087.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       643 | PA      | $598.86       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343078117.UL.NBM                      | 343078117.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       334 | PA      | $331.07       | 0.00%             | 2026-05-25      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 341521704.UL.NBM                      | 341521704.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       571 | PA      | $565.32       | 0.00%             | 2026-05-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341521905.UL.NBM                      | 341521905.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        83 | PA      | $82.97        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341866508.UL.NBM                      | 341866508.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        41 | PA      | $40.34        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341866775.UL.NBM                      | 341866775.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       340 | PA      | $337.21       | 0.00%             | 2026-05-21      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343001496.UL.NBM                      | 343001496.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       182 | PA      | $181.52       | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343001726.UL.NBM                      | 343001726.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       144 | PA      | $143.24       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5872906.UP.NBM                      | FW5872906.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1941 | PA      | $1853.59      | 0.00%             | 2030-08-26      | Fixed         | 19.89%                | Yes           |                  3 | On Loan: No      |
| FW5872911.UP.NBM                      | FW5872911.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1356 | PA      | $1351.44      | 0.00%             | 2030-08-26      | Fixed         | 28.74%                | Yes           |                  3 | On Loan: No      |
| 343078149.UL.NBM                      | 343078149.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       558 | PA      | $549.50       | 0.00%             | 2026-06-04      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343078197.UL.NBM                      | 343078197.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1136 | PA      | $1118.34      | 0.00%             | 2027-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342927725.UL.NBM                      | 342927725.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       297 | PA      | $282.85       | 0.00%             | 2026-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342927767.UL.NBM                      | 342927767.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        30 | PA      | $30.20        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341867243.UL.NBM                      | 341867243.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        63 | PA      | $62.87        | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341938703.UL.NBM                      | 341938703.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       232 | PA      | $229.89       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342097531.UL.NBM                      | 342097531.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       167 | PA      | $157.14       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342097825.UL.NBM                      | 342097825.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       367 | PA      | $363.95       | 0.00%             | 2026-05-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| CBM5865056.UP.NBM                     | CBM5865056.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2714 | PA      | $2840.14      | 0.00%             | 2030-08-25      | Fixed         | 32.17%                | Yes           |                  3 | On Loan: No      |
| CBM5865345.UP.NBM                     | CBM5865345.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3680 | PA      | $3657.36      | 0.01%             | 2030-08-25      | Fixed         | 28.59%                | Yes           |                  3 | On Loan: No      |
| 343078270.UL.NBM                      | 343078270.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       215 | PA      | $46.10        | 0.00%             | 2035-11-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343078494.UL.NBM                      | 343078494.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       210 | PA      | $199.69       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342644288.UL.NBM                      | 342644288.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       795 | PA      | $742.56       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342644315.UL.NBM                      | 342644315.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       247 | PA      | $244.15       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341938766.UL.NBM                      | 341938766.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       208 | PA      | $31.22        | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341938916.UL.NBM                      | 341938916.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       186 | PA      | $184.17       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342927996.UL.NBM                      | 342927996.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       401 | PA      | $397.23       | 0.00%             | 2026-05-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342928031.UL.NBM                      | 342928031.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        45 | PA      | $44.80        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| CBM5865347.UP.NBM                     | CBM5865347.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1353 | PA      | $1288.13      | 0.00%             | 2030-08-25      | Fixed         | 25.82%                | Yes           |                  3 | On Loan: No      |
| CBM5865428.UP.NBM                     | CBM5865428.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1457 | PA      | $1519.17      | 0.00%             | 2030-08-25      | Fixed         | 31.79%                | Yes           |                  3 | On Loan: No      |
| 343078576.UL.NBM                      | 343078576.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       459 | PA      | $437.47       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343078730.UL.NBM                      | 343078730.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       352 | PA      | $349.88       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341939065.UL.NBM                      | 341939065.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2123 | PA      | $1981.88      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341939173.UL.NBM                      | 341939173.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       874 | PA      | $414.61       | 0.00%             | 2026-05-21      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342097999.UL.NBM                      | 342097999.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       175 | PA      | $173.53       | 0.00%             | 2026-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342098805.UL.NBM                      | 342098805.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       105 | PA      | $104.35       | 0.00%             | 2026-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341521916.UL.NBM                      | 341521916.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        21 | PA      | $20.49        | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341522103.UL.NBM                      | 341522103.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       392 | PA      | $385.63       | 0.00%             | 2027-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5865431.UP.NBM                     | CBM5865431.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4843 | PA      | $4820.15      | 0.01%             | 2030-08-25      | Fixed         | 28.69%                | Yes           |                  3 | On Loan: No      |
| CBM5865478.UP.NBM                     | CBM5865478.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     38127 | PA      | $40712.68     | 0.06%             | 2030-08-25      | Fixed         | 22.44%                | Yes           |                  3 | On Loan: No      |
| FW5872913.UP.NBM                      | FW5872913.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3916 | PA      | $3677.74      | 0.01%             | 2030-08-26      | Fixed         | 24.83%                | Yes           |                  3 | On Loan: No      |
| FW5873039.UP.NBM                      | FW5873039.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2033 | PA      | $2001.25      | 0.00%             | 2030-08-26      | Fixed         | 27.95%                | Yes           |                  3 | On Loan: No      |
| 341939336.UL.NBM                      | 341939336.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       109 | PA      | $108.33       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341939936.UL.NBM                      | 341939936.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       460 | PA      | $458.75       | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342928192.UL.NBM                      | 342928192.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        50 | PA      | $49.53        | 0.00%             | 2026-05-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342928369.UL.NBM                      | 342928369.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       157 | PA      | $156.58       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342100324.UL.NBM                      | 342100324.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        32 | PA      | $31.73        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342100436.UL.NBM                      | 342100436.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        77 | PA      | $76.87        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5865490.UP.NBM                     | CBM5865490.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1331 | PA      | $1243.21      | 0.00%             | 2030-08-25      | Fixed         | 24.76%                | Yes           |                  3 | On Loan: No      |
| CBM5865566.UP.NBM                     | CBM5865566.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2813 | PA      | $2862.90      | 0.00%             | 2030-08-25      | Fixed         | 30.17%                | Yes           |                  3 | On Loan: No      |
| 341940108.UL.NBM                      | 341940108.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       133 | PA      | $131.93       | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341940716.UL.NBM                      | 341940716.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5709 | PA      | $5616.06      | 0.01%             | 2027-08-21      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| L5861023.UP.NBM                       | L5861023.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     23121 | PA      | $23239.88     | 0.03%             | 2030-08-22      | Fixed         | 23.29%                | Yes           |                  3 | On Loan: No      |
| L5861024.UP.NBM                       | L5861024.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3492 | PA      | $3369.45      | 0.00%             | 2030-08-22      | Fixed         | 16.01%                | Yes           |                  3 | On Loan: No      |
| 343001810.UL.NBM                      | 343001810.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        37 | PA      | $36.81        | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343002446.UL.NBM                      | 343002446.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       163 | PA      | $162.04       | 0.00%             | 2026-02-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342100583.UL.NBM                      | 342100583.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       502 | PA      | $499.16       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342100748.UL.NBM                      | 342100748.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       186 | PA      | $185.00       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5865577.UP.NBM                     | CBM5865577.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11560 | PA      | $13261.60     | 0.02%             | 2030-08-25      | Fixed         | 31.96%                | Yes           |                  3 | On Loan: No      |
| CBM5865582.UP.NBM                     | CBM5865582.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2230 | PA      | $2222.84      | 0.00%             | 2028-08-25      | Fixed         | 30.78%                | Yes           |                  3 | On Loan: No      |
| 341941544.UL.NBM                      | 341941544.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       389 | PA      | $385.47       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341941552.UL.NBM                      | 341941552.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       152 | PA      | $151.34       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5861034.UP.NBM                       | L5861034.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8738 | PA      | $8394.30      | 0.01%             | 2030-08-22      | Fixed         | 20.54%                | Yes           |                  3 | On Loan: No      |
| L5861072.UP.NBM                       | L5861072.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9876 | PA      | $9992.87      | 0.01%             | 2030-08-22      | Fixed         | 19.05%                | Yes           |                  3 | On Loan: No      |
| 342928379.UL.NBM                      | 342928379.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       768 | PA      | $764.34       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342928968.UL.NBM                      | 342928968.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       287 | PA      | $285.71       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342101346.UL.NBM                      | 342101346.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       488 | PA      | $483.44       | 0.00%             | 2026-05-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342101460.UL.NBM                      | 342101460.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       259 | PA      | $246.00       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| CBM5865645.UP.NBM                     | CBM5865645.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     47522 | PA      | $49980.73     | 0.07%             | 2030-08-25      | Fixed         | 32.37%                | Yes           |                  3 | On Loan: No      |
| CBM5865663.UP.NBM                     | CBM5865663.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1348 | PA      | $1345.73      | 0.00%             | 2030-08-25      | Fixed         | 29.02%                | Yes           |                  3 | On Loan: No      |
| 341526096.UL.NBM                      | 341526096.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       310 | PA      | $306.78       | 0.00%             | 2026-05-20      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341526175.UL.NBM                      | 341526175.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        80 | PA      | $79.68        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341186615.UL.NBM                      | 341186615.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        91 | PA      | $90.20        | 0.00%             | 2026-02-18      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341186905.UL.NBM                      | 341186905.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       182 | PA      | $179.83       | 0.00%             | 2026-05-18      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341941581.UL.NBM                      | 341941581.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        61 | PA      | $61.05        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341941898.UL.NBM                      | 341941898.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       113 | PA      | $112.62       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5867128.UP.NBM                      | FW5867128.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1358 | PA      | $1377.87      | 0.00%             | 2030-08-25      | Fixed         | 29.98%                | Yes           |                  3 | On Loan: No      |
| FW5867742.UP.NBM                      | FW5867742.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4067 | PA      | $4033.35      | 0.01%             | 2030-08-25      | Fixed         | 28.45%                | Yes           |                  3 | On Loan: No      |
| 341341498.UL.NBM                      | 341341498.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2383 | PA      | $2226.49      | 0.00%             | 2026-07-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341341623.UL.NBM                      | 341341623.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       348 | PA      | $344.09       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342101474.UL.NBM                      | 342101474.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       357 | PA      | $353.69       | 0.00%             | 2026-05-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342101935.UL.NBM                      | 342101935.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       190 | PA      | $189.93       | 0.00%             | 2026-02-22      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 10006025.SQ.NBM                       | 10006025.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2947 | PA      | $2815.46      | 0.00%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10006145.SQ.NBM                       | 10006145.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1374 | PA      | $1262.28      | 0.00%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| CBM5865670.UP.NBM                     | CBM5865670.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1064 | PA      | $1035.90      | 0.00%             | 2030-08-25      | Fixed         | 27.25%                | Yes           |                  3 | On Loan: No      |
| CBM5865698.UP.NBM                     | CBM5865698.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1651 | PA      | $1712.91      | 0.00%             | 2030-08-25      | Fixed         | 31.46%                | Yes           |                  3 | On Loan: No      |
| 342830693.UL.NBM                      | 342830693.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       328 | PA      | $311.41       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342830948.UL.NBM                      | 342830948.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       251 | PA      | $249.51       | 0.00%             | 2026-02-24      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343078750.UL.NBM                      | 343078750.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        86 | PA      | $17.44        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343078779.UL.NBM                      | 343078779.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       187 | PA      | $186.30       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342102016.UL.NBM                      | 342102016.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4816 | PA      | $4839.46      | 0.01%             | 2026-05-22      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342102186.UL.NBM                      | 342102186.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       155 | PA      | $154.05       | 0.00%             | 2026-02-22      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342929004.UL.NBM                      | 342929004.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        65 | PA      | $65.04        | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342929030.UL.NBM                      | 342929030.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       199 | PA      | $187.61       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341941925.UL.NBM                      | 341941925.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       262 | PA      | $258.93       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341942636.UL.NBM                      | 341942636.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        74 | PA      | $73.90        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10006158.SQ.NBM                       | 10006158.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1149 | PA      | $1091.97      | 0.00%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10006178.SQ.NBM                       | 10006178.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1854 | PA      | $1728.40      | 0.00%             | 2027-04-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343078897.UL.NBM                      | 343078897.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       176 | PA      | $174.05       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343079051.UL.NBM                      | 343079051.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       432 | PA      | $427.70       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342110519.UL.NBM                      | 342110519.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2069 | PA      | $2058.92      | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342110948.UL.NBM                      | 342110948.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       452 | PA      | $448.23       | 0.00%             | 2026-05-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341526341.UL.NBM                      | 341526341.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       345 | PA      | $342.90       | 0.00%             | 2026-02-20      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341526758.UL.NBM                      | 341526758.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       244 | PA      | $242.44       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342929054.UL.NBM                      | 342929054.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       413 | PA      | $34.34        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342929133.UL.NBM                      | 342929133.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2376 | PA      | $2375.86      | 0.00%             | 2027-08-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343079178.UL.NBM                      | 343079178.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1619 | PA      | $1473.74      | 0.00%             | 2027-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343119395.UL.NBM                      | 343119395.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1350 | PA      | $1333.98      | 0.00%             | 2026-07-25      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 10018544.SQ.NBM                       | 10018544.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     44003 | PA      | $41577.44     | 0.06%             | 2027-05-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10020031.SQ.NBM                       | 10020031.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     35758 | PA      | $33876.47     | 0.05%             | 2027-05-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5867781.UP.NBM                      | FW5867781.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18783 | PA      | $19274.57     | 0.03%             | 2030-08-25      | Fixed         | 30.95%                | Yes           |                  3 | On Loan: No      |
| FW5867802.UP.NBM                      | FW5867802.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16880 | PA      | $16852.67     | 0.02%             | 2030-08-25      | Fixed         | 29.04%                | Yes           |                  3 | On Loan: No      |
| 341526850.UL.NBM                      | 341526850.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       479 | PA      | $457.57       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341526914.UL.NBM                      | 341526914.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       209 | PA      | $208.35       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5865713.UP.NBM                     | CBM5865713.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3496 | PA      | $3622.72      | 0.00%             | 2030-08-25      | Fixed         | 31.38%                | Yes           |                  3 | On Loan: No      |
| CBM5865727.UP.NBM                     | CBM5865727.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2235 | PA      | $2350.11      | 0.00%             | 2030-08-25      | Fixed         | 32.35%                | Yes           |                  3 | On Loan: No      |
| 343119793.UL.NBM                      | 343119793.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       500 | PA      | $470.13       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343120385.UL.NBM                      | 343120385.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        88 | PA      | $87.68        | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 10021088.SQ.NBM                       | 10021088.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2934 | PA      | $1935.29      | 0.00%             | 2027-05-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10021125.SQ.NBM                       | 10021125.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10193 | PA      | $9500.86      | 0.01%             | 2027-05-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342929222.UL.NBM                      | 342929222.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3148 | PA      | $3120.92      | 0.00%             | 2026-07-30      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342929230.UL.NBM                      | 342929230.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2600 | PA      | $538.47       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341526933.UL.NBM                      | 341526933.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       153 | PA      | $151.80       | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341526988.UL.NBM                      | 341526988.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       128 | PA      | $127.27       | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342831734.UL.NBM                      | 342831734.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       121 | PA      | $51.17        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342832100.UL.NBM                      | 342832100.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1460 | PA      | $1438.47      | 0.00%             | 2027-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342111145.UL.NBM                      | 342111145.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       389 | PA      | $370.71       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342111167.UL.NBM                      | 342111167.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        45 | PA      | $44.51        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10082774.SQ.NBM                       | 10082774.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     22308 | PA      | $21195.88     | 0.03%             | 2027-05-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10083270.SQ.NBM                       | 10083270.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     24926 | PA      | $23346.73     | 0.03%             | 2027-05-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343121011.UL.NBM                      | 343121011.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       294 | PA      | $291.27       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343121313.UL.NBM                      | 343121313.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       138 | PA      | $136.97       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5865731.UP.NBM                     | CBM5865731.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2228 | PA      | $2223.75      | 0.00%             | 2030-08-25      | Fixed         | 28.87%                | Yes           |                  3 | On Loan: No      |
| CBM5865800.UP.NBM                     | CBM5865800.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2721 | PA      | $2856.43      | 0.00%             | 2030-08-25      | Fixed         | 32.25%                | Yes           |                  3 | On Loan: No      |
| 341527073.UL.NBM                      | 341527073.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       896 | PA      | $885.73       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341527975.UL.NBM                      | 341527975.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2918 | PA      | $2714.56      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5867818.UP.NBM                      | FW5867818.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2136 | PA      | $2204.50      | 0.00%             | 2030-08-25      | Fixed         | 31.11%                | Yes           |                  3 | On Loan: No      |
| FW5875259.UP.NBM                      | FW5875259.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1162 | PA      | $1149.73      | 0.00%             | 2030-08-26      | Fixed         | 28.28%                | Yes           |                  3 | On Loan: No      |
| 10083738.SQ.NBM                       | 10083738.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2761 | PA      | $2615.73      | 0.00%             | 2027-05-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10083793.SQ.NBM                       | 10083793.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6163 | PA      | $5520.04      | 0.01%             | 2027-05-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343122030.UL.NBM                      | 343122030.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       853 | PA      | $849.16       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343122392.UL.NBM                      | 343122392.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1534 | PA      | $307.33       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342207208.UL.NBM                      | 342207208.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       327 | PA      | $323.46       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342207512.UL.NBM                      | 342207512.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        63 | PA      | $62.27        | 0.00%             | 2026-02-22      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| CBM5865857.UP.NBM                     | CBM5865857.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1652 | PA      | $1730.16      | 0.00%             | 2030-08-25      | Fixed         | 32.10%                | Yes           |                  3 | On Loan: No      |
| CBM5866017.UP.NBM                     | CBM5866017.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1552 | PA      | $1578.26      | 0.00%             | 2030-08-25      | Fixed         | 30.12%                | Yes           |                  3 | On Loan: No      |
| 341549122.UL.NBM                      | 341549122.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        82 | PA      | $81.58        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341549177.UL.NBM                      | 341549177.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       402 | PA      | $97.30        | 0.00%             | 2035-11-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10088122.SQ.NBM                       | 10088122.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12718 | PA      | $11981.41     | 0.02%             | 2027-05-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10088320.SQ.NBM                       | 10088320.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4498 | PA      | $4122.67      | 0.01%             | 2027-05-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343122690.UL.NBM                      | 343122690.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       403 | PA      | $174.19       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343123310.UL.NBM                      | 343123310.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       695 | PA      | $144.31       | 0.00%             | 2035-11-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5875272.UP.NBM                      | FW5875272.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5501 | PA      | $5167.85      | 0.01%             | 2030-08-26      | Fixed         | 24.92%                | Yes           |                  3 | On Loan: No      |
| FW5875276.UP.NBM                      | FW5875276.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19042 | PA      | $19946.11     | 0.03%             | 2030-08-26      | Fixed         | 32.06%                | Yes           |                  3 | On Loan: No      |
| CBM5866193.UP.NBM                     | CBM5866193.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6074 | PA      | $6023.18      | 0.01%             | 2028-08-25      | Fixed         | 30.66%                | Yes           |                  3 | On Loan: No      |
| CBM5866256.UP.NBM                     | CBM5866256.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3692 | PA      | $3874.27      | 0.01%             | 2030-08-25      | Fixed         | 32.21%                | Yes           |                  3 | On Loan: No      |
| 341323915.UL.NBM                      | 341323915.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       295 | PA      | $292.04       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341324505.UL.NBM                      | 341324505.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       237 | PA      | $234.85       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342207631.UL.NBM                      | 342207631.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       183 | PA      | $182.53       | 0.00%             | 2026-05-22      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342208233.UL.NBM                      | 342208233.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        76 | PA      | $76.27        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343123461.UL.NBM                      | 343123461.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       338 | PA      | $335.21       | 0.00%             | 2026-05-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343123509.UL.NBM                      | 343123509.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2907 | PA      | $2717.59      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342832440.UL.NBM                      | 342832440.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       255 | PA      | $254.21       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342832503.UL.NBM                      | 342832503.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       138 | PA      | $137.45       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5866388.UP.NBM                     | CBM5866388.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2011 | PA      | $1964.29      | 0.00%             | 2028-08-25      | Fixed         | 23.59%                | Yes           |                  3 | On Loan: No      |
| CBM5866460.UP.NBM                     | CBM5866460.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1253 | PA      | $1210.38      | 0.00%             | 2030-08-25      | Fixed         | 23.43%                | Yes           |                  3 | On Loan: No      |
| FW5875342.UP.NBM                      | FW5875342.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1746 | PA      | $1773.07      | 0.00%             | 2030-08-26      | Fixed         | 30.00%                | Yes           |                  3 | On Loan: No      |
| FW5875350.UP.NBM                      | FW5875350.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1160 | PA      | $1122.15      | 0.00%             | 2030-08-26      | Fixed         | 26.79%                | Yes           |                  3 | On Loan: No      |
| 10156164.SQ.NBM                       | 10156164.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21016 | PA      | $19723.98     | 0.03%             | 2027-06-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10157397.SQ.NBM                       | 10157397.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12730 | PA      | $11762.25     | 0.02%             | 2027-06-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10157714.SQ.NBM                       | 10157714.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16583 | PA      | $15563.02     | 0.02%             | 2027-06-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10158271.SQ.NBM                       | 10158271.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       767 | PA      | $696.45       | 0.00%             | 2027-06-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342220048.UL.NBM                      | 342220048.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        69 | PA      | $68.79        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342220304.UL.NBM                      | 342220304.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       701 | PA      | $697.40       | 0.00%             | 2026-02-22      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342929384.UL.NBM                      | 342929384.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        51 | PA      | $51.14        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342929395.UL.NBM                      | 342929395.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       105 | PA      | $104.59       | 0.00%             | 2026-02-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| CBM5866476.UP.NBM                     | CBM5866476.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16386 | PA      | $1103.35      | 0.00%             | 2028-08-25      | Fixed         | 26.48%                | Yes           |                  3 | On Loan: No      |
| CBM5866546.UP.NBM                     | CBM5866546.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4762 | PA      | $5005.88      | 0.01%             | 2030-08-25      | Fixed         | 32.34%                | Yes           |                  3 | On Loan: No      |
| 10167309.SQ.NBM                       | 10167309.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     28735 | PA      | $26808.58     | 0.04%             | 2027-06-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10218729.SQ.NBM                       | 10218729.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     24238 | PA      | $22382.87     | 0.03%             | 2027-06-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343123613.UL.NBM                      | 343123613.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       191 | PA      | $189.28       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343126002.UL.NBM                      | 343126002.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        98 | PA      | $97.48        | 0.00%             | 2026-02-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341324847.UL.NBM                      | 341324847.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       130 | PA      | $129.35       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341325072.UL.NBM                      | 341325072.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        62 | PA      | $61.34        | 0.00%             | 2026-02-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341549224.UL.NBM                      | 341549224.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       420 | PA      | $98.76        | 0.00%             | 2035-11-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341549269.UL.NBM                      | 341549269.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        43 | PA      | $42.60        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5866600.UP.NBM                     | CBM5866600.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9742 | PA      | $2408.67      | 0.00%             | 2030-08-25      | Fixed         | 26.13%                | Yes           |                  3 | On Loan: No      |
| CBM5866603.UP.NBM                     | CBM5866603.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       866 | PA      | $853.35       | 0.00%             | 2030-08-25      | Fixed         | 28.47%                | Yes           |                  3 | On Loan: No      |
| 10219349.SQ.NBM                       | 10219349.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5727 | PA      | $5366.56      | 0.01%             | 2027-06-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10219479.SQ.NBM                       | 10219479.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2690 | PA      | $2519.90      | 0.00%             | 2027-06-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343126113.UL.NBM                      | 343126113.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       625 | PA      | $598.73       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343126120.UL.NBM                      | 343126120.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       290 | PA      | $288.39       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342929457.UL.NBM                      | 342929457.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       372 | PA      | $368.79       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342929474.UL.NBM                      | 342929474.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        65 | PA      | $64.94        | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341325469.UL.NBM                      | 341325469.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       525 | PA      | $519.41       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341325820.UL.NBM                      | 341325820.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       469 | PA      | $464.26       | 0.00%             | 2026-05-19      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| CBM5866740.UP.NBM                     | CBM5866740.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2881 | PA      | $2857.40      | 0.00%             | 2030-08-25      | Fixed         | 28.79%                | Yes           |                  3 | On Loan: No      |
| CBM5866772.UP.NBM                     | CBM5866772.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2690 | PA      | $2650.10      | 0.00%             | 2028-08-25      | Fixed         | 29.61%                | Yes           |                  3 | On Loan: No      |
| 343437823.UL.NBM                      | 343437823.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1040 | PA      | $1028.20      | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343437912.UL.NBM                      | 343437912.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1114 | PA      | $1043.83      | 0.00%             | 2026-05-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343126188.UL.NBM                      | 343126188.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       237 | PA      | $19.69        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343131268.UL.NBM                      | 343131268.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        53 | PA      | $51.23        | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5875363.UP.NBM                      | FW5875363.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2799 | PA      | $209.12       | 0.00%             | 2030-08-26      | Fixed         | 32.01%                | Yes           |                  3 | On Loan: No      |
| FW5875377.UP.NBM                      | FW5875377.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6115 | PA      | $6486.98      | 0.01%             | 2030-08-26      | Fixed         | 32.33%                | Yes           |                  3 | On Loan: No      |
| 342929536.UL.NBM                      | 342929536.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       371 | PA      | $373.67       | 0.00%             | 2026-05-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342929550.UL.NBM                      | 342929550.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       816 | PA      | $803.96       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343438556.UL.NBM                      | 343438556.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1050 | PA      | $1048.31      | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343438625.UL.NBM                      | 343438625.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       173 | PA      | $162.56       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| CBM5866810.UP.NBM                     | CBM5866810.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6071 | PA      | $5729.35      | 0.01%             | 2028-08-25      | Fixed         | 12.19%                | Yes           |                  3 | On Loan: No      |
| CBM5866829.UP.NBM                     | CBM5866829.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1900 | PA      | $-8.68        | -0.00%            | 2028-08-25      | Fixed         | 30.30%                | Yes           |                  3 | On Loan: No      |
| 343131366.UL.NBM                      | 343131366.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       420 | PA      | $415.64       | 0.00%             | 2026-05-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343132715.UL.NBM                      | 343132715.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       307 | PA      | $304.52       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341325951.UL.NBM                      | 341325951.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        40 | PA      | $39.89        | 0.00%             | 2026-02-19      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341326251.UL.NBM                      | 341326251.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       390 | PA      | $386.09       | 0.00%             | 2026-05-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342929600.UL.NBM                      | 342929600.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       542 | PA      | $544.76       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342929604.UL.NBM                      | 342929604.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       162 | PA      | $160.39       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343497496.UL.NBM                      | 343497496.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       260 | PA      | $258.44       | 0.00%             | 2026-05-26      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343499241.UL.NBM                      | 343499241.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        51 | PA      | $51.03        | 0.00%             | 2026-02-26      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| FW5875413.UP.NBM                      | FW5875413.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2202 | PA      | $2111.70      | 0.00%             | 2028-08-26      | Fixed         | 21.75%                | Yes           |                  3 | On Loan: No      |
| FW5875416.UP.NBM                      | FW5875416.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2201 | PA      | $2099.53      | 0.00%             | 2030-08-26      | Fixed         | 22.77%                | Yes           |                  3 | On Loan: No      |
| 343133051.UL.NBM                      | 343133051.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        88 | PA      | $87.38        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343133553.UL.NBM                      | 343133553.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1454 | PA      | $1437.30      | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341549311.UL.NBM                      | 341549311.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       281 | PA      | $279.27       | 0.00%             | 2026-02-20      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341549502.UL.NBM                      | 341549502.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2164 | PA      | $2131.08      | 0.00%             | 2027-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342929627.UL.NBM                      | 342929627.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       819 | PA      | $813.33       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342930710.UL.NBM                      | 342930710.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        85 | PA      | $84.76        | 0.00%             | 2026-02-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343499850.UL.NBM                      | 343499850.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2167 | PA      | $2168.23      | 0.00%             | 2027-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343501251.UL.NBM                      | 343501251.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       876 | PA      | $871.76       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341326362.UL.NBM                      | 341326362.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        47 | PA      | $47.16        | 0.00%             | 2026-02-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341329176.UL.NBM                      | 341329176.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       121 | PA      | $120.06       | 0.00%             | 2026-02-19      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343133894.UL.NBM                      | 343133894.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       929 | PA      | $926.27       | 0.00%             | 2026-02-28      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343134276.UL.NBM                      | 343134276.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       264 | PA      | $262.57       | 0.00%             | 2026-02-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| CBM5866851.UP.NBM                     | CBM5866851.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3828 | PA      | $3664.23      | 0.01%             | 2030-08-25      | Fixed         | 26.29%                | Yes           |                  3 | On Loan: No      |
| CBM5866909.UP.NBM                     | CBM5866909.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2518 | PA      | $2506.10      | 0.00%             | 2030-08-25      | Fixed         | 28.68%                | Yes           |                  3 | On Loan: No      |
| 342930792.UL.NBM                      | 342930792.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       100 | PA      | $99.68        | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342930843.UL.NBM                      | 342930843.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       217 | PA      | $214.67       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341549580.UL.NBM                      | 341549580.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2392 | PA      | $2358.39      | 0.00%             | 2027-02-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341549599.UL.NBM                      | 341549599.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        74 | PA      | $73.59        | 0.00%             | 2026-02-20      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342832505.UL.NBM                      | 342832505.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       181 | PA      | $179.00       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342832574.UL.NBM                      | 342832574.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       427 | PA      | $424.51       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343134627.UL.NBM                      | 343134627.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       267 | PA      | $264.46       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343135059.UL.NBM                      | 343135059.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2315 | PA      | $2278.03      | 0.00%             | 2027-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5866913.UP.NBM                     | CBM5866913.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3900 | PA      | $-43.49       | -0.00%            | 2030-08-25      | Fixed         | 32.22%                | Yes           |                  3 | On Loan: No      |
| CBM5867003.UP.NBM                     | CBM5867003.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4942 | PA      | $4954.79      | 0.01%             | 2030-08-25      | Fixed         | 29.17%                | Yes           |                  3 | On Loan: No      |
| 341329199.UL.NBM                      | 341329199.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       120 | PA      | $119.32       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341329715.UL.NBM                      | 341329715.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       563 | PA      | $558.22       | 0.00%             | 2026-05-19      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343507845.UL.NBM                      | 343507845.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       244 | PA      | $242.18       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343509251.UL.NBM                      | 343509251.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       236 | PA      | $233.81       | 0.00%             | 2026-05-26      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341568510.UL.NBM                      | 341568510.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1320 | PA      | $1300.74      | 0.00%             | 2027-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341568618.UL.NBM                      | 341568618.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       239 | PA      | $236.65       | 0.00%             | 2026-07-21      | Fixed         | 25.99%                | Yes           |                  3 | On Loan: No      |
| 343135262.UL.NBM                      | 343135262.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       283 | PA      | $268.80       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343135290.UL.NBM                      | 343135290.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       587 | PA      | $46.52        | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5867040.UP.NBM                     | CBM5867040.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2332 | PA      | $2451.00      | 0.00%             | 2030-08-25      | Fixed         | 32.32%                | Yes           |                  3 | On Loan: No      |
| CBM5867072.UP.NBM                     | CBM5867072.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       961 | PA      | $929.96       | 0.00%             | 2030-08-25      | Fixed         | 20.83%                | Yes           |                  3 | On Loan: No      |
| 342832586.UL.NBM                      | 342832586.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       749 | PA      | $687.55       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342926646.UL.NBM                      | 342926646.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       114 | PA      | $38.19        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343510876.UL.NBM                      | 343510876.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       271 | PA      | $268.25       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343511928.UL.NBM                      | 343511928.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       264 | PA      | $261.93       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341568726.UL.NBM                      | 341568726.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       215 | PA      | $213.96       | 0.00%             | 2026-05-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341568791.UL.NBM                      | 341568791.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       249 | PA      | $236.26       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341329808.UL.NBM                      | 341329808.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       175 | PA      | $172.85       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9980638.SQ.NBM                        | 9980638.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     22559 | PA      | $21413.15     | 0.03%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| CBM5867121.UP.NBM                     | CBM5867121.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       891 | PA      | $862.14       | 0.00%             | 2030-08-25      | Fixed         | 23.66%                | Yes           |                  3 | On Loan: No      |
| CBM5867135.UP.NBM                     | CBM5867135.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6163 | PA      | $6001.89      | 0.01%             | 2028-08-26      | Fixed         | 23.10%                | Yes           |                  3 | On Loan: No      |
| 341187737.UL.NBM                      | 341187737.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1180 | PA      | $1090.74      | 0.00%             | 2026-07-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341191164.UL.NBM                      | 341191164.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       750 | PA      | $740.27       | 0.00%             | 2026-07-18      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343599216.UL.NBM                      | 343599216.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        97 | PA      | $96.23        | 0.00%             | 2026-02-27      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343600110.UL.NBM                      | 343600110.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       171 | PA      | $170.16       | 0.00%             | 2026-02-27      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 9761757.SQ.NBM                        | 9761757.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5664 | PA      | $5417.94      | 0.01%             | 2027-03-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9761842.SQ.NBM                        | 9761842.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1639 | PA      | $1555.97      | 0.00%             | 2027-03-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343136753.UL.NBM                      | 343136753.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        91 | PA      | $90.61        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343154886.UL.NBM                      | 343154886.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       938 | PA      | $864.43       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341568885.UL.NBM                      | 341568885.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       428 | PA      | $423.68       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341568887.UL.NBM                      | 341568887.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       881 | PA      | $871.38       | 0.00%             | 2026-07-21      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342930884.UL.NBM                      | 342930884.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1909 | PA      | $1809.55      | 0.00%             | 2026-08-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342930908.UL.NBM                      | 342930908.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       786 | PA      | $751.37       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| CBM5867151.UP.NBM                     | CBM5867151.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5772 | PA      | $5528.49      | 0.01%             | 2030-08-25      | Fixed         | 26.32%                | Yes           |                  3 | On Loan: No      |
| CBM5867225.UP.NBM                     | CBM5867225.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12898 | PA      | $13098.52     | 0.02%             | 2030-08-25      | Fixed         | 30.02%                | Yes           |                  3 | On Loan: No      |
| 9980996.SQ.NBM                        | 9980996.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11479 | PA      | $10651.77     | 0.01%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9981113.SQ.NBM                        | 9981113.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3139 | PA      | $2965.71      | 0.00%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341568930.UL.NBM                      | 341568930.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       188 | PA      | $187.30       | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341568989.UL.NBM                      | 341568989.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        99 | PA      | $95.56        | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343154890.UL.NBM                      | 343154890.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       139 | PA      | $138.85       | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343154923.UL.NBM                      | 343154923.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       546 | PA      | $507.03       | 0.00%             | 2026-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342930994.UL.NBM                      | 342930994.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       130 | PA      | $129.38       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342931045.UL.NBM                      | 342931045.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       573 | PA      | $570.44       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9981163.SQ.NBM                        | 9981163.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       566 | PA      | $532.77       | 0.00%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9981192.SQ.NBM                        | 9981192.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6731 | PA      | $6338.79      | 0.01%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341569963.UL.NBM                      | 341569963.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       218 | PA      | $83.00        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341569983.UL.NBM                      | 341569983.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        57 | PA      | $56.51        | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341219208.UL.NBM                      | 341219208.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       260 | PA      | $261.77       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341219758.UL.NBM                      | 341219758.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        99 | PA      | $97.98        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5867233.UP.NBM                     | CBM5867233.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3654 | PA      | $3739.86      | 0.01%             | 2030-08-25      | Fixed         | 30.68%                | Yes           |                  3 | On Loan: No      |
| CBM5867396.UP.NBM                     | CBM5867396.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1253 | PA      | $1307.76      | 0.00%             | 2030-08-25      | Fixed         | 28.52%                | Yes           |                  3 | On Loan: No      |
| 343155043.UL.NBM                      | 343155043.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1173 | PA      | $1095.63      | 0.00%             | 2026-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343156730.UL.NBM                      | 343156730.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       366 | PA      | $362.30       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342926836.UL.NBM                      | 342926836.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1025 | PA      | $950.28       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342945865.UL.NBM                      | 342945865.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       116 | PA      | $117.01       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9981325.SQ.NBM                        | 9981325.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2648 | PA      | $2549.78      | 0.00%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9981353.SQ.NBM                        | 9981353.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9250 | PA      | $6824.05      | 0.01%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343069023.UL.NBM                      | 343069023.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       314 | PA      | $311.12       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343069046.UL.NBM                      | 343069046.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1732 | PA      | $1713.38      | 0.00%             | 2026-07-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341220366.UL.NBM                      | 341220366.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        43 | PA      | $42.22        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341220550.UL.NBM                      | 341220550.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1544 | PA      | $1532.60      | 0.00%             | 2026-07-19      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| CBM5867450.UP.NBM                     | CBM5867450.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1443 | PA      | $1510.00      | 0.00%             | 2030-08-25      | Fixed         | 32.14%                | Yes           |                  3 | On Loan: No      |
| CBM5867777.UP.NBM                     | CBM5867777.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2389 | PA      | $2304.15      | 0.00%             | 2030-08-25      | Fixed         | 16.09%                | Yes           |                  3 | On Loan: No      |
| 341774490.UL.NBM                      | 341774490.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       299 | PA      | $296.25       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341774947.UL.NBM                      | 341774947.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1070 | PA      | $1057.94      | 0.00%             | 2026-07-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342931069.UL.NBM                      | 342931069.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        79 | PA      | $78.88        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342931073.UL.NBM                      | 342931073.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       231 | PA      | $229.23       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5875439.UP.NBM                      | FW5875439.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9742 | PA      | $9566.16      | 0.01%             | 2030-08-26      | Fixed         | 27.40%                | Yes           |                  3 | On Loan: No      |
| FW5875555.UP.NBM                      | FW5875555.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2233 | PA      | $2313.52      | 0.00%             | 2030-08-26      | Fixed         | 31.32%                | Yes           |                  3 | On Loan: No      |
| 9981501.SQ.NBM                        | 9981501.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3091 | PA      | $2815.96      | 0.00%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9981546.SQ.NBM                        | 9981546.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4606 | PA      | $4345.31      | 0.01%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341870582.UL.NBM                      | 341870582.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       381 | PA      | $363.95       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341870968.UL.NBM                      | 341870968.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        50 | PA      | $49.46        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9890685.SQ.NBM                        | 9890685.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4066 | PA      | $3818.30      | 0.01%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9890726.SQ.NBM                        | 9890726.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5725 | PA      | $5248.17      | 0.01%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342946081.UL.NBM                      | 342946081.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       215 | PA      | $202.68       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342946285.UL.NBM                      | 342946285.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       158 | PA      | $156.23       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342931267.UL.NBM                      | 342931267.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        44 | PA      | $44.11        | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342931350.UL.NBM                      | 342931350.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        74 | PA      | $73.59        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5875579.UP.NBM                      | FW5875579.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1356 | PA      | $1341.58      | 0.00%             | 2030-08-26      | Fixed         | 28.29%                | Yes           |                  3 | On Loan: No      |
| FW5875580.UP.NBM                      | FW5875580.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3593 | PA      | $3732.97      | 0.01%             | 2030-08-26      | Fixed         | 31.51%                | Yes           |                  3 | On Loan: No      |
| 9890828.SQ.NBM                        | 9890828.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1032 | PA      | $806.61       | 0.00%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9890844.SQ.NBM                        | 9890844.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3642 | PA      | $3455.44      | 0.00%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5858171.UP.NBM                     | DRB5858171.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1147 | PA      | $1092.64      | 0.00%             | 2030-08-22      | Fixed         | 15.37%                | Yes           |                  3 | On Loan: No      |
| DRB5858185.UP.NBM                     | DRB5858185.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1358 | PA      | $1386.51      | 0.00%             | 2030-08-22      | Fixed         | 30.47%                | Yes           |                  3 | On Loan: No      |
| 343069088.UL.NBM                      | 343069088.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       234 | PA      | $221.29       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343069111.UL.NBM                      | 343069111.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1394 | PA      | $1298.61      | 0.00%             | 2026-07-31      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342946300.UL.NBM                      | 342946300.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        90 | PA      | $89.80        | 0.00%             | 2026-02-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342946315.UL.NBM                      | 342946315.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1585 | PA      | $1476.06      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342931390.UL.NBM                      | 342931390.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        79 | PA      | $20.26        | 0.00%             | 2035-11-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342931392.UL.NBM                      | 342931392.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       403 | PA      | $400.21       | 0.00%             | 2026-05-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 9761857.SQ.NBM                        | 9761857.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13599 | PA      | $12858.88     | 0.02%             | 2027-03-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9765037.SQ.NBM                        | 9765037.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4264 | PA      | $4114.12      | 0.01%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9890897.SQ.NBM                        | 9890897.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4265 | PA      | $3908.47      | 0.01%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9891207.SQ.NBM                        | 9891207.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5220 | PA      | $4912.51      | 0.01%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5875622.UP.NBM                      | FW5875622.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2401 | PA      | $2473.50      | 0.00%             | 2030-08-26      | Fixed         | 31.07%                | Yes           |                  3 | On Loan: No      |
| FW5875652.UP.NBM                      | FW5875652.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2015 | PA      | $2055.06      | 0.00%             | 2030-08-26      | Fixed         | 19.49%                | Yes           |                  3 | On Loan: No      |
| 342644419.UL.NBM                      | 342644419.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       153 | PA      | $152.52       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342644443.UL.NBM                      | 342644443.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       376 | PA      | $372.86       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341872758.UL.NBM                      | 341872758.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       351 | PA      | $348.75       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341872968.UL.NBM                      | 341872968.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       310 | PA      | $308.32       | 0.00%             | 2026-02-21      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342931493.UL.NBM                      | 342931493.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       495 | PA      | $490.45       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342931548.UL.NBM                      | 342931548.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       364 | PA      | $351.46       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342969457.UL.NBM                      | 342969457.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       240 | PA      | $237.58       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342969650.UL.NBM                      | 342969650.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       692 | PA      | $263.11       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342607478.UL.NBM                      | 342607478.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        91 | PA      | $87.28        | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342607792.UL.NBM                      | 342607792.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       127 | PA      | $10.66        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5875661.UP.NBM                      | FW5875661.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1649 | PA      | $1683.87      | 0.00%             | 2030-08-26      | Fixed         | 30.35%                | Yes           |                  3 | On Loan: No      |
| FW5875688.UP.NBM                      | FW5875688.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14407 | PA      | $13879.86     | 0.02%             | 2030-08-26      | Fixed         | 20.52%                | Yes           |                  3 | On Loan: No      |
| 9891266.SQ.NBM                        | 9891266.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6917 | PA      | $6568.11      | 0.01%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9891319.SQ.NBM                        | 9891319.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     29280 | PA      | $27251.62     | 0.04%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342931579.UL.NBM                      | 342931579.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        55 | PA      | $54.99        | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342931943.UL.NBM                      | 342931943.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       400 | PA      | $396.81       | 0.00%             | 2026-05-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 9891686.SQ.NBM                        | 9891686.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4798 | PA      | $4477.22      | 0.01%             | 2027-04-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9891735.SQ.NBM                        | 9891735.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6208 | PA      | $4980.08      | 0.01%             | 2027-04-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342644456.UL.NBM                      | 342644456.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       302 | PA      | $298.80       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342644487.UL.NBM                      | 342644487.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       356 | PA      | $351.74       | 0.00%             | 2026-07-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343069158.UL.NBM                      | 343069158.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        83 | PA      | $82.34        | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343069399.UL.NBM                      | 343069399.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       702 | PA      | $693.72       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341873275.UL.NBM                      | 341873275.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       772 | PA      | $762.83       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341873581.UL.NBM                      | 341873581.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        53 | PA      | $52.87        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5875720.UP.NBM                      | FW5875720.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2712 | PA      | $2707.19      | 0.00%             | 2030-08-26      | Fixed         | 28.84%                | Yes           |                  3 | On Loan: No      |
| FW5875817.UP.NBM                      | FW5875817.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8117 | PA      | $2368.65      | 0.00%             | 2028-08-26      | Fixed         | 30.13%                | Yes           |                  3 | On Loan: No      |
| DRB5858190.UP.NBM                     | DRB5858190.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7674 | PA      | $7991.08      | 0.01%             | 2030-08-22      | Fixed         | 31.81%                | Yes           |                  3 | On Loan: No      |
| DRB5858219.UP.NBM                     | DRB5858219.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2332 | PA      | $2447.10      | 0.00%             | 2030-08-22      | Fixed         | 32.32%                | Yes           |                  3 | On Loan: No      |
| 9891787.SQ.NBM                        | 9891787.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11769 | PA      | $10958.87     | 0.02%             | 2027-04-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9891894.SQ.NBM                        | 9891894.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3412 | PA      | $3236.20      | 0.00%             | 2027-04-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9981628.SQ.NBM                        | 9981628.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12846 | PA      | $11917.24     | 0.02%             | 2027-04-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9981763.SQ.NBM                        | 9981763.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3149 | PA      | $2868.22      | 0.00%             | 2027-04-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342644533.UL.NBM                      | 342644533.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       776 | PA      | $740.69       | 0.00%             | 2026-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342644655.UL.NBM                      | 342644655.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       244 | PA      | $243.12       | 0.00%             | 2026-02-24      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343069448.UL.NBM                      | 343069448.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       582 | PA      | $577.34       | 0.00%             | 2026-05-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343069451.UL.NBM                      | 343069451.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       100 | PA      | $99.97        | 0.00%             | 2026-02-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342931959.UL.NBM                      | 342931959.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       101 | PA      | $101.02       | 0.00%             | 2026-02-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342931967.UL.NBM                      | 342931967.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       449 | PA      | $446.22       | 0.00%             | 2026-05-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9891927.SQ.NBM                        | 9891927.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1933 | PA      | $1448.35      | 0.00%             | 2027-04-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9891949.SQ.NBM                        | 9891949.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18767 | PA      | $17858.26     | 0.02%             | 2027-04-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5875885.UP.NBM                      | FW5875885.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2944 | PA      | $2846.95      | 0.00%             | 2028-08-26      | Fixed         | 27.97%                | Yes           |                  3 | On Loan: No      |
| FW5875912.UP.NBM                      | FW5875912.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9573 | PA      | $9778.89      | 0.01%             | 2030-08-26      | Fixed         | 26.94%                | Yes           |                  3 | On Loan: No      |
| DRB5858220.UP.NBM                     | DRB5858220.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3200 | PA      | $3241.83      | 0.00%             | 2030-08-22      | Fixed         | 29.96%                | Yes           |                  3 | On Loan: No      |
| DRB5858222.UP.NBM                     | DRB5858222.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15646 | PA      | $16423.30     | 0.02%             | 2030-08-22      | Fixed         | 32.35%                | Yes           |                  3 | On Loan: No      |
| 342644657.UL.NBM                      | 342644657.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       381 | PA      | $377.21       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342649804.UL.NBM                      | 342649804.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       148 | PA      | $147.66       | 0.00%             | 2026-02-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343069499.UL.NBM                      | 343069499.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       518 | PA      | $87.03        | 0.00%             | 2035-11-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343069810.UL.NBM                      | 343069810.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       641 | PA      | $631.90       | 0.00%             | 2027-08-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 9892145.SQ.NBM                        | 9892145.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     23671 | PA      | $22409.09     | 0.03%             | 2027-04-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5866157.UP.NBM                     | DRB5866157.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1650 | PA      | $1701.29      | 0.00%             | 2030-08-25      | Fixed         | 31.03%                | Yes           |                  3 | On Loan: No      |
| 342932048.UL.NBM                      | 342932048.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       284 | PA      | $282.98       | 0.00%             | 2026-02-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342932212.UL.NBM                      | 342932212.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        73 | PA      | $73.08        | 0.00%             | 2026-02-25      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 9981936.SQ.NBM                        | 9981936.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1070 | PA      | $922.37       | 0.00%             | 2027-04-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| CBM5867787.UP.NBM                     | CBM5867787.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1292 | PA      | $1266.90      | 0.00%             | 2030-08-25      | Fixed         | 27.94%                | Yes           |                  3 | On Loan: No      |
| DRB5858233.UP.NBM                     | DRB5858233.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     27435 | PA      | $27546.60     | 0.04%             | 2030-08-22      | Fixed         | 25.94%                | Yes           |                  3 | On Loan: No      |
| DRB5858254.UP.NBM                     | DRB5858254.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4199 | PA      | $4328.66      | 0.01%             | 2030-08-22      | Fixed         | 31.33%                | Yes           |                  3 | On Loan: No      |
| 342649833.UL.NBM                      | 342649833.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       227 | PA      | $226.01       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342649935.UL.NBM                      | 342649935.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2163 | PA      | $2142.35      | 0.00%             | 2027-02-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343069843.UL.NBM                      | 343069843.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       124 | PA      | $123.65       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343069918.UL.NBM                      | 343069918.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       107 | PA      | $102.91       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5866171.UP.NBM                     | DRB5866171.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15626 | PA      | $16112.35     | 0.02%             | 2030-08-25      | Fixed         | 31.17%                | Yes           |                  3 | On Loan: No      |
| DRB5866211.UP.NBM                     | DRB5866211.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2598 | PA      | $2574.42      | 0.00%             | 2028-08-25      | Fixed         | 30.16%                | Yes           |                  3 | On Loan: No      |
| 342932255.UL.NBM                      | 342932255.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1199 | PA      | $1187.10      | 0.00%             | 2026-07-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342936481.UL.NBM                      | 342936481.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       294 | PA      | $291.19       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| FW5875930.UP.NBM                      | FW5875930.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4760 | PA      | $4979.50      | 0.01%             | 2030-08-26      | Fixed         | 31.97%                | Yes           |                  3 | On Loan: No      |
| FW5875981.UP.NBM                      | FW5875981.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12048 | PA      | $11799.09     | 0.02%             | 2030-08-26      | Fixed         | 21.41%                | Yes           |                  3 | On Loan: No      |
| DRB5858259.UP.NBM                     | DRB5858259.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2203 | PA      | $2182.12      | 0.00%             | 2030-08-22      | Fixed         | 28.64%                | Yes           |                  3 | On Loan: No      |
| DRB5858265.UP.NBM                     | DRB5858265.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3777 | PA      | $3950.68      | 0.01%             | 2030-08-22      | Fixed         | 28.59%                | Yes           |                  3 | On Loan: No      |
| 343070128.UL.NBM                      | 343070128.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2400 | PA      | $2379.47      | 0.00%             | 2027-08-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343070358.UL.NBM                      | 343070358.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       247 | PA      | $245.44       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5866216.UP.NBM                     | DRB5866216.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     38853 | PA      | $39569.80     | 0.05%             | 2030-08-25      | Fixed         | 29.73%                | Yes           |                  3 | On Loan: No      |
| L5860843.UP.NBM                       | L5860843.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18254 | PA      | $17533.50     | 0.02%             | 2030-08-22      | Fixed         | 23.28%                | Yes           |                  3 | On Loan: No      |
| 342651524.UL.NBM                      | 342651524.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       360 | PA      | $344.80       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342651682.UL.NBM                      | 342651682.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       620 | PA      | $614.33       | 0.00%             | 2026-05-24      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| CBM5867833.UP.NBM                     | CBM5867833.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2607 | PA      | $2669.59      | 0.00%             | 2030-08-25      | Fixed         | 30.73%                | Yes           |                  3 | On Loan: No      |
| CBM5867895.UP.NBM                     | CBM5867895.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4754 | PA      | $4864.17      | 0.01%             | 2030-08-25      | Fixed         | 30.52%                | Yes           |                  3 | On Loan: No      |
| 341873704.UL.NBM                      | 341873704.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       211 | PA      | $210.06       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341874102.UL.NBM                      | 341874102.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       705 | PA      | $697.99       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343070370.UL.NBM                      | 343070370.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       229 | PA      | $50.99        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343080417.UL.NBM                      | 343080417.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        64 | PA      | $61.49        | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5858269.UP.NBM                     | DRB5858269.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8246 | PA      | $8046.67      | 0.01%             | 2028-08-22      | Fixed         | 28.79%                | Yes           |                  3 | On Loan: No      |
| DRB5858289.UP.NBM                     | DRB5858289.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3405 | PA      | $2911.87      | 0.00%             | 2030-08-22      | Fixed         | 22.96%                | Yes           |                  3 | On Loan: No      |
| L5857285.UP.NBM                       | L5857285.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     31355 | PA      | $29891.76     | 0.04%             | 2030-08-22      | Fixed         | 20.09%                | Yes           |                  3 | On Loan: No      |
| L5857347.UP.NBM                       | L5857347.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5602 | PA      | $5287.03      | 0.01%             | 2028-08-22      | Fixed         | 14.93%                | Yes           |                  3 | On Loan: No      |
| CBM5867911.UP.NBM                     | CBM5867911.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2519 | PA      | $2514.23      | 0.00%             | 2030-08-25      | Fixed         | 28.88%                | Yes           |                  3 | On Loan: No      |
| CBM5873186.UP.NBM                     | CBM5873186.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1240 | PA      | $1195.57      | 0.00%             | 2028-08-26      | Fixed         | 21.96%                | Yes           |                  3 | On Loan: No      |
| L5860858.UP.NBM                       | L5860858.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2099 | PA      | $1917.04      | 0.00%             | 2028-08-22      | Fixed         | 17.06%                | Yes           |                  3 | On Loan: No      |
| L5860860.UP.NBM                       | L5860860.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2850 | PA      | $2729.75      | 0.00%             | 2028-08-22      | Fixed         | 21.62%                | Yes           |                  3 | On Loan: No      |
| 342651967.UL.NBM                      | 342651967.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       486 | PA      | $481.10       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342652030.UL.NBM                      | 342652030.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        75 | PA      | $74.49        | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343081427.UL.NBM                      | 343081427.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       482 | PA      | $477.87       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343081438.UL.NBM                      | 343081438.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        87 | PA      | $86.85        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858328.UP.NBM                     | DRB5858328.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6823 | PA      | $6905.62      | 0.01%             | 2030-08-22      | Fixed         | 30.04%                | Yes           |                  3 | On Loan: No      |
| DRB5858331.UP.NBM                     | DRB5858331.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1580 | PA      | $102.22       | 0.00%             | 2030-08-22      | Fixed         | 28.89%                | Yes           |                  3 | On Loan: No      |
| 341874695.UL.NBM                      | 341874695.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       945 | PA      | $933.15       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341875238.UL.NBM                      | 341875238.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       914 | PA      | $842.07       | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342936484.UL.NBM                      | 342936484.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       247 | PA      | $245.22       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342936522.UL.NBM                      | 342936522.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       288 | PA      | $289.70       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| CBM5873209.UP.NBM                     | CBM5873209.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1016 | PA      | $1010.66      | 0.00%             | 2028-08-26      | Fixed         | 30.85%                | Yes           |                  3 | On Loan: No      |
| CBM5873255.UP.NBM                     | CBM5873255.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1652 | PA      | $1733.58      | 0.00%             | 2030-08-26      | Fixed         | 32.19%                | Yes           |                  3 | On Loan: No      |
| 343081590.UL.NBM                      | 343081590.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       229 | PA      | $227.05       | 0.00%             | 2026-05-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343081729.UL.NBM                      | 343081729.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        82 | PA      | $81.35        | 0.00%             | 2026-02-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858343.UP.NBM                     | DRB5858343.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6398 | PA      | $6445.61      | 0.01%             | 2030-08-22      | Fixed         | 29.59%                | Yes           |                  3 | On Loan: No      |
| DRB5858350.UP.NBM                     | DRB5858350.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1668 | PA      | $1631.95      | 0.00%             | 2028-08-22      | Fixed         | 29.04%                | Yes           |                  3 | On Loan: No      |
| 341875624.UL.NBM                      | 341875624.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       113 | PA      | $113.11       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341875764.UL.NBM                      | 341875764.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       468 | PA      | $446.50       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5857533.UP.NBM                       | L5857533.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12918 | PA      | $11925.83     | 0.02%             | 2030-08-22      | Fixed         | 23.91%                | Yes           |                  3 | On Loan: No      |
| L5858121.UP.NBM                       | L5858121.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1559 | PA      | $1530.11      | 0.00%             | 2028-08-22      | Fixed         | 24.18%                | Yes           |                  3 | On Loan: No      |
| L5860879.UP.NBM                       | L5860879.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5485 | PA      | $5190.75      | 0.01%             | 2030-08-22      | Fixed         | 22.19%                | Yes           |                  3 | On Loan: No      |
| L5860889.UP.NBM                       | L5860889.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1531 | PA      | $1461.27      | 0.00%             | 2030-08-22      | Fixed         | 26.18%                | Yes           |                  3 | On Loan: No      |
| 342936739.UL.NBM                      | 342936739.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       280 | PA      | $277.40       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342936812.UL.NBM                      | 342936812.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        56 | PA      | $56.21        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341875996.UL.NBM                      | 341875996.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       110 | PA      | $109.67       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341876249.UL.NBM                      | 341876249.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5097 | PA      | $5039.70      | 0.01%             | 2026-07-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858352.UP.NBM                     | DRB5858352.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6567 | PA      | $6233.63      | 0.01%             | 2030-08-22      | Fixed         | 25.69%                | Yes           |                  3 | On Loan: No      |
| DRB5858353.UP.NBM                     | DRB5858353.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9603 | PA      | $9739.98      | 0.01%             | 2030-08-22      | Fixed         | 30.04%                | Yes           |                  3 | On Loan: No      |
| L5860897.UP.NBM                       | L5860897.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2677 | PA      | $2597.33      | 0.00%             | 2031-01-22      | Fixed         | 23.10%                | Yes           |                  3 | On Loan: No      |
| L5860906.UP.NBM                       | L5860906.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4253 | PA      | $944.68       | 0.00%             | 2030-08-22      | Fixed         | 25.03%                | Yes           |                  3 | On Loan: No      |
| L5858123.UP.NBM                       | L5858123.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10437 | PA      | $9777.14      | 0.01%             | 2028-08-22      | Fixed         | 19.48%                | Yes           |                  3 | On Loan: No      |
| L5858156.UP.NBM                       | L5858156.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1813 | PA      | $1803.34      | 0.00%             | 2030-08-22      | Fixed         | 17.44%                | Yes           |                  3 | On Loan: No      |
| 342936847.UL.NBM                      | 342936847.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        93 | PA      | $92.00        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342937146.UL.NBM                      | 342937146.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       158 | PA      | $157.01       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343081933.UL.NBM                      | 343081933.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        95 | PA      | $94.15        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343082341.UL.NBM                      | 343082341.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       577 | PA      | $571.61       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341570011.UL.NBM                      | 341570011.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       447 | PA      | $418.51       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341887873.UL.NBM                      | 341887873.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       316 | PA      | $313.20       | 0.00%             | 2026-05-21      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| L5860909.UP.NBM                       | L5860909.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3970 | PA      | $3819.40      | 0.01%             | 2028-08-22      | Fixed         | 17.21%                | Yes           |                  3 | On Loan: No      |
| L5860926.UP.NBM                       | L5860926.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7488 | PA      | $7131.63      | 0.01%             | 2030-09-01      | Fixed         | 20.37%                | Yes           |                  3 | On Loan: No      |
| 9765106.SQ.NBM                        | 9765106.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3326 | PA      | $3182.63      | 0.00%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9765142.SQ.NBM                        | 9765142.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3927 | PA      | $3709.06      | 0.01%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342652917.UL.NBM                      | 342652917.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |         5 | PA      | $5.43         | 0.00%             | 2035-11-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342652946.UL.NBM                      | 342652946.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       921 | PA      | $849.03       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342937150.UL.NBM                      | 342937150.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       344 | PA      | $340.81       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342937152.UL.NBM                      | 342937152.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1588 | PA      | $1570.53      | 0.00%             | 2026-07-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| L5858159.UP.NBM                       | L5858159.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3654 | PA      | $3419.32      | 0.00%             | 2028-08-22      | Fixed         | 19.52%                | Yes           |                  3 | On Loan: No      |
| L5858908.UP.NBM                       | L5858908.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5380 | PA      | $4970.81      | 0.01%             | 2030-08-22      | Fixed         | 20.70%                | Yes           |                  3 | On Loan: No      |
| 343082472.UL.NBM                      | 343082472.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1637 | PA      | $1540.13      | 0.00%             | 2026-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343083520.UL.NBM                      | 343083520.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2638 | PA      | $2621.39      | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858376.UP.NBM                     | DRB5858376.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4747 | PA      | $4724.40      | 0.01%             | 2030-08-22      | Fixed         | 28.79%                | Yes           |                  3 | On Loan: No      |
| DRB5858386.UP.NBM                     | DRB5858386.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2040 | PA      | $2126.86      | 0.00%             | 2030-08-22      | Fixed         | 31.89%                | Yes           |                  3 | On Loan: No      |
| 341888009.UL.NBM                      | 341888009.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       733 | PA      | $729.00       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341888081.UL.NBM                      | 341888081.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       197 | PA      | $195.64       | 0.00%             | 2026-02-21      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343157336.UL.NBM                      | 343157336.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1655 | PA      | $1541.78      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343157691.UL.NBM                      | 343157691.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       402 | PA      | $398.43       | 0.00%             | 2026-05-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343083531.UL.NBM                      | 343083531.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       149 | PA      | $147.83       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343154847.UL.NBM                      | 343154847.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       353 | PA      | $351.25       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9765286.SQ.NBM                        | 9765286.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11917 | PA      | $11276.20     | 0.02%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9766229.SQ.NBM                        | 9766229.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     33038 | PA      | $31471.65     | 0.04%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5858589.UP.NBM                     | DRB5858589.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10624 | PA      | $10159.80     | 0.01%             | 2028-08-22      | Fixed         | 26.98%                | Yes           |                  3 | On Loan: No      |
| DRB5858591.UP.NBM                     | DRB5858591.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1001 | PA      | $983.00       | 0.00%             | 2030-08-22      | Fixed         | 21.98%                | Yes           |                  3 | On Loan: No      |
| L5858914.UP.NBM                       | L5858914.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17684 | PA      | $17174.72     | 0.02%             | 2030-08-22      | Fixed         | 21.10%                | Yes           |                  3 | On Loan: No      |
| L5858917.UP.NBM                       | L5858917.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     38554 | PA      | $36560.34     | 0.05%             | 2030-08-22      | Fixed         | 15.16%                | Yes           |                  3 | On Loan: No      |
| 341888422.UL.NBM                      | 341888422.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1137 | PA      | $1055.70      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342136957.UL.NBM                      | 342136957.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       343 | PA      | $341.37       | 0.00%             | 2026-02-22      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341877324.UL.NBM                      | 341877324.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       477 | PA      | $448.72       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341877518.UL.NBM                      | 341877518.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        87 | PA      | $85.94        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343169153.UL.NBM                      | 343169153.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       810 | PA      | $806.80       | 0.00%             | 2026-02-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343169213.UL.NBM                      | 343169213.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        88 | PA      | $88.07        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343159121.UL.NBM                      | 343159121.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       176 | PA      | $174.59       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343159140.UL.NBM                      | 343159140.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       128 | PA      | $127.09       | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858595.UP.NBM                     | DRB5858595.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9582 | PA      | $9913.57      | 0.01%             | 2030-08-22      | Fixed         | 27.88%                | Yes           |                  3 | On Loan: No      |
| DRB5858601.UP.NBM                     | DRB5858601.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1360 | PA      | $1423.90      | 0.00%             | 2030-08-22      | Fixed         | 32.16%                | Yes           |                  3 | On Loan: No      |
| L5858920.UP.NBM                       | L5858920.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18070 | PA      | $18570.74     | 0.03%             | 2030-08-22      | Fixed         | 23.24%                | Yes           |                  3 | On Loan: No      |
| L5858922.UP.NBM                       | L5858922.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1271 | PA      | $1182.14      | 0.00%             | 2030-08-22      | Fixed         | 21.13%                | Yes           |                  3 | On Loan: No      |
| 342153516.UL.NBM                      | 342153516.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        75 | PA      | $74.74        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342153538.UL.NBM                      | 342153538.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       465 | PA      | $462.42       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9766718.SQ.NBM                        | 9766718.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6555 | PA      | $6284.59      | 0.01%             | 2027-03-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9766818.SQ.NBM                        | 9766818.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3995 | PA      | $3509.72      | 0.00%             | 2027-03-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343169462.UL.NBM                      | 343169462.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       263 | PA      | $249.50       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343174312.UL.NBM                      | 343174312.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1274 | PA      | $1186.32      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343159293.UL.NBM                      | 343159293.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       350 | PA      | $332.42       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343159305.UL.NBM                      | 343159305.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       670 | PA      | $636.43       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5858617.UP.NBM                     | DRB5858617.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1444 | PA      | $1378.61      | 0.00%             | 2030-08-22      | Fixed         | 26.21%                | Yes           |                  3 | On Loan: No      |
| DRB5858619.UP.NBM                     | DRB5858619.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2116 | PA      | $2016.88      | 0.00%             | 2030-08-22      | Fixed         | 26.07%                | Yes           |                  3 | On Loan: No      |
| L5858925.UP.NBM                       | L5858925.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1147 | PA      | $1099.60      | 0.00%             | 2030-08-22      | Fixed         | 20.41%                | Yes           |                  3 | On Loan: No      |
| L5858928.UP.NBM                       | L5858928.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       964 | PA      | $929.73       | 0.00%             | 2030-08-22      | Fixed         | 23.41%                | Yes           |                  3 | On Loan: No      |
| 342295695.UL.NBM                      | 342295695.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       350 | PA      | $346.57       | 0.00%             | 2026-05-23      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 342295727.UL.NBM                      | 342295727.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       105 | PA      | $104.76       | 0.00%             | 2026-02-23      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 9766848.SQ.NBM                        | 9766848.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2070 | PA      | $2004.74      | 0.00%             | 2027-03-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9766865.SQ.NBM                        | 9766865.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2945 | PA      | $2796.55      | 0.00%             | 2027-03-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343159603.UL.NBM                      | 343159603.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       579 | PA      | $576.11       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343159736.UL.NBM                      | 343159736.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       232 | PA      | $230.88       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858628.UP.NBM                     | DRB5858628.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2039 | PA      | $2121.27      | 0.00%             | 2030-08-22      | Fixed         | 31.88%                | Yes           |                  3 | On Loan: No      |
| DRB5858634.UP.NBM                     | DRB5858634.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8026 | PA      | $7775.11      | 0.01%             | 2030-08-22      | Fixed         | 27.01%                | Yes           |                  3 | On Loan: No      |
| 343174322.UL.NBM                      | 343174322.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6432 | PA      | $6359.09      | 0.01%             | 2027-08-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343187710.UL.NBM                      | 343187710.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       538 | PA      | $533.91       | 0.00%             | 2026-05-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| L5858931.UP.NBM                       | L5858931.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     35231 | PA      | $34782.98     | 0.05%             | 2030-08-22      | Fixed         | 17.62%                | Yes           |                  3 | On Loan: No      |
| L5858933.UP.NBM                       | L5858933.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1239 | PA      | $1157.15      | 0.00%             | 2030-08-22      | Fixed         | 14.18%                | Yes           |                  3 | On Loan: No      |
| 342153586.UL.NBM                      | 342153586.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1168 | PA      | $1154.76      | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342405571.UL.NBM                      | 342405571.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       622 | PA      | $617.81       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343159835.UL.NBM                      | 343159835.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       153 | PA      | $152.55       | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343159940.UL.NBM                      | 343159940.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2382 | PA      | $2245.09      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341471263.UL.NBM                      | 341471263.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       111 | PA      | $109.77       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341471357.UL.NBM                      | 341471357.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       106 | PA      | $105.55       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341481845.UL.NBM                      | 341481845.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        94 | PA      | $93.30        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341483295.UL.NBM                      | 341483295.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1563 | PA      | $1482.82      | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5858639.UP.NBM                     | DRB5858639.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3010 | PA      | $3114.67      | 0.00%             | 2030-08-22      | Fixed         | 31.38%                | Yes           |                  3 | On Loan: No      |
| DRB5858670.UP.NBM                     | DRB5858670.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1360 | PA      | $1424.82      | 0.00%             | 2030-08-22      | Fixed         | 32.22%                | Yes           |                  3 | On Loan: No      |
| 9766886.SQ.NBM                        | 9766886.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3147 | PA      | $2986.37      | 0.00%             | 2027-03-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9766908.SQ.NBM                        | 9766908.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1680 | PA      | $1587.66      | 0.00%             | 2027-03-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342969981.UL.NBM                      | 342969981.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1112 | PA      | $1043.32      | 0.00%             | 2026-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342970061.UL.NBM                      | 342970061.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1811 | PA      | $1799.08      | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343187793.UL.NBM                      | 343187793.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1329 | PA      | $1314.87      | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343187795.UL.NBM                      | 343187795.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1314 | PA      | $1297.26      | 0.00%             | 2027-02-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342405718.UL.NBM                      | 342405718.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        32 | PA      | $31.43        | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342406576.UL.NBM                      | 342406576.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        68 | PA      | $67.92        | 0.00%             | 2026-02-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| L5858946.UP.NBM                       | L5858946.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1056 | PA      | $1013.25      | 0.00%             | 2030-08-22      | Fixed         | 20.32%                | Yes           |                  3 | On Loan: No      |
| L5858947.UP.NBM                       | L5858947.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7668 | PA      | $7087.64      | 0.01%             | 2030-08-22      | Fixed         | 20.88%                | Yes           |                  3 | On Loan: No      |
| DRB5858682.UP.NBM                     | DRB5858682.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5477 | PA      | $5434.53      | 0.01%             | 2028-08-22      | Fixed         | 30.47%                | Yes           |                  3 | On Loan: No      |
| DRB5858698.UP.NBM                     | DRB5858698.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2400 | PA      | $190.74       | 0.00%             | 2030-08-22      | Fixed         | 27.30%                | Yes           |                  3 | On Loan: No      |
| 341837207.UL.NBM                      | 341837207.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       441 | PA      | $438.60       | 0.00%             | 2026-02-28      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341837526.UL.NBM                      | 341837526.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        73 | PA      | $72.81        | 0.00%             | 2026-02-21      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341942781.UL.NBM                      | 341942781.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       120 | PA      | $119.73       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341942900.UL.NBM                      | 341942900.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2205 | PA      | $2169.26      | 0.00%             | 2027-08-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341216783.UL.NBM                      | 341216783.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1284 | PA      | $1187.55      | 0.00%             | 2026-07-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341220598.UL.NBM                      | 341220598.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        90 | PA      | $89.45        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9766919.SQ.NBM                        | 9766919.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       898 | PA      | $847.94       | 0.00%             | 2027-03-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9766930.SQ.NBM                        | 9766930.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17821 | PA      | $15995.52     | 0.02%             | 2027-03-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343187801.UL.NBM                      | 343187801.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5921 | PA      | $5831.10      | 0.01%             | 2027-08-26      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343189064.UL.NBM                      | 343189064.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       495 | PA      | $492.48       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341471426.UL.NBM                      | 341471426.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       409 | PA      | $405.29       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341471481.UL.NBM                      | 341471481.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       104 | PA      | $103.18       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5858958.UP.NBM                       | L5858958.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3164 | PA      | $3016.12      | 0.00%             | 2028-08-22      | Fixed         | 16.55%                | Yes           |                  3 | On Loan: No      |
| L5858968.UP.NBM                       | L5858968.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2296 | PA      | $2203.73      | 0.00%             | 2028-08-22      | Fixed         | 21.83%                | Yes           |                  3 | On Loan: No      |
| DRB5858703.UP.NBM                     | DRB5858703.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1296 | PA      | $1250.56      | 0.00%             | 2030-08-22      | Fixed         | 26.97%                | Yes           |                  3 | On Loan: No      |
| DRB5858705.UP.NBM                     | DRB5858705.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1484 | PA      | $1463.88      | 0.00%             | 2028-08-22      | Fixed         | 29.86%                | Yes           |                  3 | On Loan: No      |
| 341879689.UL.NBM                      | 341879689.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       251 | PA      | $249.38       | 0.00%             | 2026-02-21      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341879784.UL.NBM                      | 341879784.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       116 | PA      | $115.36       | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341943141.UL.NBM                      | 341943141.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       136 | PA      | $135.03       | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341943570.UL.NBM                      | 341943570.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       128 | PA      | $127.49       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343164239.UL.NBM                      | 343164239.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        72 | PA      | $71.20        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343164290.UL.NBM                      | 343164290.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2265 | PA      | $2104.19      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9767084.SQ.NBM                        | 9767084.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2232 | PA      | $2153.65      | 0.00%             | 2027-03-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9767108.SQ.NBM                        | 9767108.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2120 | PA      | $2028.06      | 0.00%             | 2027-03-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342295765.UL.NBM                      | 342295765.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       137 | PA      | $137.04       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342295838.UL.NBM                      | 342295838.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       201 | PA      | $11.68        | 0.00%             | 2025-11-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341220610.UL.NBM                      | 341220610.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       612 | PA      | $561.78       | 0.00%             | 2026-05-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341359604.UL.NBM                      | 341359604.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1010 | PA      | $996.75       | 0.00%             | 2026-08-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5858972.UP.NBM                       | L5858972.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1867 | PA      | $1779.70      | 0.00%             | 2030-08-22      | Fixed         | 22.76%                | Yes           |                  3 | On Loan: No      |
| L5859013.UP.NBM                       | L5859013.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1796 | PA      | $1685.36      | 0.00%             | 2028-08-23      | Fixed         | 19.79%                | Yes           |                  3 | On Loan: No      |
| DRB5858707.UP.NBM                     | DRB5858707.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3121 | PA      | $2982.86      | 0.00%             | 2028-08-22      | Fixed         | 21.42%                | Yes           |                  3 | On Loan: No      |
| DRB5858723.UP.NBM                     | DRB5858723.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1272 | PA      | $1067.71      | 0.00%             | 2030-08-22      | Fixed         | 29.87%                | Yes           |                  3 | On Loan: No      |
| 343164346.UL.NBM                      | 343164346.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       355 | PA      | $28.44        | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343164576.UL.NBM                      | 343164576.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       757 | PA      | $699.32       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341341700.UL.NBM                      | 341341700.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       113 | PA      | $112.91       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341341917.UL.NBM                      | 341341917.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8859 | PA      | $8765.75      | 0.01%             | 2027-08-19      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341944391.UL.NBM                      | 341944391.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       255 | PA      | $253.22       | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341944758.UL.NBM                      | 341944758.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       725 | PA      | $720.08       | 0.00%             | 2026-02-21      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 341880195.UL.NBM                      | 341880195.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       166 | PA      | $159.67       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341880631.UL.NBM                      | 341880631.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       764 | PA      | $705.51       | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343189077.UL.NBM                      | 343189077.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5582 | PA      | $5497.89      | 0.01%             | 2027-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343189098.UL.NBM                      | 343189098.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       556 | PA      | $553.56       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5859293.UP.NBM                     | DRB5859293.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2329 | PA      | $2392.71      | 0.00%             | 2030-08-22      | Fixed         | 30.89%                | Yes           |                  3 | On Loan: No      |
| DRB5859304.UP.NBM                     | DRB5859304.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     48301 | PA      | $48489.89     | 0.07%             | 2030-08-22      | Fixed         | 25.93%                | Yes           |                  3 | On Loan: No      |
| L5859042.UP.NBM                       | L5859042.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3170 | PA      | $3050.62      | 0.00%             | 2030-08-22      | Fixed         | 20.53%                | Yes           |                  3 | On Loan: No      |
| L5859070.UP.NBM                       | L5859070.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2759 | PA      | $596.82       | 0.00%             | 2030-08-22      | Fixed         | 20.08%                | Yes           |                  3 | On Loan: No      |
| 341944862.UL.NBM                      | 341944862.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       171 | PA      | $170.24       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341944931.UL.NBM                      | 341944931.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       207 | PA      | $205.96       | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343164963.UL.NBM                      | 343164963.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        84 | PA      | $83.23        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343165449.UL.NBM                      | 343165449.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       289 | PA      | $286.72       | 0.00%             | 2026-05-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342295858.UL.NBM                      | 342295858.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        48 | PA      | $48.10        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342296019.UL.NBM                      | 342296019.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       328 | PA      | $325.88       | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343189111.UL.NBM                      | 343189111.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       797 | PA      | $732.43       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343197076.UL.NBM                      | 343197076.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        36 | PA      | $35.38        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5859327.UP.NBM                     | DRB5859327.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8040 | PA      | $8008.89      | 0.01%             | 2030-08-22      | Fixed         | 28.84%                | Yes           |                  3 | On Loan: No      |
| DRB5859332.UP.NBM                     | DRB5859332.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10265 | PA      | $9702.96      | 0.01%             | 2028-08-22      | Fixed         | 20.34%                | Yes           |                  3 | On Loan: No      |
| 341948957.UL.NBM                      | 341948957.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       129 | PA      | $128.29       | 0.00%             | 2026-02-21      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341948965.UL.NBM                      | 341948965.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       153 | PA      | $152.12       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341881808.UL.NBM                      | 341881808.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       792 | PA      | $786.68       | 0.00%             | 2026-02-21      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341882049.UL.NBM                      | 341882049.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1429 | PA      | $1330.56      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343166023.UL.NBM                      | 343166023.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       117 | PA      | $116.73       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343166032.UL.NBM                      | 343166032.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        94 | PA      | $93.38        | 0.00%             | 2026-02-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343197120.UL.NBM                      | 343197120.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2721 | PA      | $2500.55      | 0.00%             | 2027-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343197132.UL.NBM                      | 343197132.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       153 | PA      | $152.62       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341949540.UL.NBM                      | 341949540.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1224 | PA      | $1132.09      | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341950004.UL.NBM                      | 341950004.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       400 | PA      | $97.55        | 0.00%             | 2035-11-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5859341.UP.NBM                     | DRB5859341.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6645 | PA      | $5499.88      | 0.01%             | 2030-08-22      | Fixed         | 28.87%                | Yes           |                  3 | On Loan: No      |
| DRB5859346.UP.NBM                     | DRB5859346.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1650 | PA      | $1697.01      | 0.00%             | 2030-08-22      | Fixed         | 30.97%                | Yes           |                  3 | On Loan: No      |
| L5859087.UP.NBM                       | L5859087.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2952 | PA      | $697.86       | 0.00%             | 2030-08-22      | Fixed         | 20.98%                | Yes           |                  3 | On Loan: No      |
| L5859091.UP.NBM                       | L5859091.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1635 | PA      | $1634.83      | 0.00%             | 2030-08-22      | Fixed         | 23.09%                | Yes           |                  3 | On Loan: No      |
| 343166837.UL.NBM                      | 343166837.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       839 | PA      | $835.51       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343166854.UL.NBM                      | 343166854.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2683 | PA      | $2507.28      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341882105.UL.NBM                      | 341882105.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       193 | PA      | $191.59       | 0.00%             | 2026-02-21      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341882536.UL.NBM                      | 341882536.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       329 | PA      | $327.27       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343197263.UL.NBM                      | 343197263.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1597 | PA      | $1487.92      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343198214.UL.NBM                      | 343198214.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       296 | PA      | $297.76       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342296085.UL.NBM                      | 342296085.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        98 | PA      | $97.70        | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342296132.UL.NBM                      | 342296132.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       175 | PA      | $173.06       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5859349.UP.NBM                     | DRB5859349.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1173 | PA      | $968.68       | 0.00%             | 2030-08-22      | Fixed         | 28.73%                | Yes           |                  3 | On Loan: No      |
| DRB5859350.UP.NBM                     | DRB5859350.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1067 | PA      | $1092.50      | 0.00%             | 2030-08-22      | Fixed         | 30.65%                | Yes           |                  3 | On Loan: No      |
| 343166950.UL.NBM                      | 343166950.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       110 | PA      | $105.69       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343167116.UL.NBM                      | 343167116.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       179 | PA      | $168.39       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341961792.UL.NBM                      | 341961792.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       102 | PA      | $101.65       | 0.00%             | 2026-02-22      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341962003.UL.NBM                      | 341962003.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       344 | PA      | $340.00       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341882710.UL.NBM                      | 341882710.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       517 | PA      | $512.06       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341883022.UL.NBM                      | 341883022.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       144 | PA      | $143.59       | 0.00%             | 2026-02-21      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 343198391.UL.NBM                      | 343198391.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        81 | PA      | $80.99        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343198496.UL.NBM                      | 343198496.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       850 | PA      | $841.08       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5859353.UP.NBM                     | DRB5859353.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6829 | PA      | $7069.64      | 0.01%             | 2030-08-22      | Fixed         | 31.55%                | Yes           |                  3 | On Loan: No      |
| DRB5859373.UP.NBM                     | DRB5859373.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3058 | PA      | $2942.40      | 0.00%             | 2028-08-22      | Fixed         | 22.25%                | Yes           |                  3 | On Loan: No      |
| 343167383.UL.NBM                      | 343167383.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       879 | PA      | $840.61       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343167449.UL.NBM                      | 343167449.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       851 | PA      | $847.45       | 0.00%             | 2026-02-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341962054.UL.NBM                      | 341962054.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       120 | PA      | $118.95       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341962090.UL.NBM                      | 341962090.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.59        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341883030.UL.NBM                      | 341883030.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       516 | PA      | $511.23       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341883067.UL.NBM                      | 341883067.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1292 | PA      | $1283.81      | 0.00%             | 2026-07-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343198652.UL.NBM                      | 343198652.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       550 | PA      | $142.52       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343199121.UL.NBM                      | 343199121.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       190 | PA      | $188.27       | 0.00%             | 2026-05-26      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| DRB5859377.UP.NBM                     | DRB5859377.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1576 | PA      | $1543.87      | 0.00%             | 2028-08-22      | Fixed         | 29.19%                | Yes           |                  3 | On Loan: No      |
| DRB5859383.UP.NBM                     | DRB5859383.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3306 | PA      | $3389.82      | 0.00%             | 2030-08-22      | Fixed         | 30.76%                | Yes           |                  3 | On Loan: No      |
| 342608897.UL.NBM                      | 342608897.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        56 | PA      | $55.91        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342609114.UL.NBM                      | 342609114.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       126 | PA      | $125.49       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341668411.UL.NBM                      | 341668411.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       315 | PA      | $300.21       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341673072.UL.NBM                      | 341673072.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       396 | PA      | $392.13       | 0.00%             | 2026-05-21      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343167531.UL.NBM                      | 343167531.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       554 | PA      | $549.51       | 0.00%             | 2026-05-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343167563.UL.NBM                      | 343167563.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1250 | PA      | $1180.44      | 0.00%             | 2026-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10223715.SQ.NBM                       | 10223715.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2711 | PA      | $2512.78      | 0.00%             | 2027-06-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10224017.SQ.NBM                       | 10224017.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10584 | PA      | $9915.61      | 0.01%             | 2027-06-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341966191.UL.NBM                      | 341966191.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        64 | PA      | $63.16        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341966276.UL.NBM                      | 341966276.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       572 | PA      | $568.58       | 0.00%             | 2026-02-22      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342137979.UL.NBM                      | 342137979.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1017 | PA      | $943.29       | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342138261.UL.NBM                      | 342138261.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       153 | PA      | $147.43       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341883123.UL.NBM                      | 341883123.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        57 | PA      | $56.39        | 0.00%             | 2026-02-21      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341883244.UL.NBM                      | 341883244.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       574 | PA      | $568.46       | 0.00%             | 2026-05-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| DRB5859395.UP.NBM                     | DRB5859395.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1159 | PA      | $1157.77      | 0.00%             | 2030-08-22      | Fixed         | 25.62%                | Yes           |                  3 | On Loan: No      |
| DRB5859423.UP.NBM                     | DRB5859423.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     38339 | PA      | $39873.55     | 0.05%             | 2030-08-22      | Fixed         | 28.22%                | Yes           |                  3 | On Loan: No      |
| 343199162.UL.NBM                      | 343199162.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        97 | PA      | $96.89        | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343200248.UL.NBM                      | 343200248.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        63 | PA      | $62.86        | 0.00%             | 2026-02-26      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341471518.UL.NBM                      | 341471518.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       238 | PA      | $236.44       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341472058.UL.NBM                      | 341472058.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        73 | PA      | $72.31        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341673779.UL.NBM                      | 341673779.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       117 | PA      | $116.68       | 0.00%             | 2026-02-21      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341673796.UL.NBM                      | 341673796.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        81 | PA      | $80.80        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341966290.UL.NBM                      | 341966290.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       657 | PA      | $653.80       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341966317.UL.NBM                      | 341966317.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       379 | PA      | $376.90       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341883568.UL.NBM                      | 341883568.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       268 | PA      | $265.21       | 0.00%             | 2026-05-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341883735.UL.NBM                      | 341883735.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       579 | PA      | $536.61       | 0.00%             | 2026-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343167675.UL.NBM                      | 343167675.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        49 | PA      | $48.73        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343168002.UL.NBM                      | 343168002.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       403 | PA      | $384.57       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5859448.UP.NBM                     | DRB5859448.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5016 | PA      | $4995.48      | 0.01%             | 2028-08-22      | Fixed         | 30.86%                | Yes           |                  3 | On Loan: No      |
| DRB5859554.UP.NBM                     | DRB5859554.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       962 | PA      | $940.05       | 0.00%             | 2030-08-22      | Fixed         | 21.52%                | Yes           |                  3 | On Loan: No      |
| 9767124.SQ.NBM                        | 9767124.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5204 | PA      | $4983.85      | 0.01%             | 2027-03-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9767165.SQ.NBM                        | 9767165.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8712 | PA      | $8194.97      | 0.01%             | 2027-03-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341966333.UL.NBM                      | 341966333.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       281 | PA      | $278.20       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341966528.UL.NBM                      | 341966528.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       417 | PA      | $413.15       | 0.00%             | 2026-05-22      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 341673863.UL.NBM                      | 341673863.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       627 | PA      | $588.10       | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341675817.UL.NBM                      | 341675817.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       192 | PA      | $190.32       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343168440.UL.NBM                      | 343168440.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       932 | PA      | $921.92       | 0.00%             | 2026-07-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343185869.UL.NBM                      | 343185869.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       813 | PA      | $809.43       | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| DRB5860351.UP.NBM                     | DRB5860351.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2131 | PA      | $2120.16      | 0.00%             | 2030-08-22      | Fixed         | 28.76%                | Yes           |                  3 | On Loan: No      |
| DRB5860370.UP.NBM                     | DRB5860370.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1916 | PA      | $1774.96      | 0.00%             | 2030-08-22      | Fixed         | 18.15%                | Yes           |                  3 | On Loan: No      |
| 341966563.UL.NBM                      | 341966563.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       114 | PA      | $113.54       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341966691.UL.NBM                      | 341966691.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       981 | PA      | $909.82       | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341968758.UL.NBM                      | 341968758.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       357 | PA      | $336.58       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341968771.UL.NBM                      | 341968771.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       127 | PA      | $122.43       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341676384.UL.NBM                      | 341676384.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       232 | PA      | $229.32       | 0.00%             | 2026-05-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341677811.UL.NBM                      | 341677811.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       233 | PA      | $231.77       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343185896.UL.NBM                      | 343185896.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        64 | PA      | $61.48        | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343185938.UL.NBM                      | 343185938.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6732 | PA      | $6682.89      | 0.01%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5860378.UP.NBM                     | DRB5860378.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1878 | PA      | $1563.80      | 0.00%             | 2030-08-22      | Fixed         | 28.84%                | Yes           |                  3 | On Loan: No      |
| DRB5860387.UP.NBM                     | DRB5860387.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11574 | PA      | $11407.75     | 0.02%             | 2030-08-22      | Fixed         | 24.91%                | Yes           |                  3 | On Loan: No      |
| 341966799.UL.NBM                      | 341966799.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       753 | PA      | $720.38       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341966912.UL.NBM                      | 341966912.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       171 | PA      | $161.01       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342139307.UL.NBM                      | 342139307.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       171 | PA      | $169.83       | 0.00%             | 2026-05-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342139352.UL.NBM                      | 342139352.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       203 | PA      | $200.62       | 0.00%             | 2026-05-22      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 341790465.UL.NBM                      | 341790465.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        95 | PA      | $94.45        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341790650.UL.NBM                      | 341790650.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       507 | PA      | $501.42       | 0.00%             | 2026-05-21      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| DRB5860445.UP.NBM                     | DRB5860445.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11819 | PA      | $11779.89     | 0.02%             | 2030-08-22      | Fixed         | 28.88%                | Yes           |                  3 | On Loan: No      |
| DRB5860447.UP.NBM                     | DRB5860447.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1356 | PA      | $1345.08      | 0.00%             | 2030-08-22      | Fixed         | 28.57%                | Yes           |                  3 | On Loan: No      |
| 343185947.UL.NBM                      | 343185947.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       353 | PA      | $351.37       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343185957.UL.NBM                      | 343185957.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       193 | PA      | $190.93       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341966967.UL.NBM                      | 341966967.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        87 | PA      | $86.56        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341966980.UL.NBM                      | 341966980.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       447 | PA      | $442.16       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341472191.UL.NBM                      | 341472191.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1609 | PA      | $1588.44      | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341472281.UL.NBM                      | 341472281.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       904 | PA      | $842.99       | 0.00%             | 2026-05-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341884008.UL.NBM                      | 341884008.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       349 | PA      | $120.34       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341885356.UL.NBM                      | 341885356.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       717 | PA      | $713.85       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341834475.UL.NBM                      | 341834475.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       221 | PA      | $219.06       | 0.00%             | 2026-05-21      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341834540.UL.NBM                      | 341834540.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1094 | PA      | $1015.47      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5860470.UP.NBM                     | DRB5860470.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2155 | PA      | $1872.94      | 0.00%             | 2030-08-22      | Fixed         | 32.28%                | Yes           |                  3 | On Loan: No      |
| DRB5860479.UP.NBM                     | DRB5860479.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       834 | PA      | $831.85       | 0.00%             | 2030-08-22      | Fixed         | 28.87%                | Yes           |                  3 | On Loan: No      |
| 343186011.UL.NBM                      | 343186011.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2540 | PA      | $2502.66      | 0.00%             | 2027-02-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343186072.UL.NBM                      | 343186072.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        95 | PA      | $94.83        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341967053.UL.NBM                      | 341967053.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       299 | PA      | $295.82       | 0.00%             | 2026-05-22      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341967144.UL.NBM                      | 341967144.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       540 | PA      | $499.52       | 0.00%             | 2026-05-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341885361.UL.NBM                      | 341885361.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        46 | PA      | $45.23        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341885417.UL.NBM                      | 341885417.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       180 | PA      | $37.03        | 0.00%             | 2035-11-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341834580.UL.NBM                      | 341834580.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       221 | PA      | $220.06       | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341834682.UL.NBM                      | 341834682.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       150 | PA      | $148.95       | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| DRB5865177.UP.NBM                     | DRB5865177.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1944 | PA      | $2036.01      | 0.00%             | 2030-08-25      | Fixed         | 32.04%                | Yes           |                  3 | On Loan: No      |
| DRB5865191.UP.NBM                     | DRB5865191.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1618 | PA      | $1611.87      | 0.00%             | 2030-08-25      | Fixed         | 28.93%                | Yes           |                  3 | On Loan: No      |
| 343186148.UL.NBM                      | 343186148.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       131 | PA      | $130.10       | 0.00%             | 2026-02-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343186410.UL.NBM                      | 343186410.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       208 | PA      | $206.21       | 0.00%             | 2026-05-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341977878.UL.NBM                      | 341977878.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       807 | PA      | $802.17       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341977936.UL.NBM                      | 341977936.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        57 | PA      | $56.68        | 0.00%             | 2026-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341885422.UL.NBM                      | 341885422.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1056 | PA      | $1044.94      | 0.00%             | 2026-07-21      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 341885511.UL.NBM                      | 341885511.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       548 | PA      | $544.88       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341834797.UL.NBM                      | 341834797.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       107 | PA      | $106.41       | 0.00%             | 2026-02-21      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342970066.UL.NBM                      | 342970066.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       133 | PA      | $132.36       | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342970092.UL.NBM                      | 342970092.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1248 | PA      | $1145.63      | 0.00%             | 2027-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5860058.UP.NBM                     | DRB5860058.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1687 | PA      | $132.69       | 0.00%             | 2028-08-22      | Fixed         | 30.56%                | Yes           |                  3 | On Loan: No      |
| DRB5860066.UP.NBM                     | DRB5860066.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2231 | PA      | $2271.89      | 0.00%             | 2030-08-22      | Fixed         | 30.30%                | Yes           |                  3 | On Loan: No      |
| DRB5865206.UP.NBM                     | DRB5865206.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1841 | PA      | $1848.00      | 0.00%             | 2030-08-25      | Fixed         | 29.24%                | Yes           |                  3 | On Loan: No      |
| DRB5865224.UP.NBM                     | DRB5865224.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4059 | PA      | $4113.68      | 0.01%             | 2030-08-25      | Fixed         | 30.04%                | Yes           |                  3 | On Loan: No      |
| 343186568.UL.NBM                      | 343186568.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       387 | PA      | $383.78       | 0.00%             | 2026-05-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343186593.UL.NBM                      | 343186593.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        80 | PA      | $79.87        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341977978.UL.NBM                      | 341977978.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1812 | PA      | $1791.19      | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341978141.UL.NBM                      | 341978141.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       167 | PA      | $166.46       | 0.00%             | 2026-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341886285.UL.NBM                      | 341886285.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       522 | PA      | $485.30       | 0.00%             | 2026-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341887036.UL.NBM                      | 341887036.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       101 | PA      | $101.15       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9767239.SQ.NBM                        | 9767239.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10213 | PA      | $9778.55      | 0.01%             | 2027-03-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9767342.SQ.NBM                        | 9767342.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3117 | PA      | $3000.42      | 0.00%             | 2027-03-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5865261.UP.NBM                     | DRB5865261.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4460 | PA      | $4505.69      | 0.01%             | 2030-08-25      | Fixed         | 29.68%                | Yes           |                  3 | On Loan: No      |
| DRB5865304.UP.NBM                     | DRB5865304.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     35883 | PA      | $36461.83     | 0.05%             | 2030-08-25      | Fixed         | 30.06%                | Yes           |                  3 | On Loan: No      |
| 343186623.UL.NBM                      | 343186623.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       216 | PA      | $203.85       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343186655.UL.NBM                      | 343186655.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       113 | PA      | $112.14       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341978147.UL.NBM                      | 341978147.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        38 | PA      | $38.19        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341979059.UL.NBM                      | 341979059.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       197 | PA      | $194.62       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341887299.UL.NBM                      | 341887299.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       212 | PA      | $212.78       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342280294.UL.NBM                      | 342280294.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       899 | PA      | $832.09       | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341472340.UL.NBM                      | 341472340.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1121 | PA      | $1107.02      | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341472474.UL.NBM                      | 341472474.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       369 | PA      | $367.03       | 0.00%             | 2026-02-20      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341979108.UL.NBM                      | 341979108.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1157 | PA      | $1143.06      | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341979465.UL.NBM                      | 341979465.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       102 | PA      | $101.74       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5865305.UP.NBM                     | DRB5865305.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4664 | PA      | $4899.03      | 0.01%             | 2030-08-25      | Fixed         | 32.28%                | Yes           |                  3 | On Loan: No      |
| DRB5865307.UP.NBM                     | DRB5865307.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4013 | PA      | $4110.12      | 0.01%             | 2030-08-25      | Fixed         | 31.17%                | Yes           |                  3 | On Loan: No      |
| 341837771.UL.NBM                      | 341837771.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       497 | PA      | $492.09       | 0.00%             | 2026-05-21      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341838921.UL.NBM                      | 341838921.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1383 | PA      | $1362.18      | 0.00%             | 2027-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342280384.UL.NBM                      | 342280384.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       272 | PA      | $269.01       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342280438.UL.NBM                      | 342280438.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       388 | PA      | $164.66       | 0.00%             | 2026-02-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341359760.UL.NBM                      | 341359760.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       206 | PA      | $204.13       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341359885.UL.NBM                      | 341359885.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       116 | PA      | $111.64       | 0.00%             | 2026-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341979758.UL.NBM                      | 341979758.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        71 | PA      | $70.72        | 0.00%             | 2026-02-22      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341979869.UL.NBM                      | 341979869.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       153 | PA      | $151.73       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342139791.UL.NBM                      | 342139791.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        45 | PA      | $44.36        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342140312.UL.NBM                      | 342140312.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       176 | PA      | $174.67       | 0.00%             | 2026-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| DRB5865308.UP.NBM                     | DRB5865308.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4587 | PA      | $4323.94      | 0.01%             | 2028-08-25      | Fixed         | 25.47%                | Yes           |                  3 | On Loan: No      |
| DRB5865326.UP.NBM                     | DRB5865326.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10946 | PA      | $10058.47     | 0.01%             | 2030-08-25      | Fixed         | 20.30%                | Yes           |                  3 | On Loan: No      |
| 342280845.UL.NBM                      | 342280845.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       133 | PA      | $128.16       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342281117.UL.NBM                      | 342281117.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1582 | PA      | $1466.05      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9767481.SQ.NBM                        | 9767481.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       758 | PA      | $735.86       | 0.00%             | 2027-03-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9789605.SQ.NBM                        | 9789605.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3256 | PA      | $3021.80      | 0.00%             | 2027-03-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341979896.UL.NBM                      | 341979896.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       218 | PA      | $216.41       | 0.00%             | 2026-02-22      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341980116.UL.NBM                      | 341980116.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        85 | PA      | $84.65        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341475134.UL.NBM                      | 341475134.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1130 | PA      | $1049.79      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341475206.UL.NBM                      | 341475206.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       328 | PA      | $148.11       | 0.00%             | 2026-05-20      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| DRB5865338.UP.NBM                     | DRB5865338.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3938 | PA      | $3931.53      | 0.01%             | 2030-08-25      | Fixed         | 29.04%                | Yes           |                  3 | On Loan: No      |
| DRB5865346.UP.NBM                     | DRB5865346.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2232 | PA      | $2294.46      | 0.00%             | 2030-08-25      | Fixed         | 30.83%                | Yes           |                  3 | On Loan: No      |
| 342281124.UL.NBM                      | 342281124.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       603 | PA      | $558.55       | 0.00%             | 2026-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342281133.UL.NBM                      | 342281133.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $66.71        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341980174.UL.NBM                      | 341980174.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       313 | PA      | $25.32        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341980323.UL.NBM                      | 341980323.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       187 | PA      | $185.60       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5860067.UP.NBM                     | DRB5860067.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6393 | PA      | $6359.48      | 0.01%             | 2030-08-22      | Fixed         | 28.75%                | Yes           |                  3 | On Loan: No      |
| DRB5865688.UP.NBM                     | DRB5865688.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3087 | PA      | $3074.44      | 0.00%             | 2030-08-25      | Fixed         | 28.87%                | Yes           |                  3 | On Loan: No      |
| 342140851.UL.NBM                      | 342140851.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1803 | PA      | $1642.64      | 0.00%             | 2027-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342140866.UL.NBM                      | 342140866.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       267 | PA      | $265.68       | 0.00%             | 2026-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| DRB5865371.UP.NBM                     | DRB5865371.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3108 | PA      | $3244.07      | 0.00%             | 2030-08-25      | Fixed         | 31.85%                | Yes           |                  3 | On Loan: No      |
| DRB5865404.UP.NBM                     | DRB5865404.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1091 | PA      | $103.48       | 0.00%             | 2030-08-25      | Fixed         | 25.95%                | Yes           |                  3 | On Loan: No      |
| 9789649.SQ.NBM                        | 9789649.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     29384 | PA      | $28638.70     | 0.04%             | 2027-03-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9789717.SQ.NBM                        | 9789717.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5299 | PA      | $5025.60      | 0.01%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341980643.UL.NBM                      | 341980643.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2113 | PA      | $2079.27      | 0.00%             | 2027-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341980698.UL.NBM                      | 341980698.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       506 | PA      | $501.54       | 0.00%             | 2026-05-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341475249.UL.NBM                      | 341475249.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       632 | PA      | $625.57       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341475456.UL.NBM                      | 341475456.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1661 | PA      | $1646.91      | 0.00%             | 2026-05-20      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342281143.UL.NBM                      | 342281143.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       260 | PA      | $257.63       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342281157.UL.NBM                      | 342281157.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1504 | PA      | $1494.22      | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5865421.UP.NBM                     | DRB5865421.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1161 | PA      | $1138.42      | 0.00%             | 2030-08-25      | Fixed         | 27.70%                | Yes           |                  3 | On Loan: No      |
| DRB5865427.UP.NBM                     | DRB5865427.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2328 | PA      | $2372.32      | 0.00%             | 2030-08-25      | Fixed         | 30.25%                | Yes           |                  3 | On Loan: No      |
| 343186735.UL.NBM                      | 343186735.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       186 | PA      | $185.50       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343186742.UL.NBM                      | 343186742.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       270 | PA      | $267.24       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342970191.UL.NBM                      | 342970191.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       251 | PA      | $237.59       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343105866.UL.NBM                      | 343105866.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       307 | PA      | $304.53       | 0.00%             | 2026-05-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 9789841.SQ.NBM                        | 9789841.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2952 | PA      | $2754.21      | 0.00%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9789881.SQ.NBM                        | 9789881.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3447 | PA      | $3197.49      | 0.00%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342140932.UL.NBM                      | 342140932.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       743 | PA      | $703.72       | 0.00%             | 2026-05-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342141562.UL.NBM                      | 342141562.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       189 | PA      | $188.15       | 0.00%             | 2026-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| DRB5865456.UP.NBM                     | DRB5865456.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5037 | PA      | $5012.89      | 0.01%             | 2030-08-25      | Fixed         | 28.69%                | Yes           |                  3 | On Loan: No      |
| DRB5865461.UP.NBM                     | DRB5865461.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4016 | PA      | $4242.04      | 0.01%             | 2030-08-25      | Fixed         | 32.35%                | Yes           |                  3 | On Loan: No      |
| 342281309.UL.NBM                      | 342281309.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       367 | PA      | $350.13       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342281323.UL.NBM                      | 342281323.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       743 | PA      | $734.58       | 0.00%             | 2026-07-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343186746.UL.NBM                      | 343186746.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       261 | PA      | $258.26       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343186852.UL.NBM                      | 343186852.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       597 | PA      | $591.24       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341659635.UL.NBM                      | 341659635.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       104 | PA      | $103.08       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341660527.UL.NBM                      | 341660527.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       985 | PA      | $972.66       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341359923.UL.NBM                      | 341359923.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1590 | PA      | $1446.52      | 0.00%             | 2027-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341360117.UL.NBM                      | 341360117.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1461 | PA      | $1328.43      | 0.00%             | 2027-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5865470.UP.NBM                     | DRB5865470.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2728 | PA      | $2692.24      | 0.00%             | 2028-08-25      | Fixed         | 30.29%                | Yes           |                  3 | On Loan: No      |
| DRB5865480.UP.NBM                     | DRB5865480.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7168 | PA      | $7542.47      | 0.01%             | 2030-08-25      | Fixed         | 28.90%                | Yes           |                  3 | On Loan: No      |
| 342281350.UL.NBM                      | 342281350.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        96 | PA      | $95.74        | 0.00%             | 2026-02-23      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342281842.UL.NBM                      | 342281842.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       106 | PA      | $106.05       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343186869.UL.NBM                      | 343186869.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       525 | PA      | $524.33       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343186915.UL.NBM                      | 343186915.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       222 | PA      | $221.88       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341342130.UL.NBM                      | 341342130.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       127 | PA      | $122.40       | 0.00%             | 2026-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341342188.UL.NBM                      | 341342188.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       297 | PA      | $293.59       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341660575.UL.NBM                      | 341660575.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1630 | PA      | $1610.70      | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341660672.UL.NBM                      | 341660672.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       453 | PA      | $448.34       | 0.00%             | 2026-05-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9792729.SQ.NBM                        | 9792729.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       808 | PA      | $777.01       | 0.00%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9793157.SQ.NBM                        | 9793157.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2074 | PA      | $2023.80      | 0.00%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342281905.UL.NBM                      | 342281905.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       204 | PA      | $202.71       | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342281913.UL.NBM                      | 342281913.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       540 | PA      | $517.37       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343187057.UL.NBM                      | 343187057.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1500 | PA      | $1484.44      | 0.00%             | 2026-07-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343187141.UL.NBM                      | 343187141.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        68 | PA      | $67.76        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5865502.UP.NBM                     | DRB5865502.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5330 | PA      | $5356.24      | 0.01%             | 2030-08-25      | Fixed         | 29.32%                | Yes           |                  3 | On Loan: No      |
| DRB5865508.UP.NBM                     | DRB5865508.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5778 | PA      | $5756.68      | 0.01%             | 2030-08-25      | Fixed         | 28.89%                | Yes           |                  3 | On Loan: No      |
| 341661116.UL.NBM                      | 341661116.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       190 | PA      | $188.20       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341663456.UL.NBM                      | 341663456.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       550 | PA      | $544.41       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342142954.UL.NBM                      | 342142954.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        30 | PA      | $4.84         | 0.00%             | 2035-11-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342142998.UL.NBM                      | 342142998.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       250 | PA      | $251.30       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342661619.UL.NBM                      | 342661619.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       522 | PA      | $485.06       | 0.00%             | 2026-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342661714.UL.NBM                      | 342661714.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       224 | PA      | $221.00       | 0.00%             | 2026-07-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 10224661.SQ.NBM                       | 10224661.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5525 | PA      | $5173.37      | 0.01%             | 2027-06-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10224948.SQ.NBM                       | 10224948.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6040 | PA      | $5496.96      | 0.01%             | 2027-06-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343187149.UL.NBM                      | 343187149.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       846 | PA      | $808.77       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343187208.UL.NBM                      | 343187208.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       485 | PA      | $480.77       | 0.00%             | 2026-05-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341475686.UL.NBM                      | 341475686.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4201 | PA      | $4136.09      | 0.01%             | 2027-08-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341476049.UL.NBM                      | 341476049.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       480 | PA      | $474.81       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341663834.UL.NBM                      | 341663834.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2086 | PA      | $2052.66      | 0.00%             | 2027-08-21      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341717686.UL.NBM                      | 341717686.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3555 | PA      | $3511.40      | 0.00%             | 2027-08-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342296241.UL.NBM                      | 342296241.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        98 | PA      | $97.80        | 0.00%             | 2026-02-23      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342296248.UL.NBM                      | 342296248.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2308 | PA      | $2271.59      | 0.00%             | 2027-02-23      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342661742.UL.NBM                      | 342661742.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       535 | PA      | $530.80       | 0.00%             | 2026-05-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342661799.UL.NBM                      | 342661799.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       240 | PA      | $237.81       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343187242.UL.NBM                      | 343187242.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3098 | PA      | $3064.46      | 0.00%             | 2026-07-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343187267.UL.NBM                      | 343187267.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       764 | PA      | $752.22       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341717747.UL.NBM                      | 341717747.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       969 | PA      | $114.91       | 0.00%             | 2035-11-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341718069.UL.NBM                      | 341718069.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       209 | PA      | $207.30       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5859134.UP.NBM                       | L5859134.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1635 | PA      | $1602.37      | 0.00%             | 2030-08-22      | Fixed         | 21.68%                | Yes           |                  3 | On Loan: No      |
| L5859155.UP.NBM                       | L5859155.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2271 | PA      | $2184.00      | 0.00%             | 2028-08-22      | Fixed         | 13.95%                | Yes           |                  3 | On Loan: No      |
| 342674053.UL.NBM                      | 342674053.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        90 | PA      | $89.09        | 0.00%             | 2026-02-24      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342676377.UL.NBM                      | 342676377.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       123 | PA      | $121.96       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341718344.UL.NBM                      | 341718344.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       125 | PA      | $124.61       | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341718838.UL.NBM                      | 341718838.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        92 | PA      | $91.63        | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| DRB5865509.UP.NBM                     | DRB5865509.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1014 | PA      | $958.34       | 0.00%             | 2028-08-25      | Fixed         | 25.67%                | Yes           |                  3 | On Loan: No      |
| DRB5865525.UP.NBM                     | DRB5865525.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1200 | PA      | $1197.04      | 0.00%             | 2028-08-25      | Fixed         | 25.52%                | Yes           |                  3 | On Loan: No      |
| 343187275.UL.NBM                      | 343187275.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       955 | PA      | $947.22       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343187403.UL.NBM                      | 343187403.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       267 | PA      | $264.49       | 0.00%             | 2026-05-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341719068.UL.NBM                      | 341719068.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       410 | PA      | $407.33       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341719643.UL.NBM                      | 341719643.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       325 | PA      | $321.26       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341362162.UL.NBM                      | 341362162.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       217 | PA      | $215.59       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341363107.UL.NBM                      | 341363107.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        77 | PA      | $76.55        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342677716.UL.NBM                      | 342677716.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       303 | PA      | $300.70       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342681633.UL.NBM                      | 342681633.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       945 | PA      | $934.71       | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9794618.SQ.NBM                        | 9794618.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2392 | PA      | $2252.87      | 0.00%             | 2027-03-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9794657.SQ.NBM                        | 9794657.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1623 | PA      | $1524.79      | 0.00%             | 2027-03-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343187428.UL.NBM                      | 343187428.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       447 | PA      | $443.36       | 0.00%             | 2026-05-31      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5876223.UP.NBM                       | L5876223.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       826 | PA      | $757.16       | 0.00%             | 2028-08-26      | Fixed         | 16.93%                | Yes           |                  3 | On Loan: No      |
| 341719665.UL.NBM                      | 341719665.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       165 | PA      | $163.98       | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341720029.UL.NBM                      | 341720029.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       305 | PA      | $302.06       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341476108.UL.NBM                      | 341476108.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       267 | PA      | $265.34       | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341476229.UL.NBM                      | 341476229.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       194 | PA      | $193.65       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342296612.UL.NBM                      | 342296612.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       101 | PA      | $100.73       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342296725.UL.NBM                      | 342296725.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       191 | PA      | $189.54       | 0.00%             | 2026-05-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| L5859164.UP.NBM                       | L5859164.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2683 | PA      | $2694.90      | 0.00%             | 2030-08-22      | Fixed         | 18.59%                | Yes           |                  3 | On Loan: No      |
| L5859176.UP.NBM                       | L5859176.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7591 | PA      | $5938.62      | 0.01%             | 2030-08-22      | Fixed         | 20.50%                | Yes           |                  3 | On Loan: No      |
| 341720475.UL.NBM                      | 341720475.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        78 | PA      | $77.27        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341720582.UL.NBM                      | 341720582.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       111 | PA      | $110.37       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342685710.UL.NBM                      | 342685710.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       224 | PA      | $223.00       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342723519.UL.NBM                      | 342723519.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       206 | PA      | $204.66       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341476278.UL.NBM                      | 341476278.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        86 | PA      | $85.41        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341476281.UL.NBM                      | 341476281.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       249 | PA      | $246.71       | 0.00%             | 2026-05-20      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 9794668.SQ.NBM                        | 9794668.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3449 | PA      | $2435.39      | 0.00%             | 2027-03-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9794687.SQ.NBM                        | 9794687.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3615 | PA      | $3462.83      | 0.00%             | 2027-03-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341364237.UL.NBM                      | 341364237.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       307 | PA      | $303.96       | 0.00%             | 2026-05-19      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341364257.UL.NBM                      | 341364257.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        90 | PA      | $89.62        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341720887.UL.NBM                      | 341720887.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       555 | PA      | $549.26       | 0.00%             | 2026-05-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341720919.UL.NBM                      | 341720919.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       119 | PA      | $15.71        | 0.00%             | 2035-11-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342296747.UL.NBM                      | 342296747.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       802 | PA      | $750.16       | 0.00%             | 2026-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342296805.UL.NBM                      | 342296805.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        86 | PA      | $85.63        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343005206.UL.NBM                      | 343005206.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       957 | PA      | $919.01       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343005374.UL.NBM                      | 343005374.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       173 | PA      | $171.67       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| L5876229.UP.NBM                       | L5876229.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     47858 | PA      | $43961.50     | 0.06%             | 2030-08-26      | Fixed         | 17.56%                | Yes           |                  3 | On Loan: No      |
| L5876251.UP.NBM                       | L5876251.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8686 | PA      | $8340.23      | 0.01%             | 2030-08-26      | Fixed         | 23.06%                | Yes           |                  3 | On Loan: No      |
| L5859208.UP.NBM                       | L5859208.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21868 | PA      | $20642.78     | 0.03%             | 2030-08-22      | Fixed         | 19.31%                | Yes           |                  3 | On Loan: No      |
| L5859221.UP.NBM                       | L5859221.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17716 | PA      | $16372.79     | 0.02%             | 2030-08-22      | Fixed         | 17.99%                | Yes           |                  3 | On Loan: No      |
| 341721241.UL.NBM                      | 341721241.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       679 | PA      | $670.88       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341721571.UL.NBM                      | 341721571.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1571 | PA      | $1553.85      | 0.00%             | 2026-07-21      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 342143173.UL.NBM                      | 342143173.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       595 | PA      | $591.74       | 0.00%             | 2026-02-22      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342143252.UL.NBM                      | 342143252.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        40 | PA      | $39.76        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343005926.UL.NBM                      | 343005926.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       150 | PA      | $148.98       | 0.00%             | 2026-02-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343006616.UL.NBM                      | 343006616.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       752 | PA      | $694.56       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341499263.UL.NBM                      | 341499263.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2288 | PA      | $2126.08      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341499270.UL.NBM                      | 341499270.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       502 | PA      | $497.44       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342296829.UL.NBM                      | 342296829.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       258 | PA      | $255.62       | 0.00%             | 2026-07-23      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342296858.UL.NBM                      | 342296858.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        39 | PA      | $39.14        | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341856521.UL.NBM                      | 341856521.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       326 | PA      | $324.37       | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341945455.UL.NBM                      | 341945455.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       158 | PA      | $53.25        | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341839137.UL.NBM                      | 341839137.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       209 | PA      | $206.51       | 0.00%             | 2026-05-21      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 341839240.UL.NBM                      | 341839240.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       117 | PA      | $116.35       | 0.00%             | 2026-02-21      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343008391.UL.NBM                      | 343008391.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        99 | PA      | $98.01        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343008527.UL.NBM                      | 343008527.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       134 | PA      | $133.55       | 0.00%             | 2026-02-25      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 341499479.UL.NBM                      | 341499479.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       160 | PA      | $158.74       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341499616.UL.NBM                      | 341499616.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1003 | PA      | $930.27       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5859227.UP.NBM                       | L5859227.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3357 | PA      | $3162.34      | 0.00%             | 2030-08-22      | Fixed         | 19.19%                | Yes           |                  3 | On Loan: No      |
| L5859233.UP.NBM                       | L5859233.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1452 | PA      | $1427.87      | 0.00%             | 2030-08-22      | Fixed         | 17.16%                | Yes           |                  3 | On Loan: No      |
| 341945583.UL.NBM                      | 341945583.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        85 | PA      | $84.22        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341945807.UL.NBM                      | 341945807.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       488 | PA      | $485.59       | 0.00%             | 2026-05-21      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342296872.UL.NBM                      | 342296872.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       156 | PA      | $157.39       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342296894.UL.NBM                      | 342296894.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       118 | PA      | $117.56       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343008644.UL.NBM                      | 343008644.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       245 | PA      | $242.54       | 0.00%             | 2026-05-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343008825.UL.NBM                      | 343008825.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        71 | PA      | $70.32        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9813250.SQ.NBM                        | 9813250.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     35406 | PA      | $33648.20     | 0.05%             | 2027-03-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9813980.SQ.NBM                        | 9813980.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       490 | PA      | $482.38       | 0.00%             | 2027-03-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341945981.UL.NBM                      | 341945981.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       205 | PA      | $11.66        | 0.00%             | 2035-11-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341948395.UL.NBM                      | 341948395.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       300 | PA      | $284.89       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341499621.UL.NBM                      | 341499621.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       347 | PA      | $345.08       | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341499873.UL.NBM                      | 341499873.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        26 | PA      | $25.98        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342143800.UL.NBM                      | 342143800.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       542 | PA      | $504.15       | 0.00%             | 2026-05-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342143808.UL.NBM                      | 342143808.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       130 | PA      | $125.19       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343008972.UL.NBM                      | 343008972.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        35 | PA      | $35.23        | 0.00%             | 2026-02-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343009420.UL.NBM                      | 343009420.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       127 | PA      | $125.86       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341991065.UL.NBM                      | 341991065.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        77 | PA      | $76.14        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341993058.UL.NBM                      | 341993058.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        57 | PA      | $56.90        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343106045.UL.NBM                      | 343106045.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        93 | PA      | $92.77        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343106636.UL.NBM                      | 343106636.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1339 | PA      | $1335.11      | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342297038.UL.NBM                      | 342297038.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       152 | PA      | $151.43       | 0.00%             | 2026-02-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342297399.UL.NBM                      | 342297399.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       139 | PA      | $137.87       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341499894.UL.NBM                      | 341499894.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       270 | PA      | $268.49       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341499975.UL.NBM                      | 341499975.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        78 | PA      | $77.04        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341994198.UL.NBM                      | 341994198.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       846 | PA      | $835.19       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341994493.UL.NBM                      | 341994493.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       178 | PA      | $176.38       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9814033.SQ.NBM                        | 9814033.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3186 | PA      | $2724.65      | 0.00%             | 2027-03-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9814141.SQ.NBM                        | 9814141.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10941 | PA      | $10406.85     | 0.01%             | 2027-03-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341839663.UL.NBM                      | 341839663.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       201 | PA      | $199.52       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341839725.UL.NBM                      | 341839725.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        60 | PA      | $59.82        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341364303.UL.NBM                      | 341364303.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        27 | PA      | $26.66        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341364436.UL.NBM                      | 341364436.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       400 | PA      | $396.07       | 0.00%             | 2026-05-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343009561.UL.NBM                      | 343009561.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       438 | PA      | $193.62       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343009581.UL.NBM                      | 343009581.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        47 | PA      | $46.82        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342297494.UL.NBM                      | 342297494.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       264 | PA      | $263.01       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342297542.UL.NBM                      | 342297542.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       101 | PA      | $100.09       | 0.00%             | 2026-02-23      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341500107.UL.NBM                      | 341500107.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       227 | PA      | $224.84       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341958117.UL.NBM                      | 341958117.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2150 | PA      | $1997.58      | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341995139.UL.NBM                      | 341995139.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       238 | PA      | $236.36       | 0.00%             | 2026-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341996431.UL.NBM                      | 341996431.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       248 | PA      | $247.56       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343107199.UL.NBM                      | 343107199.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       251 | PA      | $248.52       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343116963.UL.NBM                      | 343116963.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       431 | PA      | $403.04       | 0.00%             | 2026-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343009775.UL.NBM                      | 343009775.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        30 | PA      | $29.46        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343010148.UL.NBM                      | 343010148.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       422 | PA      | $417.51       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342297671.UL.NBM                      | 342297671.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       575 | PA      | $571.74       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342297705.UL.NBM                      | 342297705.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        78 | PA      | $77.66        | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341958190.UL.NBM                      | 341958190.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       118 | PA      | $39.27        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341958250.UL.NBM                      | 341958250.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       563 | PA      | $557.13       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341996588.UL.NBM                      | 341996588.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       223 | PA      | $222.03       | 0.00%             | 2026-02-22      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| DRB5865692.UP.NBM                     | DRB5865692.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1859 | PA      | $1913.15      | 0.00%             | 2030-08-25      | Fixed         | 30.65%                | Yes           |                  3 | On Loan: No      |
| DRB5865729.UP.NBM                     | DRB5865729.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1448 | PA      | $1434.27      | 0.00%             | 2030-08-25      | Fixed         | 25.01%                | Yes           |                  3 | On Loan: No      |
| 9817787.SQ.NBM                        | 9817787.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16539 | PA      | $15755.10     | 0.02%             | 2027-03-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9817910.SQ.NBM                        | 9817910.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     44178 | PA      | $42362.80     | 0.06%             | 2027-03-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10088423.SQ.NBM                       | 10088423.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     23667 | PA      | $22195.70     | 0.03%             | 2027-05-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10088469.SQ.NBM                       | 10088469.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1750 | PA      | $1682.28      | 0.00%             | 2027-05-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343010813.UL.NBM                      | 343010813.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       517 | PA      | $513.19       | 0.00%             | 2026-05-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343011040.UL.NBM                      | 343011040.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       221 | PA      | $220.12       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341364450.UL.NBM                      | 341364450.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       384 | PA      | $380.30       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341364661.UL.NBM                      | 341364661.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        41 | PA      | $40.50        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341958366.UL.NBM                      | 341958366.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       550 | PA      | $525.17       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341975652.UL.NBM                      | 341975652.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       118 | PA      | $117.35       | 0.00%             | 2026-02-22      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342297745.UL.NBM                      | 342297745.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2404 | PA      | $2363.99      | 0.00%             | 2027-08-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342297781.UL.NBM                      | 342297781.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        51 | PA      | $50.58        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341840097.UL.NBM                      | 341840097.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        78 | PA      | $77.13        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341840270.UL.NBM                      | 341840270.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       126 | PA      | $124.78       | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 10088598.SQ.NBM                       | 10088598.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1382 | PA      | $1331.16      | 0.00%             | 2027-05-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10088693.SQ.NBM                       | 10088693.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4048 | PA      | $3826.99      | 0.01%             | 2027-05-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343011318.UL.NBM                      | 343011318.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       255 | PA      | $252.59       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343011442.UL.NBM                      | 343011442.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       176 | PA      | $174.29       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10225239.SQ.NBM                       | 10225239.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     45543 | PA      | $42412.29     | 0.06%             | 2027-06-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10226765.SQ.NBM                       | 10226765.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     26355 | PA      | $24535.80     | 0.03%             | 2027-06-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341975832.UL.NBM                      | 341975832.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        73 | PA      | $72.30        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341975873.UL.NBM                      | 341975873.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        91 | PA      | $90.78        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341840312.UL.NBM                      | 341840312.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       929 | PA      | $917.46       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341840919.UL.NBM                      | 341840919.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2845 | PA      | $2637.43      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9818581.SQ.NBM                        | 9818581.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3703 | PA      | $3551.69      | 0.00%             | 2027-03-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9818708.SQ.NBM                        | 9818708.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3058 | PA      | $2766.21      | 0.00%             | 2027-03-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343011470.UL.NBM                      | 343011470.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       504 | PA      | $499.51       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343011573.UL.NBM                      | 343011573.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        62 | PA      | $62.00        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5859871.UP.NBM                       | L5859871.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6612 | PA      | $6301.48      | 0.01%             | 2030-08-22      | Fixed         | 22.79%                | Yes           |                  3 | On Loan: No      |
| L5859884.UP.NBM                       | L5859884.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18119 | PA      | $16994.61     | 0.02%             | 2030-08-22      | Fixed         | 18.91%                | Yes           |                  3 | On Loan: No      |
| 341774977.UL.NBM                      | 341774977.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       191 | PA      | $189.53       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341775852.UL.NBM                      | 341775852.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       417 | PA      | $412.92       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10139148.SQ.NBM                       | 10139148.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3337 | PA      | $3153.01      | 0.00%             | 2027-05-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10139246.SQ.NBM                       | 10139246.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3880 | PA      | $3650.31      | 0.01%             | 2027-05-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343117400.UL.NBM                      | 343117400.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       154 | PA      | $155.37       | 0.00%             | 2026-02-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343117599.UL.NBM                      | 343117599.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       548 | PA      | $507.12       | 0.00%             | 2026-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342407936.UL.NBM                      | 342407936.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       504 | PA      | $499.80       | 0.00%             | 2026-05-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342529133.UL.NBM                      | 342529133.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |         1 | PA      | $0.89         | 0.00%             | 2035-11-23      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341975908.UL.NBM                      | 341975908.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       381 | PA      | $378.95       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341977178.UL.NBM                      | 341977178.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       456 | PA      | $451.49       | 0.00%             | 2026-05-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| L5859890.UP.NBM                       | L5859890.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3703 | PA      | $3467.85      | 0.00%             | 2030-08-22      | Fixed         | 11.28%                | Yes           |                  3 | On Loan: No      |
| L5859899.UP.NBM                       | L5859899.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13511 | PA      | $12850.58     | 0.02%             | 2030-08-22      | Fixed         | 15.35%                | Yes           |                  3 | On Loan: No      |
| 341364694.UL.NBM                      | 341364694.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        38 | PA      | $37.33        | 0.00%             | 2026-02-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341364715.UL.NBM                      | 341364715.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       177 | PA      | $36.71        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343011646.UL.NBM                      | 343011646.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        62 | PA      | $61.27        | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343011805.UL.NBM                      | 343011805.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3310 | PA      | $3276.36      | 0.00%             | 2026-07-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 10139257.SQ.NBM                       | 10139257.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     24836 | PA      | $23056.73     | 0.03%             | 2027-05-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10140300.SQ.NBM                       | 10140300.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     28745 | PA      | $27184.53     | 0.04%             | 2027-05-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9818785.SQ.NBM                        | 9818785.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16080 | PA      | $15332.79     | 0.02%             | 2027-03-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9819067.SQ.NBM                        | 9819067.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     58656 | PA      | $55243.57     | 0.08%             | 2027-03-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5859958.UP.NBM                       | L5859958.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1531 | PA      | $1402.62      | 0.00%             | 2030-08-22      | Fixed         | 23.56%                | Yes           |                  3 | On Loan: No      |
| L5859974.UP.NBM                       | L5859974.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13927 | PA      | $13148.35     | 0.02%             | 2030-08-22      | Fixed         | 14.83%                | Yes           |                  3 | On Loan: No      |
| 341977180.UL.NBM                      | 341977180.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       290 | PA      | $288.53       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341977189.UL.NBM                      | 341977189.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       229 | PA      | $106.71       | 0.00%             | 2026-02-22      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341364796.UL.NBM                      | 341364796.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        81 | PA      | $80.43        | 0.00%             | 2026-02-19      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341364955.UL.NBM                      | 341364955.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       106 | PA      | $22.95        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343012035.UL.NBM                      | 343012035.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       191 | PA      | $190.02       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343013271.UL.NBM                      | 343013271.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       180 | PA      | $177.98       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10143011.SQ.NBM                       | 10143011.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2791 | PA      | $2544.20      | 0.00%             | 2027-06-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10143451.SQ.NBM                       | 10143451.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1704 | PA      | $1551.91      | 0.00%             | 2027-06-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343117878.UL.NBM                      | 343117878.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       272 | PA      | $270.06       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343181974.UL.NBM                      | 343181974.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       220 | PA      | $218.54       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5859994.UP.NBM                       | L5859994.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       908 | PA      | $866.60       | 0.00%             | 2028-08-22      | Fixed         | 13.29%                | Yes           |                  3 | On Loan: No      |
| L5860036.UP.NBM                       | L5860036.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3162 | PA      | $2949.99      | 0.00%             | 2030-08-22      | Fixed         | 18.57%                | Yes           |                  3 | On Loan: No      |
| 342055479.UL.NBM                      | 342055479.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       148 | PA      | $51.16        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342056704.UL.NBM                      | 342056704.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4468 | PA      | $4401.59      | 0.01%             | 2027-02-22      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343013444.UL.NBM                      | 343013444.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       320 | PA      | $319.22       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343013631.UL.NBM                      | 343013631.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       281 | PA      | $278.91       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10143844.SQ.NBM                       | 10143844.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3926 | PA      | $3665.65      | 0.01%             | 2027-06-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10144194.SQ.NBM                       | 10144194.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1919 | PA      | $1766.78      | 0.00%             | 2027-06-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9820162.SQ.NBM                        | 9820162.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       753 | PA      | $726.90       | 0.00%             | 2027-03-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9820171.SQ.NBM                        | 9820171.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1491 | PA      | $1347.27      | 0.00%             | 2027-03-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5860078.UP.NBM                       | L5860078.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5104 | PA      | $4884.39      | 0.01%             | 2030-08-22      | Fixed         | 22.89%                | Yes           |                  3 | On Loan: No      |
| L5860154.UP.NBM                       | L5860154.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2996 | PA      | $2869.04      | 0.00%             | 2028-08-22      | Fixed         | 13.62%                | Yes           |                  3 | On Loan: No      |
| 10227447.SQ.NBM                       | 10227447.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4860 | PA      | $4485.40      | 0.01%             | 2027-06-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10227855.SQ.NBM                       | 10227855.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18526 | PA      | $17032.26     | 0.02%             | 2027-06-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342609654.UL.NBM                      | 342609654.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       160 | PA      | $154.12       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342610311.UL.NBM                      | 342610311.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        92 | PA      | $91.39        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342611212.UL.NBM                      | 342611212.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       294 | PA      | $291.17       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342644661.UL.NBM                      | 342644661.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3023 | PA      | $2981.27      | 0.00%             | 2027-08-24      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 10144316.SQ.NBM                       | 10144316.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8542 | PA      | $8020.34      | 0.01%             | 2027-06-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10144820.SQ.NBM                       | 10144820.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5324 | PA      | $4998.85      | 0.01%             | 2027-06-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343014508.UL.NBM                      | 343014508.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       478 | PA      | $473.66       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343014904.UL.NBM                      | 343014904.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1131 | PA      | $1121.14      | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5860164.UP.NBM                       | L5860164.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5484 | PA      | $5296.84      | 0.01%             | 2030-08-22      | Fixed         | 23.63%                | Yes           |                  3 | On Loan: No      |
| L5860171.UP.NBM                       | L5860171.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       912 | PA      | $870.77       | 0.00%             | 2028-08-22      | Fixed         | 16.58%                | Yes           |                  3 | On Loan: No      |
| 9820180.SQ.NBM                        | 9820180.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4392 | PA      | $4147.99      | 0.01%             | 2027-03-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9820290.SQ.NBM                        | 9820290.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11129 | PA      | $10897.66     | 0.02%             | 2027-03-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341483385.UL.NBM                      | 341483385.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1056 | PA      | $1039.48      | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341483417.UL.NBM                      | 341483417.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       911 | PA      | $900.62       | 0.00%             | 2026-07-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342644673.UL.NBM                      | 342644673.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       683 | PA      | $675.07       | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343015028.UL.NBM                      | 343015028.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       182 | PA      | $180.15       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343015427.UL.NBM                      | 343015427.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       121 | PA      | $120.08       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343182719.UL.NBM                      | 343182719.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       231 | PA      | $218.52       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343182869.UL.NBM                      | 343182869.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       193 | PA      | $181.85       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342058916.UL.NBM                      | 342058916.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       294 | PA      | $292.47       | 0.00%             | 2026-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342059234.UL.NBM                      | 342059234.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       271 | PA      | $257.18       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5860209.UP.NBM                       | L5860209.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5104 | PA      | $4889.33      | 0.01%             | 2030-08-22      | Fixed         | 22.95%                | Yes           |                  3 | On Loan: No      |
| L5860225.UP.NBM                       | L5860225.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     47621 | PA      | $45654.95     | 0.06%             | 2030-08-22      | Fixed         | 15.83%                | Yes           |                  3 | On Loan: No      |
| 9820718.SQ.NBM                        | 9820718.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10133 | PA      | $5913.35      | 0.01%             | 2027-03-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9820820.SQ.NBM                        | 9820820.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8454 | PA      | $7897.57      | 0.01%             | 2027-03-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10145215.SQ.NBM                       | 10145215.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2834 | PA      | $2617.31      | 0.00%             | 2027-06-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10147067.SQ.NBM                       | 10147067.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6761 | PA      | $6349.75      | 0.01%             | 2027-06-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342652950.UL.NBM                      | 342652950.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       804 | PA      | $794.67       | 0.00%             | 2026-07-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342653019.UL.NBM                      | 342653019.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       113 | PA      | $112.74       | 0.00%             | 2026-02-24      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341369027.UL.NBM                      | 341369027.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        73 | PA      | $72.46        | 0.00%             | 2026-02-19      | Fixed         | 25.99%                | Yes           |                  3 | On Loan: No      |
| 341369070.UL.NBM                      | 341369070.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       720 | PA      | $661.44       | 0.00%             | 2026-07-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342065444.UL.NBM                      | 342065444.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       778 | PA      | $768.34       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342065455.UL.NBM                      | 342065455.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        62 | PA      | $61.86        | 0.00%             | 2026-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343182910.UL.NBM                      | 343182910.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       800 | PA      | $767.40       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343184178.UL.NBM                      | 343184178.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       260 | PA      | $262.46       | 0.00%             | 2026-02-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 10147316.SQ.NBM                       | 10147316.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8168 | PA      | $7669.27      | 0.01%             | 2027-06-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10147813.SQ.NBM                       | 10147813.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1973 | PA      | $1840.31      | 0.00%             | 2027-06-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342529157.UL.NBM                      | 342529157.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       107 | PA      | $107.07       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342529247.UL.NBM                      | 342529247.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       536 | PA      | $45.60        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343015491.UL.NBM                      | 343015491.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       472 | PA      | $475.08       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343017509.UL.NBM                      | 343017509.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1835 | PA      | $1711.45      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5860320.UP.NBM                       | L5860320.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4466 | PA      | $385.96       | 0.00%             | 2030-08-22      | Fixed         | 19.37%                | Yes           |                  3 | On Loan: No      |
| L5860379.UP.NBM                       | L5860379.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9188 | PA      | $8606.53      | 0.01%             | 2028-08-22      | Fixed         | 14.91%                | Yes           |                  3 | On Loan: No      |
| 342065475.UL.NBM                      | 342065475.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        61 | PA      | $61.10        | 0.00%             | 2026-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342067076.UL.NBM                      | 342067076.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       107 | PA      | $106.26       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10147913.SQ.NBM                       | 10147913.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3109 | PA      | $2848.14      | 0.00%             | 2027-06-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10147999.SQ.NBM                       | 10147999.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9983 | PA      | $9138.20      | 0.01%             | 2027-06-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341369490.UL.NBM                      | 341369490.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       154 | PA      | $152.96       | 0.00%             | 2026-02-19      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341369926.UL.NBM                      | 341369926.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       169 | PA      | $159.37       | 0.00%             | 2026-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343181195.UL.NBM                      | 343181195.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        89 | PA      | $88.97        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343181231.UL.NBM                      | 343181231.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       369 | PA      | $366.97       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343017577.UL.NBM                      | 343017577.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3806 | PA      | $3761.70      | 0.01%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343017675.UL.NBM                      | 343017675.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1032 | PA      | $1023.14      | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5860533.UP.NBM                       | L5860533.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1430 | PA      | $1335.63      | 0.00%             | 2030-08-25      | Fixed         | 14.18%                | Yes           |                  3 | On Loan: No      |
| L5860539.UP.NBM                       | L5860539.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10562 | PA      | $10115.31     | 0.01%             | 2030-08-22      | Fixed         | 20.22%                | Yes           |                  3 | On Loan: No      |
| 10148875.SQ.NBM                       | 10148875.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2270 | PA      | $2087.62      | 0.00%             | 2027-06-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10149034.SQ.NBM                       | 10149034.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2562 | PA      | $2334.00      | 0.00%             | 2027-06-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342112438.UL.NBM                      | 342112438.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       424 | PA      | $421.60       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342112599.UL.NBM                      | 342112599.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       187 | PA      | $185.60       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343184236.UL.NBM                      | 343184236.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2104 | PA      | $1919.68      | 0.00%             | 2027-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343184268.UL.NBM                      | 343184268.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        68 | PA      | $67.35        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343017918.UL.NBM                      | 343017918.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       252 | PA      | $75.79        | 0.00%             | 2026-02-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343200769.UL.NBM                      | 343200769.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       264 | PA      | $262.47       | 0.00%             | 2026-02-26      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 341374821.UL.NBM                      | 341374821.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       905 | PA      | $838.31       | 0.00%             | 2026-07-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341375125.UL.NBM                      | 341375125.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       590 | PA      | $564.28       | 0.00%             | 2026-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10149248.SQ.NBM                       | 10149248.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3742 | PA      | $3440.52      | 0.00%             | 2027-06-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5858390.UP.NBM                     | DRB5858390.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1060 | PA      | $1144.02      | 0.00%             | 2030-08-22      | Fixed         | 23.12%                | Yes           |                  3 | On Loan: No      |
| L5860580.UP.NBM                       | L5860580.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3371 | PA      | $3233.73      | 0.00%             | 2030-08-22      | Fixed         | 23.04%                | Yes           |                  3 | On Loan: No      |
| L5860586.UP.NBM                       | L5860586.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14349 | PA      | $14062.38     | 0.02%             | 2030-08-25      | Fixed         | 17.06%                | Yes           |                  3 | On Loan: No      |
| 343200818.UL.NBM                      | 343200818.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       144 | PA      | $143.36       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343200834.UL.NBM                      | 343200834.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       358 | PA      | $355.16       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342112957.UL.NBM                      | 342112957.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       254 | PA      | $252.13       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342113105.UL.NBM                      | 342113105.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       717 | PA      | $709.31       | 0.00%             | 2026-07-22      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342653102.UL.NBM                      | 342653102.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       213 | PA      | $200.86       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342653191.UL.NBM                      | 342653191.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       328 | PA      | $326.75       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343184288.UL.NBM                      | 343184288.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       377 | PA      | $379.58       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343230255.UL.NBM                      | 343230255.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       147 | PA      | $146.50       | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858392.UP.NBM                     | DRB5858392.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3213 | PA      | $3175.12      | 0.00%             | 2030-08-22      | Fixed         | 28.30%                | Yes           |                  3 | On Loan: No      |
| DRB5858400.UP.NBM                     | DRB5858400.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1163 | PA      | $1162.96      | 0.00%             | 2030-08-22      | Fixed         | 29.11%                | Yes           |                  3 | On Loan: No      |
| 343200835.UL.NBM                      | 343200835.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       106 | PA      | $105.40       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343202961.UL.NBM                      | 343202961.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        50 | PA      | $49.94        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5860604.UP.NBM                       | L5860604.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     20111 | PA      | $18849.87     | 0.03%             | 2028-08-22      | Fixed         | 19.66%                | Yes           |                  3 | On Loan: No      |
| L5860610.UP.NBM                       | L5860610.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6835 | PA      | $6573.87      | 0.01%             | 2030-08-25      | Fixed         | 20.33%                | Yes           |                  3 | On Loan: No      |
| 342121218.UL.NBM                      | 342121218.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       103 | PA      | $102.56       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342122273.UL.NBM                      | 342122273.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       200 | PA      | $198.35       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341375656.UL.NBM                      | 341375656.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       264 | PA      | $250.52       | 0.00%             | 2026-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341424226.UL.NBM                      | 341424226.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        71 | PA      | $70.91        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858408.UP.NBM                     | DRB5858408.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     41217 | PA      | $41817.19     | 0.06%             | 2030-08-22      | Fixed         | 30.06%                | Yes           |                  3 | On Loan: No      |
| DRB5858411.UP.NBM                     | DRB5858411.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1066 | PA      | $1059.74      | 0.00%             | 2030-08-22      | Fixed         | 28.74%                | Yes           |                  3 | On Loan: No      |
| 343202965.UL.NBM                      | 343202965.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       473 | PA      | $465.00       | 0.00%             | 2026-06-02      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343203222.UL.NBM                      | 343203222.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       121 | PA      | $120.70       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5860612.UP.NBM                       | L5860612.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2209 | PA      | $2035.93      | 0.00%             | 2030-08-22      | Fixed         | 20.54%                | Yes           |                  3 | On Loan: No      |
| L5860615.UP.NBM                       | L5860615.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2099 | PA      | $2049.54      | 0.00%             | 2028-08-22      | Fixed         | 18.82%                | Yes           |                  3 | On Loan: No      |
| 343231344.UL.NBM                      | 343231344.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       129 | PA      | $26.28        | 0.00%             | 2035-11-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343231480.UL.NBM                      | 343231480.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1263 | PA      | $1174.44      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9820913.SQ.NBM                        | 9820913.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3962 | PA      | $3680.72      | 0.01%             | 2027-03-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9820967.SQ.NBM                        | 9820967.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1374 | PA      | $1280.47      | 0.00%             | 2027-03-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341424620.UL.NBM                      | 341424620.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       215 | PA      | $213.18       | 0.00%             | 2026-05-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341424627.UL.NBM                      | 341424627.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       835 | PA      | $824.92       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343203253.UL.NBM                      | 343203253.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        87 | PA      | $86.10        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343203315.UL.NBM                      | 343203315.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       192 | PA      | $191.07       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5860637.UP.NBM                       | L5860637.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3162 | PA      | $2949.47      | 0.00%             | 2030-08-22      | Fixed         | 18.56%                | Yes           |                  3 | On Loan: No      |
| L5860639.UP.NBM                       | L5860639.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3094 | PA      | $2923.32      | 0.00%             | 2028-08-22      | Fixed         | 15.68%                | Yes           |                  3 | On Loan: No      |
| DRB5858422.UP.NBM                     | DRB5858422.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       928 | PA      | $984.42       | 0.00%             | 2030-08-22      | Fixed         | 29.97%                | Yes           |                  3 | On Loan: No      |
| DRB5858442.UP.NBM                     | DRB5858442.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6789 | PA      | $6654.96      | 0.01%             | 2028-08-22      | Fixed         | 19.21%                | Yes           |                  3 | On Loan: No      |
| 342122476.UL.NBM                      | 342122476.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       822 | PA      | $760.45       | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342122644.UL.NBM                      | 342122644.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $66.81        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9820991.SQ.NBM                        | 9820991.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13969 | PA      | $13193.31     | 0.02%             | 2027-03-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9821153.SQ.NBM                        | 9821153.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1171 | PA      | $1112.13      | 0.00%             | 2027-03-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343203333.UL.NBM                      | 343203333.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       216 | PA      | $214.22       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343203360.UL.NBM                      | 343203360.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       270 | PA      | $265.12       | 0.00%             | 2026-06-01      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342126211.UL.NBM                      | 342126211.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2182 | PA      | $1991.93      | 0.00%             | 2027-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342126242.UL.NBM                      | 342126242.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       859 | PA      | $848.65       | 0.00%             | 2026-07-22      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 9821188.SQ.NBM                        | 9821188.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2334 | PA      | $2216.60      | 0.00%             | 2027-03-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9821205.SQ.NBM                        | 9821205.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10090 | PA      | $9623.65      | 0.01%             | 2027-03-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342126349.UL.NBM                      | 342126349.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        30 | PA      | $29.69        | 0.00%             | 2026-02-22      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342126891.UL.NBM                      | 342126891.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        36 | PA      | $35.47        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5860651.UP.NBM                       | L5860651.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3661 | PA      | $3343.04      | 0.00%             | 2030-08-22      | Fixed         | 23.22%                | Yes           |                  3 | On Loan: No      |
| L5860721.UP.NBM                       | L5860721.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1002 | PA      | $953.46       | 0.00%             | 2028-08-22      | Fixed         | 16.20%                | Yes           |                  3 | On Loan: No      |
| DRB5858443.UP.NBM                     | DRB5858443.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3643 | PA      | $3627.19      | 0.00%             | 2030-08-22      | Fixed         | 28.96%                | Yes           |                  3 | On Loan: No      |
| DRB5858444.UP.NBM                     | DRB5858444.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3155 | PA      | $3116.61      | 0.00%             | 2028-08-22      | Fixed         | 30.03%                | Yes           |                  3 | On Loan: No      |
| 341425091.UL.NBM                      | 341425091.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $66.95        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341436557.UL.NBM                      | 341436557.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1271 | PA      | $1255.52      | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343203387.UL.NBM                      | 343203387.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       475 | PA      | $472.36       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343203506.UL.NBM                      | 343203506.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       192 | PA      | $193.75       | 0.00%             | 2026-02-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343181254.UL.NBM                      | 343181254.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       346 | PA      | $343.01       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343181319.UL.NBM                      | 343181319.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       183 | PA      | $182.58       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341841432.UL.NBM                      | 341841432.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       259 | PA      | $257.39       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341841534.UL.NBM                      | 341841534.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2865 | PA      | $2845.44      | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5860727.UP.NBM                       | L5860727.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1167 | PA      | $1213.82      | 0.00%             | 2030-08-22      | Fixed         | 23.30%                | Yes           |                  3 | On Loan: No      |
| L5860762.UP.NBM                       | L5860762.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5447 | PA      | $5267.71      | 0.01%             | 2030-08-22      | Fixed         | 16.28%                | Yes           |                  3 | On Loan: No      |
| 342153593.UL.NBM                      | 342153593.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       281 | PA      | $278.64       | 0.00%             | 2026-05-22      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342153756.UL.NBM                      | 342153756.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       161 | PA      | $5.97         | 0.00%             | 2035-11-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858446.UP.NBM                     | DRB5858446.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3288 | PA      | $3363.12      | 0.00%             | 2030-08-22      | Fixed         | 27.13%                | Yes           |                  3 | On Loan: No      |
| DRB5858478.UP.NBM                     | DRB5858478.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2526 | PA      | $2631.64      | 0.00%             | 2030-08-22      | Fixed         | 31.85%                | Yes           |                  3 | On Loan: No      |
| 9892458.SQ.NBM                        | 9892458.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10468 | PA      | $9612.43      | 0.01%             | 2027-04-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9892567.SQ.NBM                        | 9892567.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5173 | PA      | $4899.55      | 0.01%             | 2027-04-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9821535.SQ.NBM                        | 9821535.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     24820 | PA      | $23587.47     | 0.03%             | 2027-03-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9821735.SQ.NBM                        | 9821735.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1466 | PA      | $875.11       | 0.00%             | 2027-03-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342529283.UL.NBM                      | 342529283.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1893 | PA      | $1863.59      | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342529373.UL.NBM                      | 342529373.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2672 | PA      | $2630.05      | 0.00%             | 2027-02-23      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 10229125.SQ.NBM                       | 10229125.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     36724 | PA      | $34407.80     | 0.05%             | 2027-06-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10232699.SQ.NBM                       | 10232699.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7939 | PA      | $7333.62      | 0.01%             | 2027-06-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341436721.UL.NBM                      | 341436721.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       556 | PA      | $549.98       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341488611.UL.NBM                      | 341488611.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       777 | PA      | $771.68       | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342155301.UL.NBM                      | 342155301.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       260 | PA      | $257.14       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342155575.UL.NBM                      | 342155575.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        95 | PA      | $94.18        | 0.00%             | 2026-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 9892618.SQ.NBM                        | 9892618.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12744 | PA      | $11967.01     | 0.02%             | 2027-04-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9892761.SQ.NBM                        | 9892761.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1354 | PA      | $1287.95      | 0.00%             | 2027-04-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9821745.SQ.NBM                        | 9821745.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14268 | PA      | $13475.59     | 0.02%             | 2027-03-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9821863.SQ.NBM                        | 9821863.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     40236 | PA      | $38742.83     | 0.05%             | 2027-03-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341842031.UL.NBM                      | 341842031.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       714 | PA      | $141.42       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341915986.UL.NBM                      | 341915986.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       187 | PA      | $176.57       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341488761.UL.NBM                      | 341488761.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       818 | PA      | $65.27        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341489241.UL.NBM                      | 341489241.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1070 | PA      | $988.37       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342156183.UL.NBM                      | 342156183.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        91 | PA      | $90.93        | 0.00%             | 2026-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342157245.UL.NBM                      | 342157245.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        62 | PA      | $61.29        | 0.00%             | 2026-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 9892774.SQ.NBM                        | 9892774.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5985 | PA      | $5557.40      | 0.01%             | 2027-04-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9892850.SQ.NBM                        | 9892850.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       486 | PA      | $465.76       | 0.00%             | 2027-04-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343181345.UL.NBM                      | 343181345.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       840 | PA      | $831.51       | 0.00%             | 2026-07-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343181422.UL.NBM                      | 343181422.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       255 | PA      | $252.80       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9822149.SQ.NBM                        | 9822149.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4335 | PA      | $4231.08      | 0.01%             | 2027-03-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9822222.SQ.NBM                        | 9822222.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1351 | PA      | $1049.52      | 0.00%             | 2027-03-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343232059.UL.NBM                      | 343232059.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4053 | PA      | $4053.69      | 0.01%             | 2027-08-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343392926.UL.NBM                      | 343392926.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       255 | PA      | $254.28       | 0.00%             | 2026-02-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 10232884.SQ.NBM                       | 10232884.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3013 | PA      | $2823.26      | 0.00%             | 2027-06-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10232956.SQ.NBM                       | 10232956.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5687 | PA      | $5234.41      | 0.01%             | 2027-06-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9892866.SQ.NBM                        | 9892866.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11837 | PA      | $10745.92     | 0.01%             | 2027-04-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9892987.SQ.NBM                        | 9892987.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2588 | PA      | $2390.08      | 0.00%             | 2027-04-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342163166.UL.NBM                      | 342163166.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       177 | PA      | $175.51       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342163278.UL.NBM                      | 342163278.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       448 | PA      | $443.60       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341490059.UL.NBM                      | 341490059.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       357 | PA      | $354.41       | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341490255.UL.NBM                      | 341490255.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        37 | PA      | $36.67        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9822238.SQ.NBM                        | 9822238.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11428 | PA      | $10966.78     | 0.02%             | 2027-03-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9822339.SQ.NBM                        | 9822339.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4213 | PA      | $3979.83      | 0.01%             | 2027-03-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343181505.UL.NBM                      | 343181505.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       368 | PA      | $364.73       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343181620.UL.NBM                      | 343181620.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       110 | PA      | $106.09       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9893009.SQ.NBM                        | 9893009.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8645 | PA      | $7429.86      | 0.01%             | 2027-04-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9893075.SQ.NBM                        | 9893075.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10321 | PA      | $9814.21      | 0.01%             | 2027-04-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341490469.UL.NBM                      | 341490469.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        66 | PA      | $63.50        | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341492970.UL.NBM                      | 341492970.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       418 | PA      | $415.16       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343393074.UL.NBM                      | 343393074.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       132 | PA      | $131.76       | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343393243.UL.NBM                      | 343393243.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        15 | PA      | $15.21        | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342529853.UL.NBM                      | 342529853.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       334 | PA      | $330.56       | 0.00%             | 2026-05-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342529947.UL.NBM                      | 342529947.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2335 | PA      | $719.85       | 0.00%             | 2027-08-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9822355.SQ.NBM                        | 9822355.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11616 | PA      | $9956.39      | 0.01%             | 2027-03-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9822396.SQ.NBM                        | 9822396.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8395 | PA      | $7449.93      | 0.01%             | 2027-03-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341493147.UL.NBM                      | 341493147.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        62 | PA      | $61.13        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341493260.UL.NBM                      | 341493260.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       261 | PA      | $257.99       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343228822.UL.NBM                      | 343228822.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       141 | PA      | $136.40       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343229938.UL.NBM                      | 343229938.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       510 | PA      | $506.71       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9893198.SQ.NBM                        | 9893198.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10244 | PA      | $9740.46      | 0.01%             | 2027-04-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9893300.SQ.NBM                        | 9893300.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7342 | PA      | $6915.96      | 0.01%             | 2027-04-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341493572.UL.NBM                      | 341493572.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       220 | PA      | $218.22       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341495668.UL.NBM                      | 341495668.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       249 | PA      | $236.59       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342163506.UL.NBM                      | 342163506.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       202 | PA      | $200.39       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342163794.UL.NBM                      | 342163794.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        92 | PA      | $91.42        | 0.00%             | 2026-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343160127.UL.NBM                      | 343160127.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       192 | PA      | $190.48       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343160151.UL.NBM                      | 343160151.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       390 | PA      | $385.89       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343234998.UL.NBM                      | 343234998.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       281 | PA      | $278.40       | 0.00%             | 2026-05-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343235056.UL.NBM                      | 343235056.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2151 | PA      | $2119.67      | 0.00%             | 2026-12-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341495733.UL.NBM                      | 341495733.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        44 | PA      | $43.49        | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341495745.UL.NBM                      | 341495745.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2167 | PA      | $2144.30      | 0.00%             | 2027-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5865751.UP.NBM                     | DRB5865751.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7554 | PA      | $7634.18      | 0.01%             | 2030-08-25      | Fixed         | 29.83%                | Yes           |                  3 | On Loan: No      |
| DRB5867848.UP.NBM                     | DRB5867848.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4266 | PA      | $4316.61      | 0.01%             | 2030-08-25      | Fixed         | 29.78%                | Yes           |                  3 | On Loan: No      |
| 343393444.UL.NBM                      | 343393444.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       161 | PA      | $160.07       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343402712.UL.NBM                      | 343402712.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1128 | PA      | $1119.02      | 0.00%             | 2027-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9893402.SQ.NBM                        | 9893402.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2495 | PA      | $2352.09      | 0.00%             | 2027-04-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9893423.SQ.NBM                        | 9893423.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1237 | PA      | $1181.92      | 0.00%             | 2027-04-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342167921.UL.NBM                      | 342167921.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2029 | PA      | $1883.92      | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342171683.UL.NBM                      | 342171683.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       288 | PA      | $284.97       | 0.00%             | 2026-05-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342534196.UL.NBM                      | 342534196.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       200 | PA      | $199.23       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342534361.UL.NBM                      | 342534361.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1610 | PA      | $1591.37      | 0.00%             | 2026-07-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341495957.UL.NBM                      | 341495957.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        36 | PA      | $35.32        | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341550337.UL.NBM                      | 341550337.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        68 | PA      | $67.93        | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343240380.UL.NBM                      | 343240380.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       205 | PA      | $204.38       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343243986.UL.NBM                      | 343243986.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        28 | PA      | $27.88        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342173353.UL.NBM                      | 342173353.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       823 | PA      | $818.47       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342174676.UL.NBM                      | 342174676.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       219 | PA      | $208.64       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9822432.SQ.NBM                        | 9822432.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1653 | PA      | $1571.06      | 0.00%             | 2027-03-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9822440.SQ.NBM                        | 9822440.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     46605 | PA      | $22546.38     | 0.03%             | 2027-03-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343402856.UL.NBM                      | 343402856.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       630 | PA      | $620.29       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343403199.UL.NBM                      | 343403199.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       692 | PA      | $682.16       | 0.00%             | 2027-08-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343160258.UL.NBM                      | 343160258.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       502 | PA      | $497.63       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343160336.UL.NBM                      | 343160336.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       954 | PA      | $948.37       | 0.00%             | 2026-07-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343245463.UL.NBM                      | 343245463.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        28 | PA      | $28.05        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343247028.UL.NBM                      | 343247028.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1125 | PA      | $1043.98      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341354022.UL.NBM                      | 341354022.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       110 | PA      | $105.86       | 0.00%             | 2026-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341354092.UL.NBM                      | 341354092.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       195 | PA      | $194.17       | 0.00%             | 2026-02-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| L5859250.UP.NBM                       | L5859250.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3186 | PA      | $3004.62      | 0.00%             | 2028-08-22      | Fixed         | 15.48%                | Yes           |                  3 | On Loan: No      |
| L5859252.UP.NBM                       | L5859252.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2300 | PA      | $32.60        | 0.00%             | 2030-08-22      | Fixed         | 23.26%                | Yes           |                  3 | On Loan: No      |
| CBM5873264.UP.NBM                     | CBM5873264.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2227 | PA      | $2213.00      | 0.00%             | 2030-08-26      | Fixed         | 28.54%                | Yes           |                  3 | On Loan: No      |
| DRB5860481.UP.NBM                     | DRB5860481.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6704 | PA      | $6807.83      | 0.01%             | 2030-08-22      | Fixed         | 30.12%                | Yes           |                  3 | On Loan: No      |
| 341354150.UL.NBM                      | 341354150.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       217 | PA      | $205.79       | 0.00%             | 2026-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341354697.UL.NBM                      | 341354697.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1169 | PA      | $1121.51      | 0.00%             | 2026-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342175394.UL.NBM                      | 342175394.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1502 | PA      | $1484.16      | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342175471.UL.NBM                      | 342175471.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       385 | PA      | $62.67        | 0.00%             | 2035-11-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343200406.UL.NBM                      | 343200406.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       282 | PA      | $280.47       | 0.00%             | 2026-05-26      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343200433.UL.NBM                      | 343200433.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       204 | PA      | $31.21        | 0.00%             | 2035-11-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342535441.UL.NBM                      | 342535441.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       813 | PA      | $752.02       | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342535834.UL.NBM                      | 342535834.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       123 | PA      | $122.27       | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341550468.UL.NBM                      | 341550468.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       184 | PA      | $182.31       | 0.00%             | 2026-05-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341550473.UL.NBM                      | 341550473.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1305 | PA      | $1234.26      | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343403453.UL.NBM                      | 343403453.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       108 | PA      | $107.35       | 0.00%             | 2026-02-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343408420.UL.NBM                      | 343408420.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        89 | PA      | $89.01        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343247090.UL.NBM                      | 343247090.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       115 | PA      | $114.45       | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343248816.UL.NBM                      | 343248816.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       184 | PA      | $182.44       | 0.00%             | 2026-05-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342175517.UL.NBM                      | 342175517.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       203 | PA      | $201.64       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342175694.UL.NBM                      | 342175694.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        88 | PA      | $88.01        | 0.00%             | 2026-02-22      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341356089.UL.NBM                      | 341356089.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       181 | PA      | $179.06       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341356104.UL.NBM                      | 341356104.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       427 | PA      | $424.57       | 0.00%             | 2026-02-19      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| DRB5860496.UP.NBM                     | DRB5860496.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1148 | PA      | $1162.12      | 0.00%             | 2030-08-25      | Fixed         | 31.17%                | Yes           |                  3 | On Loan: No      |
| DRB5860522.UP.NBM                     | DRB5860522.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2424 | PA      | $2454.76      | 0.00%             | 2030-08-22      | Fixed         | 29.93%                | Yes           |                  3 | On Loan: No      |
| 9893438.SQ.NBM                        | 9893438.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2691 | PA      | $2527.57      | 0.00%             | 2027-04-05      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9894974.SQ.NBM                        | 9894974.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1096 | PA      | $1041.62      | 0.00%             | 2027-04-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342177304.UL.NBM                      | 342177304.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        46 | PA      | $45.63        | 0.00%             | 2026-02-22      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342178085.UL.NBM                      | 342178085.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       161 | PA      | $160.49       | 0.00%             | 2026-02-22      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343408598.UL.NBM                      | 343408598.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        83 | PA      | $80.04        | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343409646.UL.NBM                      | 343409646.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       364 | PA      | $361.70       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342143950.UL.NBM                      | 342143950.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        49 | PA      | $48.41        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342144400.UL.NBM                      | 342144400.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2202 | PA      | $2176.29      | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343251740.UL.NBM                      | 343251740.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       538 | PA      | $140.43       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343252074.UL.NBM                      | 343252074.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       381 | PA      | $379.08       | 0.00%             | 2026-02-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341356241.UL.NBM                      | 341356241.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       261 | PA      | $258.13       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341356408.UL.NBM                      | 341356408.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       259 | PA      | $246.38       | 0.00%             | 2026-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342552964.UL.NBM                      | 342552964.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       712 | PA      | $680.72       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342553905.UL.NBM                      | 342553905.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       205 | PA      | $203.23       | 0.00%             | 2026-05-23      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342178209.UL.NBM                      | 342178209.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       397 | PA      | $393.31       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342179079.UL.NBM                      | 342179079.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        97 | PA      | $96.34        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9895013.SQ.NBM                        | 9895013.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       654 | PA      | $612.48       | 0.00%             | 2027-04-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9895050.SQ.NBM                        | 9895050.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     26823 | PA      | $25384.78     | 0.03%             | 2027-04-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343552147.UL.NBM                      | 343552147.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       168 | PA      | $167.87       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343552492.UL.NBM                      | 343552492.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        87 | PA      | $3.46         | 0.00%             | 2035-11-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343160356.UL.NBM                      | 343160356.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       260 | PA      | $257.33       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343168663.UL.NBM                      | 343168663.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       252 | PA      | $250.27       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5860524.UP.NBM                     | DRB5860524.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2881 | PA      | $2878.32      | 0.00%             | 2030-08-22      | Fixed         | 29.17%                | Yes           |                  3 | On Loan: No      |
| DRB5860910.UP.NBM                     | DRB5860910.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1895 | PA      | $1875.66      | 0.00%             | 2030-08-22      | Fixed         | 17.76%                | Yes           |                  3 | On Loan: No      |
| 342179350.UL.NBM                      | 342179350.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        50 | PA      | $49.79        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342180975.UL.NBM                      | 342180975.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       348 | PA      | $344.29       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9895950.SQ.NBM                        | 9895950.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17657 | PA      | $16608.54     | 0.02%             | 2027-04-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9896255.SQ.NBM                        | 9896255.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13351 | PA      | $12326.69     | 0.02%             | 2027-04-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342554062.UL.NBM                      | 342554062.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3764 | PA      | $3722.96      | 0.01%             | 2026-07-23      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342554775.UL.NBM                      | 342554775.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       763 | PA      | $761.49       | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343194458.UL.NBM                      | 343194458.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       445 | PA      | $441.53       | 0.00%             | 2026-05-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343194506.UL.NBM                      | 343194506.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        87 | PA      | $18.28        | 0.00%             | 2035-11-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343552611.UL.NBM                      | 343552611.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       706 | PA      | $703.56       | 0.00%             | 2026-02-26      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 343552683.UL.NBM                      | 343552683.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1705 | PA      | $1680.19      | 0.00%             | 2027-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341356740.UL.NBM                      | 341356740.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        77 | PA      | $75.96        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341356848.UL.NBM                      | 341356848.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       976 | PA      | $904.94       | 0.00%             | 2026-07-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9896448.SQ.NBM                        | 9896448.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12834 | PA      | $12122.34     | 0.02%             | 2027-04-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9896668.SQ.NBM                        | 9896668.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3155 | PA      | $2986.29      | 0.00%             | 2027-04-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5860913.UP.NBM                     | DRB5860913.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1007 | PA      | $945.86       | 0.00%             | 2028-08-22      | Fixed         | 19.70%                | Yes           |                  3 | On Loan: No      |
| DRB5870520.UP.NBM                     | DRB5870520.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2893 | PA      | $207.80       | 0.00%             | 2028-08-25      | Fixed         | 29.30%                | Yes           |                  3 | On Loan: No      |
| 342554949.UL.NBM                      | 342554949.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       338 | PA      | $337.97       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342555118.UL.NBM                      | 342555118.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        46 | PA      | $45.63        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341550493.UL.NBM                      | 341550493.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1268 | PA      | $1178.85      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341550988.UL.NBM                      | 341550988.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       668 | PA      | $663.87       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343194672.UL.NBM                      | 343194672.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       354 | PA      | $353.33       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343194698.UL.NBM                      | 343194698.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       327 | PA      | $324.33       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342181378.UL.NBM                      | 342181378.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2014 | PA      | $1994.08      | 0.00%             | 2026-05-22      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 342181845.UL.NBM                      | 342181845.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       110 | PA      | $109.13       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9896777.SQ.NBM                        | 9896777.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6321 | PA      | $5936.12      | 0.01%             | 2027-04-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9896880.SQ.NBM                        | 9896880.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       665 | PA      | $635.42       | 0.00%             | 2027-04-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5870569.UP.NBM                     | DRB5870569.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2383 | PA      | $550.05       | 0.00%             | 2030-08-25      | Fixed         | 29.26%                | Yes           |                  3 | On Loan: No      |
| DRB5870571.UP.NBM                     | DRB5870571.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15887 | PA      | $15853.23     | 0.02%             | 2030-08-25      | Fixed         | 28.86%                | Yes           |                  3 | On Loan: No      |
| 342556138.UL.NBM                      | 342556138.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       687 | PA      | $683.08       | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342556328.UL.NBM                      | 342556328.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       360 | PA      | $342.54       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341357084.UL.NBM                      | 341357084.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        42 | PA      | $42.05        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341357243.UL.NBM                      | 341357243.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       590 | PA      | $586.74       | 0.00%             | 2026-02-19      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 343553509.UL.NBM                      | 343553509.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       300 | PA      | $297.38       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343554415.UL.NBM                      | 343554415.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1419 | PA      | $593.62       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9896903.SQ.NBM                        | 9896903.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2310 | PA      | $2197.17      | 0.00%             | 2027-04-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9896936.SQ.NBM                        | 9896936.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14505 | PA      | $13167.65     | 0.02%             | 2027-04-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342222139.UL.NBM                      | 342222139.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       950 | PA      | $939.57       | 0.00%             | 2026-07-22      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342222929.UL.NBM                      | 342222929.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       227 | PA      | $224.98       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343252912.UL.NBM                      | 343252912.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1006 | PA      | $994.67       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343254436.UL.NBM                      | 343254436.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3099 | PA      | $3064.05      | 0.00%             | 2026-07-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| DRB5870650.UP.NBM                     | DRB5870650.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4799 | PA      | $4688.84      | 0.01%             | 2030-08-25      | Fixed         | 27.66%                | Yes           |                  3 | On Loan: No      |
| DRB5871416.UP.NBM                     | DRB5871416.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7017 | PA      | $6874.32      | 0.01%             | 2030-08-26      | Fixed         | 27.81%                | Yes           |                  3 | On Loan: No      |
| 343554845.UL.NBM                      | 343554845.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1008 | PA      | $996.83       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343554846.UL.NBM                      | 343554846.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       502 | PA      | $497.58       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9897184.SQ.NBM                        | 9897184.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2014 | PA      | $1906.80      | 0.00%             | 2027-04-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9897310.SQ.NBM                        | 9897310.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       683 | PA      | $662.85       | 0.00%             | 2027-04-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342223765.UL.NBM                      | 342223765.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        92 | PA      | $91.53        | 0.00%             | 2026-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342224761.UL.NBM                      | 342224761.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       310 | PA      | $309.91       | 0.00%             | 2026-02-22      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343254824.UL.NBM                      | 343254824.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       149 | PA      | $148.58       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343254933.UL.NBM                      | 343254933.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        89 | PA      | $89.21        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341357896.UL.NBM                      | 341357896.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $66.79        | 0.00%             | 2026-02-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341357959.UL.NBM                      | 341357959.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        61 | PA      | $60.90        | 0.00%             | 2026-02-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9900061.SQ.NBM                        | 9900061.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3151 | PA      | $2983.62      | 0.00%             | 2027-04-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9900156.SQ.NBM                        | 9900156.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2590 | PA      | $2080.97      | 0.00%             | 2027-04-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5871435.UP.NBM                     | DRB5871435.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5718 | PA      | $5930.89      | 0.01%             | 2030-08-25      | Fixed         | 31.58%                | Yes           |                  3 | On Loan: No      |
| DRB5871569.UP.NBM                     | DRB5871569.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5757 | PA      | $5474.59      | 0.01%             | 2030-08-26      | Fixed         | 19.70%                | Yes           |                  3 | On Loan: No      |
| 342228008.UL.NBM                      | 342228008.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1087 | PA      | $1004.06      | 0.00%             | 2026-08-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342228636.UL.NBM                      | 342228636.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       279 | PA      | $275.95       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343255508.UL.NBM                      | 343255508.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        43 | PA      | $43.24        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343257271.UL.NBM                      | 343257271.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       207 | PA      | $205.55       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343555335.UL.NBM                      | 343555335.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       162 | PA      | $161.16       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343555461.UL.NBM                      | 343555461.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5185 | PA      | $5183.26      | 0.01%             | 2027-08-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341358035.UL.NBM                      | 341358035.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1204 | PA      | $1113.28      | 0.00%             | 2026-07-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341358938.UL.NBM                      | 341358938.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       237 | PA      | $235.17       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343194765.UL.NBM                      | 343194765.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2217 | PA      | $2182.40      | 0.00%             | 2027-08-26      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 343194798.UL.NBM                      | 343194798.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       100 | PA      | $99.97        | 0.00%             | 2026-02-26      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 343257373.UL.NBM                      | 343257373.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       188 | PA      | $187.35       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343257447.UL.NBM                      | 343257447.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7411 | PA      | $7298.97      | 0.01%             | 2027-08-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342556395.UL.NBM                      | 342556395.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1660 | PA      | $1641.72      | 0.00%             | 2026-07-23      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 342556641.UL.NBM                      | 342556641.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        74 | PA      | $73.84        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343565125.UL.NBM                      | 343565125.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       440 | PA      | $438.91       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343565208.UL.NBM                      | 343565208.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        81 | PA      | $80.12        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343195548.UL.NBM                      | 343195548.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       176 | PA      | $174.77       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343195564.UL.NBM                      | 343195564.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2245 | PA      | $2225.27      | 0.00%             | 2026-05-26      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 342228975.UL.NBM                      | 342228975.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       518 | PA      | $515.04       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342229450.UL.NBM                      | 342229450.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        34 | PA      | $33.72        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5871614.UP.NBM                     | DRB5871614.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6499 | PA      | $6719.81      | 0.01%             | 2030-08-26      | Fixed         | 31.32%                | Yes           |                  3 | On Loan: No      |
| DRB5871756.UP.NBM                     | DRB5871756.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7464 | PA      | $7106.31      | 0.01%             | 2028-08-26      | Fixed         | 20.91%                | Yes           |                  3 | On Loan: No      |
| 341917596.UL.NBM                      | 341917596.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        66 | PA      | $65.76        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341918405.UL.NBM                      | 341918405.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       419 | PA      | $417.45       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342556850.UL.NBM                      | 342556850.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       835 | PA      | $825.79       | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342556875.UL.NBM                      | 342556875.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       381 | PA      | $377.50       | 0.00%             | 2026-05-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9900211.SQ.NBM                        | 9900211.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     29736 | PA      | $28154.20     | 0.04%             | 2027-04-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9900999.SQ.NBM                        | 9900999.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     42070 | PA      | $38004.94     | 0.05%             | 2027-04-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343392614.UL.NBM                      | 343392614.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       586 | PA      | $582.65       | 0.00%             | 2026-02-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343394032.UL.NBM                      | 343394032.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1815 | PA      | $1786.40      | 0.00%             | 2027-08-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341358968.UL.NBM                      | 341358968.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       207 | PA      | $205.92       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341359087.UL.NBM                      | 341359087.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        80 | PA      | $79.53        | 0.00%             | 2026-02-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342229479.UL.NBM                      | 342229479.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       809 | PA      | $744.53       | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342229691.UL.NBM                      | 342229691.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       350 | PA      | $351.09       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10109572.SQ.NBM                       | 10109572.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2379 | PA      | $2197.65      | 0.00%             | 2027-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10109620.SQ.NBM                       | 10109620.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3943 | PA      | $3761.41      | 0.01%             | 2027-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343565617.UL.NBM                      | 343565617.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       341 | PA      | $337.94       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343567650.UL.NBM                      | 343567650.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2050 | PA      | $1939.48      | 0.00%             | 2026-08-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343394806.UL.NBM                      | 343394806.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       149 | PA      | $148.46       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343395359.UL.NBM                      | 343395359.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       141 | PA      | $140.94       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342645756.UL.NBM                      | 342645756.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        40 | PA      | $39.51        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342645786.UL.NBM                      | 342645786.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       356 | PA      | $353.18       | 0.00%             | 2026-05-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| DRB5871761.UP.NBM                     | DRB5871761.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     24168 | PA      | $22530.89     | 0.03%             | 2030-08-26      | Fixed         | 14.08%                | Yes           |                  3 | On Loan: No      |
| DRB5871783.UP.NBM                     | DRB5871783.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8133 | PA      | $8048.18      | 0.01%             | 2030-08-26      | Fixed         | 28.28%                | Yes           |                  3 | On Loan: No      |
| 342144474.UL.NBM                      | 342144474.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       295 | PA      | $291.68       | 0.00%             | 2026-05-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342144499.UL.NBM                      | 342144499.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        39 | PA      | $38.81        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10109694.SQ.NBM                       | 10109694.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1686 | PA      | $1573.82      | 0.00%             | 2027-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10109716.SQ.NBM                       | 10109716.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4097 | PA      | $3674.22      | 0.01%             | 2027-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342229718.UL.NBM                      | 342229718.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       345 | PA      | $323.82       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342229845.UL.NBM                      | 342229845.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       361 | PA      | $358.64       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343396333.UL.NBM                      | 343396333.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        24 | PA      | $5.58         | 0.00%             | 2035-11-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343396912.UL.NBM                      | 343396912.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1255 | PA      | $1166.89      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342645987.UL.NBM                      | 342645987.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       265 | PA      | $251.55       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342646067.UL.NBM                      | 342646067.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       861 | PA      | $100.10       | 0.00%             | 2026-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343580499.UL.NBM                      | 343580499.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        30 | PA      | $30.35        | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343580974.UL.NBM                      | 343580974.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       311 | PA      | $309.81       | 0.00%             | 2026-02-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 10109797.SQ.NBM                       | 10109797.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3187 | PA      | $2985.51      | 0.00%             | 2027-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10109850.SQ.NBM                       | 10109850.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       592 | PA      | $556.01       | 0.00%             | 2027-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5871799.UP.NBM                     | DRB5871799.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2685 | PA      | $2613.16      | 0.00%             | 2028-08-26      | Fixed         | 28.31%                | Yes           |                  3 | On Loan: No      |
| DRB5871818.UP.NBM                     | DRB5871818.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1067 | PA      | $1090.61      | 0.00%             | 2030-08-26      | Fixed         | 30.41%                | Yes           |                  3 | On Loan: No      |
| 343397187.UL.NBM                      | 343397187.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1786 | PA      | $1664.76      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343397571.UL.NBM                      | 343397571.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1033 | PA      | $963.70       | 0.00%             | 2026-05-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342235911.UL.NBM                      | 342235911.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       171 | PA      | $169.82       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342236577.UL.NBM                      | 342236577.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       507 | PA      | $268.63       | 0.00%             | 2026-05-22      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342646205.UL.NBM                      | 342646205.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        58 | PA      | $57.44        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342646225.UL.NBM                      | 342646225.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       473 | PA      | $468.63       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10109863.SQ.NBM                       | 10109863.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13904 | PA      | $12833.54     | 0.02%             | 2027-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10110972.SQ.NBM                       | 10110972.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15813 | PA      | $14964.19     | 0.02%             | 2027-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343580992.UL.NBM                      | 343580992.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        60 | PA      | $59.31        | 0.00%             | 2026-02-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343581429.UL.NBM                      | 343581429.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       181 | PA      | $74.31        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341968829.UL.NBM                      | 341968829.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       739 | PA      | $732.73       | 0.00%             | 2026-07-22      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341969214.UL.NBM                      | 341969214.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1677 | PA      | $1677.84      | 0.00%             | 2027-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343302999.UL.NBM                      | 343302999.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       551 | PA      | $545.52       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343307928.UL.NBM                      | 343307928.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       432 | PA      | $429.05       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342913249.UL.NBM                      | 342913249.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       523 | PA      | $500.51       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342914104.UL.NBM                      | 342914104.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       723 | PA      | $714.76       | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10233084.SQ.NBM                       | 10233084.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5837 | PA      | $5468.02      | 0.01%             | 2027-06-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10233210.SQ.NBM                       | 10233210.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5302 | PA      | $4966.75      | 0.01%             | 2027-06-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5871820.UP.NBM                     | DRB5871820.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3692 | PA      | $3864.91      | 0.01%             | 2030-08-26      | Fixed         | 32.01%                | Yes           |                  3 | On Loan: No      |
| DRB5871992.UP.NBM                     | DRB5871992.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1846 | PA      | $1934.11      | 0.00%             | 2030-08-26      | Fixed         | 32.08%                | Yes           |                  3 | On Loan: No      |
| 342646270.UL.NBM                      | 342646270.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1255 | PA      | $1259.22      | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342646359.UL.NBM                      | 342646359.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        85 | PA      | $84.08        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10111907.SQ.NBM                       | 10111907.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1805 | PA      | $1581.39      | 0.00%             | 2027-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10112876.SQ.NBM                       | 10112876.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3041 | PA      | $2838.84      | 0.00%             | 2027-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343571702.UL.NBM                      | 343571702.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        42 | PA      | $41.53        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343571770.UL.NBM                      | 343571770.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       233 | PA      | $230.61       | 0.00%             | 2026-05-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343581711.UL.NBM                      | 343581711.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       128 | PA      | $127.60       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343581914.UL.NBM                      | 343581914.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        53 | PA      | $52.37        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342237118.UL.NBM                      | 342237118.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       818 | PA      | $808.38       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342237397.UL.NBM                      | 342237397.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        93 | PA      | $89.43        | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342646809.UL.NBM                      | 342646809.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       126 | PA      | $124.84       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342646887.UL.NBM                      | 342646887.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       197 | PA      | $198.59       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10112922.SQ.NBM                       | 10112922.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2746 | PA      | $2678.23      | 0.00%             | 2027-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10113022.SQ.NBM                       | 10113022.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10348 | PA      | $9790.25      | 0.01%             | 2027-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343572351.UL.NBM                      | 343572351.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       148 | PA      | $146.03       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343572974.UL.NBM                      | 343572974.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       246 | PA      | $243.40       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5871994.UP.NBM                     | DRB5871994.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1065 | PA      | $1060.79      | 0.00%             | 2030-08-26      | Fixed         | 28.68%                | Yes           |                  3 | On Loan: No      |
| DRB5872030.UP.NBM                     | DRB5872030.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     20420 | PA      | $1666.29      | 0.00%             | 2030-08-26      | Fixed         | 22.68%                | Yes           |                  3 | On Loan: No      |
| 343195595.UL.NBM                      | 343195595.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2954 | PA      | $2911.82      | 0.00%             | 2027-02-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343195644.UL.NBM                      | 343195644.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       287 | PA      | $47.86        | 0.00%             | 2035-11-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342647064.UL.NBM                      | 342647064.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       390 | PA      | $388.10       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342647108.UL.NBM                      | 342647108.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       259 | PA      | $256.84       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342288116.UL.NBM                      | 342288116.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       293 | PA      | $278.70       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342288117.UL.NBM                      | 342288117.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       367 | PA      | $363.95       | 0.00%             | 2026-05-23      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343575501.UL.NBM                      | 343575501.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       130 | PA      | $129.93       | 0.00%             | 2026-02-26      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343577125.UL.NBM                      | 343577125.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       222 | PA      | $219.83       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10113333.SQ.NBM                       | 10113333.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     20509 | PA      | $19382.97     | 0.03%             | 2027-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10113849.SQ.NBM                       | 10113849.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18229 | PA      | $17124.76     | 0.02%             | 2027-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342914237.UL.NBM                      | 342914237.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       613 | PA      | $608.95       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342914278.UL.NBM                      | 342914278.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        50 | PA      | $50.19        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343195875.UL.NBM                      | 343195875.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        33 | PA      | $32.69        | 0.00%             | 2026-02-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343195943.UL.NBM                      | 343195943.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       170 | PA      | $169.37       | 0.00%             | 2026-02-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342288423.UL.NBM                      | 342288423.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       461 | PA      | $456.37       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342288722.UL.NBM                      | 342288722.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       409 | PA      | $405.04       | 0.00%             | 2026-05-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343578261.UL.NBM                      | 343578261.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       111 | PA      | $26.58        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343578517.UL.NBM                      | 343578517.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1914 | PA      | $1893.12      | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5872043.UP.NBM                     | DRB5872043.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5817 | PA      | $5879.95      | 0.01%             | 2030-08-26      | Fixed         | 29.68%                | Yes           |                  3 | On Loan: No      |
| DRB5872057.UP.NBM                     | DRB5872057.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1826 | PA      | $1672.58      | 0.00%             | 2028-08-26      | Fixed         | 17.37%                | Yes           |                  3 | On Loan: No      |
| 343583033.UL.NBM                      | 343583033.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       322 | PA      | $321.04       | 0.00%             | 2026-05-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343583654.UL.NBM                      | 343583654.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1142 | PA      | $1130.35      | 0.00%             | 2026-07-27      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343195956.UL.NBM                      | 343195956.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       241 | PA      | $239.28       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343196035.UL.NBM                      | 343196035.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        77 | PA      | $76.61        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342288835.UL.NBM                      | 342288835.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       213 | PA      | $212.33       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342289098.UL.NBM                      | 342289098.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       230 | PA      | $228.75       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342914453.UL.NBM                      | 342914453.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       203 | PA      | $200.75       | 0.00%             | 2026-05-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342914801.UL.NBM                      | 342914801.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.59        | 0.00%             | 2026-02-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341483494.UL.NBM                      | 341483494.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       948 | PA      | $878.88       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341483538.UL.NBM                      | 341483538.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       544 | PA      | $538.28       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5859317.UP.NBM                       | L5859317.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5082 | PA      | $4895.56      | 0.01%             | 2030-08-22      | Fixed         | 16.08%                | Yes           |                  3 | On Loan: No      |
| L5859384.UP.NBM                       | L5859384.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3361 | PA      | $3231.09      | 0.00%             | 2030-08-22      | Fixed         | 20.45%                | Yes           |                  3 | On Loan: No      |
| 341553104.UL.NBM                      | 341553104.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1773 | PA      | $1744.32      | 0.00%             | 2027-08-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341553230.UL.NBM                      | 341553230.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        75 | PA      | $74.62        | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342653242.UL.NBM                      | 342653242.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       810 | PA      | $800.15       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342653250.UL.NBM                      | 342653250.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10203 | PA      | $10212.46     | 0.01%             | 2027-08-24      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| DRB5867862.UP.NBM                     | DRB5867862.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18293 | PA      | $18211.82     | 0.03%             | 2028-08-25      | Fixed         | 30.65%                | Yes           |                  3 | On Loan: No      |
| DRB5867875.UP.NBM                     | DRB5867875.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1356 | PA      | $1355.56      | 0.00%             | 2030-08-25      | Fixed         | 28.96%                | Yes           |                  3 | On Loan: No      |
| DRB5872152.UP.NBM                     | DRB5872152.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2363 | PA      | $528.67       | 0.00%             | 2030-08-26      | Fixed         | 28.75%                | Yes           |                  3 | On Loan: No      |
| DRB5872163.UP.NBM                     | DRB5872163.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1016 | PA      | $1020.87      | 0.00%             | 2028-08-26      | Fixed         | 26.17%                | Yes           |                  3 | On Loan: No      |
| 343196050.UL.NBM                      | 343196050.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       588 | PA      | $544.71       | 0.00%             | 2026-05-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343196189.UL.NBM                      | 343196189.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       178 | PA      | $176.33       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342289106.UL.NBM                      | 342289106.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        38 | PA      | $38.20        | 0.00%             | 2026-02-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342289115.UL.NBM                      | 342289115.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       207 | PA      | $205.34       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342647158.UL.NBM                      | 342647158.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1335 | PA      | $1248.01      | 0.00%             | 2026-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342647417.UL.NBM                      | 342647417.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       199 | PA      | $187.62       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5872177.UP.NBM                     | DRB5872177.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3760 | PA      | $3858.04      | 0.01%             | 2030-08-26      | Fixed         | 30.81%                | Yes           |                  3 | On Loan: No      |
| DRB5875968.UP.NBM                     | DRB5875968.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2337 | PA      | $2405.32      | 0.00%             | 2030-08-26      | Fixed         | 31.26%                | Yes           |                  3 | On Loan: No      |
| 343579787.UL.NBM                      | 343579787.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       121 | PA      | $120.95       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343579802.UL.NBM                      | 343579802.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3282 | PA      | $3229.52      | 0.00%             | 2027-08-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343196251.UL.NBM                      | 343196251.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       116 | PA      | $115.88       | 0.00%             | 2026-02-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343196308.UL.NBM                      | 343196308.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4438 | PA      | $4372.18      | 0.01%             | 2027-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342289123.UL.NBM                      | 342289123.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        86 | PA      | $85.82        | 0.00%             | 2026-02-26      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342289226.UL.NBM                      | 342289226.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       159 | PA      | $159.06       | 0.00%             | 2026-02-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 10114837.SQ.NBM                       | 10114837.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13949 | PA      | $13183.38     | 0.02%             | 2027-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10115097.SQ.NBM                       | 10115097.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6757 | PA      | $6324.15      | 0.01%             | 2027-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341483656.UL.NBM                      | 341483656.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       132 | PA      | $131.29       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341484061.UL.NBM                      | 341484061.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        84 | PA      | $80.82        | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342647580.UL.NBM                      | 342647580.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       128 | PA      | $127.69       | 0.00%             | 2026-02-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342703760.UL.NBM                      | 342703760.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        35 | PA      | $35.14        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9822718.SQ.NBM                        | 9822718.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1194 | PA      | $1141.57      | 0.00%             | 2027-03-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9822728.SQ.NBM                        | 9822728.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6355 | PA      | $6005.32      | 0.01%             | 2027-03-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343196389.UL.NBM                      | 343196389.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       319 | PA      | $316.49       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343196438.UL.NBM                      | 343196438.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       525 | PA      | $527.38       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342653485.UL.NBM                      | 342653485.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       319 | PA      | $316.06       | 0.00%             | 2026-05-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342653508.UL.NBM                      | 342653508.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       174 | PA      | $173.15       | 0.00%             | 2026-02-24      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| L5860783.UP.NBM                       | L5860783.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       904 | PA      | $885.32       | 0.00%             | 2028-08-22      | Fixed         | 23.93%                | Yes           |                  3 | On Loan: No      |
| L5860819.UP.NBM                       | L5860819.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3054 | PA      | $2999.12      | 0.00%             | 2030-08-22      | Fixed         | 17.30%                | Yes           |                  3 | On Loan: No      |
| 342915027.UL.NBM                      | 342915027.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1233 | PA      | $1218.17      | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342932907.UL.NBM                      | 342932907.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        36 | PA      | $36.28        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342706641.UL.NBM                      | 342706641.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       527 | PA      | $489.26       | 0.00%             | 2026-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342707932.UL.NBM                      | 342707932.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       582 | PA      | $541.85       | 0.00%             | 2026-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9767496.SQ.NBM                        | 9767496.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7416 | PA      | $6989.33      | 0.01%             | 2027-03-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9767565.SQ.NBM                        | 9767565.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9321 | PA      | $8796.13      | 0.01%             | 2027-03-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343265279.UL.NBM                      | 343265279.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        50 | PA      | $50.29        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343266532.UL.NBM                      | 343266532.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       966 | PA      | $890.53       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10233386.SQ.NBM                       | 10233386.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18018 | PA      | $16875.47     | 0.02%             | 2027-06-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10235132.SQ.NBM                       | 10235132.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1245 | PA      | $1148.38      | 0.00%             | 2027-06-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342933010.UL.NBM                      | 342933010.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       121 | PA      | $121.16       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342933012.UL.NBM                      | 342933012.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       636 | PA      | $633.01       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341775923.UL.NBM                      | 341775923.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       134 | PA      | $133.53       | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341783249.UL.NBM                      | 341783249.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1390 | PA      | $325.21       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342937377.UL.NBM                      | 342937377.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       822 | PA      | $760.28       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342937405.UL.NBM                      | 342937405.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       301 | PA      | $297.95       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342102269.UL.NBM                      | 342102269.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       479 | PA      | $452.93       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342104110.UL.NBM                      | 342104110.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       191 | PA      | $190.49       | 0.00%             | 2026-02-22      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341969308.UL.NBM                      | 341969308.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3366 | PA      | $3310.43      | 0.00%             | 2027-08-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341969324.UL.NBM                      | 341969324.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       780 | PA      | $773.50       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342144819.UL.NBM                      | 342144819.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       106 | PA      | $105.06       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342144946.UL.NBM                      | 342144946.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       740 | PA      | $742.54       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341389884.UL.NBM                      | 341389884.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1707 | PA      | $1678.70      | 0.00%             | 2027-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341389886.UL.NBM                      | 341389886.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2363 | PA      | $2324.63      | 0.00%             | 2027-08-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343185668.UL.NBM                      | 343185668.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       909 | PA      | $905.53       | 0.00%             | 2026-02-26      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 343185762.UL.NBM                      | 343185762.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        80 | PA      | $79.36        | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341783284.UL.NBM                      | 341783284.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       290 | PA      | $287.66       | 0.00%             | 2026-05-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341783600.UL.NBM                      | 341783600.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       133 | PA      | $128.23       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341484580.UL.NBM                      | 341484580.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       564 | PA      | $522.71       | 0.00%             | 2026-05-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341484697.UL.NBM                      | 341484697.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       315 | PA      | $317.28       | 0.00%             | 2026-02-20      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| DRB5867880.UP.NBM                     | DRB5867880.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4546 | PA      | $4493.71      | 0.01%             | 2028-08-25      | Fixed         | 29.93%                | Yes           |                  3 | On Loan: No      |
| DRB5868901.UP.NBM                     | DRB5868901.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       939 | PA      | $928.12       | 0.00%             | 2030-08-25      | Fixed         | 28.41%                | Yes           |                  3 | On Loan: No      |
| 342145277.UL.NBM                      | 342145277.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       158 | PA      | $156.17       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342145579.UL.NBM                      | 342145579.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        41 | PA      | $41.06        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343203602.UL.NBM                      | 343203602.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2670 | PA      | $2630.28      | 0.00%             | 2027-08-26      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 343203634.UL.NBM                      | 343203634.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       220 | PA      | $218.53       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343163642.UL.NBM                      | 343163642.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1237 | PA      | $1242.41      | 0.00%             | 2026-07-25      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 343164072.UL.NBM                      | 343164072.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       135 | PA      | $134.03       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343307977.UL.NBM                      | 343307977.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       372 | PA      | $368.37       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343308866.UL.NBM                      | 343308866.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       307 | PA      | $304.93       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342933021.UL.NBM                      | 342933021.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       684 | PA      | $57.80        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342934926.UL.NBM                      | 342934926.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       896 | PA      | $820.50       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343204236.UL.NBM                      | 343204236.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       137 | PA      | $135.96       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5866408.UP.NBM                     | DRB5866408.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4492 | PA      | $4460.96      | 0.01%             | 2028-08-25      | Fixed         | 30.71%                | Yes           |                  3 | On Loan: No      |
| 343269070.UL.NBM                      | 343269070.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       158 | PA      | $157.34       | 0.00%             | 2026-02-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343269477.UL.NBM                      | 343269477.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       446 | PA      | $441.60       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5859391.UP.NBM                       | L5859391.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15759 | PA      | $15030.36     | 0.02%             | 2030-08-22      | Fixed         | 26.16%                | Yes           |                  3 | On Loan: No      |
| L5859397.UP.NBM                       | L5859397.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1055 | PA      | $1075.38      | 0.00%             | 2030-08-22      | Fixed         | 19.49%                | Yes           |                  3 | On Loan: No      |
| 343164185.UL.NBM                      | 343164185.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1924 | PA      | $1892.46      | 0.00%             | 2027-08-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343164225.UL.NBM                      | 343164225.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       204 | PA      | $205.85       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342934980.UL.NBM                      | 342934980.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       613 | PA      | $609.29       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342935034.UL.NBM                      | 342935034.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       908 | PA      | $897.98       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342104287.UL.NBM                      | 342104287.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        79 | PA      | $78.11        | 0.00%             | 2026-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342104353.UL.NBM                      | 342104353.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       530 | PA      | $528.70       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5875980.UP.NBM                     | DRB5875980.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4460 | PA      | $4502.47      | 0.01%             | 2030-08-26      | Fixed         | 29.60%                | Yes           |                  3 | On Loan: No      |
| DRB5875982.UP.NBM                     | DRB5875982.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5722 | PA      | $5820.85      | 0.01%             | 2030-08-26      | Fixed         | 30.10%                | Yes           |                  3 | On Loan: No      |
| DRB5866411.UP.NBM                     | DRB5866411.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4021 | PA      | $4245.62      | 0.01%             | 2030-08-25      | Fixed         | 32.30%                | Yes           |                  3 | On Loan: No      |
| DRB5866412.UP.NBM                     | DRB5866412.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     20146 | PA      | $20355.89     | 0.03%             | 2030-08-25      | Fixed         | 29.89%                | Yes           |                  3 | On Loan: No      |
| 343269965.UL.NBM                      | 343269965.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1374 | PA      | $1354.14      | 0.00%             | 2027-02-26      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 343273894.UL.NBM                      | 343273894.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1675 | PA      | $1650.94      | 0.00%             | 2027-02-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343190524.UL.NBM                      | 343190524.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       357 | PA      | $356.55       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343190603.UL.NBM                      | 343190603.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       457 | PA      | $461.03       | 0.00%             | 2026-02-26      | Fixed         | 25.99%                | Yes           |                  3 | On Loan: No      |
| 342935140.UL.NBM                      | 342935140.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       667 | PA      | $658.57       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342935388.UL.NBM                      | 342935388.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       578 | PA      | $573.41       | 0.00%             | 2026-05-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342104428.UL.NBM                      | 342104428.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       839 | PA      | $833.77       | 0.00%             | 2026-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342106265.UL.NBM                      | 342106265.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       246 | PA      | $243.32       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5866423.UP.NBM                     | DRB5866423.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1579 | PA      | $1574.89      | 0.00%             | 2028-08-25      | Fixed         | 30.84%                | Yes           |                  3 | On Loan: No      |
| DRB5866475.UP.NBM                     | DRB5866475.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1664 | PA      | $1724.49      | 0.00%             | 2030-08-25      | Fixed         | 31.11%                | Yes           |                  3 | On Loan: No      |
| 343274046.UL.NBM                      | 343274046.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       259 | PA      | $257.12       | 0.00%             | 2026-05-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343274142.UL.NBM                      | 343274142.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       174 | PA      | $172.61       | 0.00%             | 2026-05-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341553305.UL.NBM                      | 341553305.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2860 | PA      | $2657.28      | 0.00%             | 2026-07-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341553378.UL.NBM                      | 341553378.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       363 | PA      | $338.58       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343190607.UL.NBM                      | 343190607.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       210 | PA      | $208.43       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343190614.UL.NBM                      | 343190614.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       198 | PA      | $197.34       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9850104.SQ.NBM                        | 9850104.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       947 | PA      | $893.04       | 0.00%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9850134.SQ.NBM                        | 9850134.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2219 | PA      | $2129.34      | 0.00%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342106430.UL.NBM                      | 342106430.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       218 | PA      | $216.45       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342108442.UL.NBM                      | 342108442.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       175 | PA      | $173.04       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342935581.UL.NBM                      | 342935581.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       247 | PA      | $245.17       | 0.00%             | 2026-05-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342935594.UL.NBM                      | 342935594.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        90 | PA      | $89.46        | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5866482.UP.NBM                     | DRB5866482.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16837 | PA      | $16671.66     | 0.02%             | 2028-08-25      | Fixed         | 30.59%                | Yes           |                  3 | On Loan: No      |
| DRB5866491.UP.NBM                     | DRB5866491.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2259 | PA      | $2270.73      | 0.00%             | 2030-08-25      | Fixed         | 29.89%                | Yes           |                  3 | On Loan: No      |
| DRB5868909.UP.NBM                     | DRB5868909.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1255 | PA      | $1269.11      | 0.00%             | 2030-08-25      | Fixed         | 29.88%                | Yes           |                  3 | On Loan: No      |
| DRB5869077.UP.NBM                     | DRB5869077.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9662 | PA      | $9250.65      | 0.01%             | 2030-08-25      | Fixed         | 26.16%                | Yes           |                  3 | On Loan: No      |
| 342937582.UL.NBM                      | 342937582.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       757 | PA      | $748.95       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342937597.UL.NBM                      | 342937597.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       186 | PA      | $185.14       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342109583.UL.NBM                      | 342109583.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       299 | PA      | $284.62       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342477830.UL.NBM                      | 342477830.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1065 | PA      | $988.64       | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5866516.UP.NBM                     | DRB5866516.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6705 | PA      | $7049.18      | 0.01%             | 2030-08-25      | Fixed         | 32.34%                | Yes           |                  3 | On Loan: No      |
| DRB5866530.UP.NBM                     | DRB5866530.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       800 | PA      | $784.86       | 0.00%             | 2028-08-25      | Fixed         | 19.13%                | Yes           |                  3 | On Loan: No      |
| 342935713.UL.NBM                      | 342935713.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1859 | PA      | $1830.36      | 0.00%             | 2027-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342935730.UL.NBM                      | 342935730.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       219 | PA      | $217.10       | 0.00%             | 2026-05-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343191001.UL.NBM                      | 343191001.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        82 | PA      | $81.21        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343191011.UL.NBM                      | 343191011.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       493 | PA      | $490.16       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342289266.UL.NBM                      | 342289266.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1458 | PA      | $1435.98      | 0.00%             | 2027-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342289268.UL.NBM                      | 342289268.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        58 | PA      | $57.76        | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343308965.UL.NBM                      | 343308965.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       168 | PA      | $166.84       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343324837.UL.NBM                      | 343324837.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       556 | PA      | $516.44       | 0.00%             | 2026-05-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5866534.UP.NBM                     | DRB5866534.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2040 | PA      | $2116.39      | 0.00%             | 2030-08-25      | Fixed         | 31.46%                | Yes           |                  3 | On Loan: No      |
| DRB5866542.UP.NBM                     | DRB5866542.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4641 | PA      | $4482.10      | 0.01%             | 2030-08-25      | Fixed         | 26.73%                | Yes           |                  3 | On Loan: No      |
| 342478376.UL.NBM                      | 342478376.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4277 | PA      | $4274.11      | 0.01%             | 2027-08-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342479103.UL.NBM                      | 342479103.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       126 | PA      | $121.44       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341983686.UL.NBM                      | 341983686.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        79 | PA      | $78.64        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341983734.UL.NBM                      | 341983734.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2236 | PA      | $2209.68      | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342935805.UL.NBM                      | 342935805.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       277 | PA      | $276.15       | 0.00%             | 2026-02-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342935859.UL.NBM                      | 342935859.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       264 | PA      | $262.09       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343191225.UL.NBM                      | 343191225.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        37 | PA      | $37.26        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343191253.UL.NBM                      | 343191253.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2803 | PA      | $2771.01      | 0.00%             | 2027-08-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5859407.UP.NBM                       | L5859407.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4478 | PA      | $4292.24      | 0.01%             | 2028-08-22      | Fixed         | 17.00%                | Yes           |                  3 | On Loan: No      |
| L5859426.UP.NBM                       | L5859426.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5258 | PA      | $4922.81      | 0.01%             | 2028-08-22      | Fixed         | 14.82%                | Yes           |                  3 | On Loan: No      |
| 342479213.UL.NBM                      | 342479213.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1948 | PA      | $1946.43      | 0.00%             | 2027-08-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342480060.UL.NBM                      | 342480060.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1558 | PA      | $1451.50      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342289270.UL.NBM                      | 342289270.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $66.83        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342289441.UL.NBM                      | 342289441.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1061 | PA      | $979.13       | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5866549.UP.NBM                     | DRB5866549.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3157 | PA      | $3143.14      | 0.00%             | 2028-08-25      | Fixed         | 30.65%                | Yes           |                  3 | On Loan: No      |
| DRB5866555.UP.NBM                     | DRB5866555.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3080 | PA      | $3112.72      | 0.00%             | 2030-08-25      | Fixed         | 29.83%                | Yes           |                  3 | On Loan: No      |
| 342937704.UL.NBM                      | 342937704.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       241 | PA      | $238.87       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342937724.UL.NBM                      | 342937724.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        75 | PA      | $74.40        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343191454.UL.NBM                      | 343191454.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       222 | PA      | $220.51       | 0.00%             | 2026-02-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343191487.UL.NBM                      | 343191487.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        98 | PA      | $97.98        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342935879.UL.NBM                      | 342935879.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       411 | PA      | $409.36       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342935919.UL.NBM                      | 342935919.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       722 | PA      | $169.15       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341555437.UL.NBM                      | 341555437.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        33 | PA      | $33.19        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341556402.UL.NBM                      | 341556402.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        37 | PA      | $37.05        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5866567.UP.NBM                     | DRB5866567.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4244 | PA      | $4376.83      | 0.01%             | 2030-08-25      | Fixed         | 31.18%                | Yes           |                  3 | On Loan: No      |
| DRB5866570.UP.NBM                     | DRB5866570.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2700 | PA      | $195.67       | 0.00%             | 2030-08-25      | Fixed         | 31.37%                | Yes           |                  3 | On Loan: No      |
| 342653546.UL.NBM                      | 342653546.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       149 | PA      | $148.17       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342653564.UL.NBM                      | 342653564.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3019 | PA      | $2975.41      | 0.00%             | 2027-02-24      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342480390.UL.NBM                      | 342480390.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       195 | PA      | $192.98       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342480460.UL.NBM                      | 342480460.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       786 | PA      | $751.86       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342289705.UL.NBM                      | 342289705.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       114 | PA      | $26.89        | 0.00%             | 2035-11-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342289849.UL.NBM                      | 342289849.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        65 | PA      | $64.85        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343191577.UL.NBM                      | 343191577.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1237 | PA      | $1231.25      | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343191673.UL.NBM                      | 343191673.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        60 | PA      | $59.42        | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| DRB5866574.UP.NBM                     | DRB5866574.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1059 | PA      | $1010.67      | 0.00%             | 2030-08-25      | Fixed         | 22.65%                | Yes           |                  3 | On Loan: No      |
| 343324920.UL.NBM                      | 343324920.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       185 | PA      | $184.25       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343325478.UL.NBM                      | 343325478.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       609 | PA      | $602.67       | 0.00%             | 2026-07-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342935921.UL.NBM                      | 342935921.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        74 | PA      | $73.41        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342935924.UL.NBM                      | 342935924.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1030 | PA      | $1018.42      | 0.00%             | 2026-07-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341556575.UL.NBM                      | 341556575.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        73 | PA      | $72.55        | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341556629.UL.NBM                      | 341556629.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       550 | PA      | $546.37       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342480754.UL.NBM                      | 342480754.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       439 | PA      | $436.50       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342481097.UL.NBM                      | 342481097.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        85 | PA      | $84.68        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343191694.UL.NBM                      | 343191694.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       192 | PA      | $190.86       | 0.00%             | 2026-05-26      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343191749.UL.NBM                      | 343191749.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       385 | PA      | $381.37       | 0.00%             | 2026-05-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342289851.UL.NBM                      | 342289851.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       870 | PA      | $865.13       | 0.00%             | 2026-02-23      | Fixed         | 25.99%                | Yes           |                  3 | On Loan: No      |
| 342289934.UL.NBM                      | 342289934.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       150 | PA      | $17.50        | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342937779.UL.NBM                      | 342937779.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2593 | PA      | $2554.47      | 0.00%             | 2027-08-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342937859.UL.NBM                      | 342937859.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       772 | PA      | $717.49       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342935932.UL.NBM                      | 342935932.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       673 | PA      | $670.19       | 0.00%             | 2026-02-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342935946.UL.NBM                      | 342935946.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       223 | PA      | $222.27       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342483588.UL.NBM                      | 342483588.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       125 | PA      | $123.75       | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342484202.UL.NBM                      | 342484202.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        42 | PA      | $41.47        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5859427.UP.NBM                       | L5859427.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2209 | PA      | $2121.22      | 0.00%             | 2030-08-22      | Fixed         | 20.51%                | Yes           |                  3 | On Loan: No      |
| L5859575.UP.NBM                       | L5859575.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6521 | PA      | $6615.57      | 0.01%             | 2030-08-22      | Fixed         | 19.21%                | Yes           |                  3 | On Loan: No      |
| 341556739.UL.NBM                      | 341556739.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       102 | PA      | $101.03       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341557011.UL.NBM                      | 341557011.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       941 | PA      | $931.98       | 0.00%             | 2026-07-28      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342289936.UL.NBM                      | 342289936.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        76 | PA      | $75.64        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342290112.UL.NBM                      | 342290112.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |         8 | PA      | $7.92         | 0.00%             | 2026-05-23      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341983771.UL.NBM                      | 341983771.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       303 | PA      | $287.95       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341983863.UL.NBM                      | 341983863.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       551 | PA      | $547.80       | 0.00%             | 2026-02-22      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342484229.UL.NBM                      | 342484229.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        93 | PA      | $90.11        | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342486194.UL.NBM                      | 342486194.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       138 | PA      | $136.91       | 0.00%             | 2026-05-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342653668.UL.NBM                      | 342653668.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1559 | PA      | $1541.33      | 0.00%             | 2026-07-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342653698.UL.NBM                      | 342653698.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2601 | PA      | $2559.20      | 0.00%             | 2027-08-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341557032.UL.NBM                      | 341557032.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       330 | PA      | $326.90       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341557148.UL.NBM                      | 341557148.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       175 | PA      | $173.05       | 0.00%             | 2026-05-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342936057.UL.NBM                      | 342936057.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       124 | PA      | $123.74       | 0.00%             | 2026-02-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342936060.UL.NBM                      | 342936060.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        55 | PA      | $54.66        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342486422.UL.NBM                      | 342486422.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       136 | PA      | $134.87       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342486722.UL.NBM                      | 342486722.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       843 | PA      | $803.32       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343325713.UL.NBM                      | 343325713.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       508 | PA      | $509.46       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343326270.UL.NBM                      | 343326270.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       382 | PA      | $382.86       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342290149.UL.NBM                      | 342290149.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       506 | PA      | $469.35       | 0.00%             | 2026-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342290158.UL.NBM                      | 342290158.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1716 | PA      | $1599.29      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342244016.UL.NBM                      | 342244016.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2148 | PA      | $2113.08      | 0.00%             | 2027-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342244269.UL.NBM                      | 342244269.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       419 | PA      | $416.88       | 0.00%             | 2026-02-22      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341557229.UL.NBM                      | 341557229.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       723 | PA      | $718.99       | 0.00%             | 2026-02-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341557314.UL.NBM                      | 341557314.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       330 | PA      | $47.03        | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342936248.UL.NBM                      | 342936248.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        10 | PA      | $10.11        | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342936274.UL.NBM                      | 342936274.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3432 | PA      | $3381.79      | 0.00%             | 2027-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342486764.UL.NBM                      | 342486764.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1221 | PA      | $1134.43      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342486888.UL.NBM                      | 342486888.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       833 | PA      | $827.69       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342653887.UL.NBM                      | 342653887.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        62 | PA      | $61.75        | 0.00%             | 2026-02-24      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342653897.UL.NBM                      | 342653897.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $17.26        | 0.00%             | 2035-11-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342290159.UL.NBM                      | 342290159.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       795 | PA      | $785.87       | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342290163.UL.NBM                      | 342290163.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       737 | PA      | $680.32       | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343327976.UL.NBM                      | 343327976.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1024 | PA      | $332.82       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343328315.UL.NBM                      | 343328315.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       279 | PA      | $276.51       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341557380.UL.NBM                      | 341557380.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2515 | PA      | $2409.35      | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341557414.UL.NBM                      | 341557414.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       502 | PA      | $496.97       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342487204.UL.NBM                      | 342487204.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       795 | PA      | $64.98        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342487741.UL.NBM                      | 342487741.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       297 | PA      | $294.92       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5869548.UP.NBM                     | DRB5869548.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     33648 | PA      | $41065.28     | 0.06%             | 2031-01-25      | Fixed         | 32.21%                | Yes           |                  3 | On Loan: No      |
| DRB5869852.UP.NBM                     | DRB5869852.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2525 | PA      | $2624.75      | 0.00%             | 2030-08-25      | Fixed         | 31.58%                | Yes           |                  3 | On Loan: No      |
| DRB5875986.UP.NBM                     | DRB5875986.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4352 | PA      | $4221.12      | 0.01%             | 2030-08-26      | Fixed         | 26.98%                | Yes           |                  3 | On Loan: No      |
| DRB5875992.UP.NBM                     | DRB5875992.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7855 | PA      | $7969.60      | 0.01%             | 2030-08-26      | Fixed         | 29.93%                | Yes           |                  3 | On Loan: No      |
| 342936326.UL.NBM                      | 342936326.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1263 | PA      | $1256.50      | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342936331.UL.NBM                      | 342936331.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        82 | PA      | $81.27        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342290202.UL.NBM                      | 342290202.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       532 | PA      | $494.60       | 0.00%             | 2026-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342290386.UL.NBM                      | 342290386.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $70.04        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342491188.UL.NBM                      | 342491188.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        62 | PA      | $61.31        | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342491531.UL.NBM                      | 342491531.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       121 | PA      | $120.98       | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343363455.UL.NBM                      | 343363455.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       511 | PA      | $133.84       | 0.00%             | 2035-11-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343363833.UL.NBM                      | 343363833.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       173 | PA      | $162.56       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342145632.UL.NBM                      | 342145632.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       458 | PA      | $453.65       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342145799.UL.NBM                      | 342145799.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       274 | PA      | $271.76       | 0.00%             | 2026-05-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342653990.UL.NBM                      | 342653990.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        48 | PA      | $47.67        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342653996.UL.NBM                      | 342653996.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       456 | PA      | $454.29       | 0.00%             | 2026-03-01      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342937865.UL.NBM                      | 342937865.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        30 | PA      | $29.41        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342937934.UL.NBM                      | 342937934.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       114 | PA      | $113.79       | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9767651.SQ.NBM                        | 9767651.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6855 | PA      | $6553.30      | 0.01%             | 2027-03-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9767702.SQ.NBM                        | 9767702.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13601 | PA      | $3015.39      | 0.00%             | 2027-03-07      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342290421.UL.NBM                      | 342290421.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       202 | PA      | $200.30       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342290536.UL.NBM                      | 342290536.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       117 | PA      | $116.36       | 0.00%             | 2026-02-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342940206.UL.NBM                      | 342940206.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       188 | PA      | $186.63       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342940244.UL.NBM                      | 342940244.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       224 | PA      | $222.50       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343363925.UL.NBM                      | 343363925.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1765 | PA      | $1607.58      | 0.00%             | 2027-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343364384.UL.NBM                      | 343364384.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       191 | PA      | $179.82       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342491809.UL.NBM                      | 342491809.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       599 | PA      | $554.90       | 0.00%             | 2026-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342491878.UL.NBM                      | 342491878.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       776 | PA      | $96.55        | 0.00%             | 2035-11-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5869992.UP.NBM                     | DRB5869992.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2815 | PA      | $2912.27      | 0.00%             | 2030-08-25      | Fixed         | 31.25%                | Yes           |                  3 | On Loan: No      |
| DRB5870057.UP.NBM                     | DRB5870057.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2561 | PA      | $2693.31      | 0.00%             | 2030-08-25      | Fixed         | 32.02%                | Yes           |                  3 | On Loan: No      |
| 342938225.UL.NBM                      | 342938225.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       282 | PA      | $280.20       | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342938303.UL.NBM                      | 342938303.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       124 | PA      | $123.11       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342940555.UL.NBM                      | 342940555.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       296 | PA      | $295.90       | 0.00%             | 2026-02-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342940761.UL.NBM                      | 342940761.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       323 | PA      | $320.21       | 0.00%             | 2026-05-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342290675.UL.NBM                      | 342290675.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        73 | PA      | $72.37        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342290712.UL.NBM                      | 342290712.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        94 | PA      | $93.78        | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342492531.UL.NBM                      | 342492531.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        38 | PA      | $37.39        | 0.00%             | 2026-02-23      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342492704.UL.NBM                      | 342492704.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       679 | PA      | $675.98       | 0.00%             | 2026-02-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342145948.UL.NBM                      | 342145948.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       108 | PA      | $106.98       | 0.00%             | 2026-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342291064.UL.NBM                      | 342291064.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        71 | PA      | $71.91        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341588636.UL.NBM                      | 341588636.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        56 | PA      | $55.42        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341588666.UL.NBM                      | 341588666.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       196 | PA      | $194.61       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342940773.UL.NBM                      | 342940773.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1212 | PA      | $582.25       | 0.00%             | 2026-07-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342940803.UL.NBM                      | 342940803.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1101 | PA      | $1090.22      | 0.00%             | 2027-02-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342938315.UL.NBM                      | 342938315.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        40 | PA      | $39.36        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342938320.UL.NBM                      | 342938320.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.19        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342492713.UL.NBM                      | 342492713.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        75 | PA      | $71.44        | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342492786.UL.NBM                      | 342492786.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5323 | PA      | $5265.24      | 0.01%             | 2026-07-23      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| DRB5873458.UP.NBM                     | DRB5873458.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2034 | PA      | $2022.15      | 0.00%             | 2030-08-26      | Fixed         | 28.59%                | Yes           |                  3 | On Loan: No      |
| DRB5873460.UP.NBM                     | DRB5873460.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2120 | PA      | $2142.04      | 0.00%             | 2030-08-26      | Fixed         | 23.54%                | Yes           |                  3 | On Loan: No      |
| 341588767.UL.NBM                      | 341588767.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2786 | PA      | $2547.34      | 0.00%             | 2027-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341588787.UL.NBM                      | 341588787.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       537 | PA      | $534.22       | 0.00%             | 2026-02-21      | Fixed         | 25.99%                | Yes           |                  3 | On Loan: No      |
| 342654027.UL.NBM                      | 342654027.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        34 | PA      | $33.86        | 0.00%             | 2026-02-24      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342654163.UL.NBM                      | 342654163.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       106 | PA      | $105.96       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342940829.UL.NBM                      | 342940829.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       446 | PA      | $441.69       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342941123.UL.NBM                      | 342941123.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       490 | PA      | $485.76       | 0.00%             | 2026-05-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342939045.UL.NBM                      | 342939045.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       165 | PA      | $158.86       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342939056.UL.NBM                      | 342939056.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       649 | PA      | $646.01       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341588874.UL.NBM                      | 341588874.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       304 | PA      | $128.40       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341588875.UL.NBM                      | 341588875.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1876 | PA      | $1853.38      | 0.00%             | 2027-08-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342291076.UL.NBM                      | 342291076.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       183 | PA      | $182.25       | 0.00%             | 2026-05-23      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342291155.UL.NBM                      | 342291155.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        84 | PA      | $83.90        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342290784.UL.NBM                      | 342290784.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       304 | PA      | $302.09       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342290795.UL.NBM                      | 342290795.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       956 | PA      | $951.92       | 0.00%             | 2026-02-23      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| DRB5873467.UP.NBM                     | DRB5873467.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6174 | PA      | $6204.66      | 0.01%             | 2030-08-26      | Fixed         | 29.07%                | Yes           |                  3 | On Loan: No      |
| DRB5873480.UP.NBM                     | DRB5873480.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2812 | PA      | $2858.84      | 0.00%             | 2030-08-26      | Fixed         | 30.05%                | Yes           |                  3 | On Loan: No      |
| 341588899.UL.NBM                      | 341588899.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       416 | PA      | $414.35       | 0.00%             | 2026-05-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341588955.UL.NBM                      | 341588955.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       181 | PA      | $179.01       | 0.00%             | 2026-05-21      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342941165.UL.NBM                      | 342941165.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       272 | PA      | $270.30       | 0.00%             | 2026-02-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342941240.UL.NBM                      | 342941240.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        42 | PA      | $41.79        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342654164.UL.NBM                      | 342654164.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       827 | PA      | $82.53        | 0.00%             | 2026-05-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342654181.UL.NBM                      | 342654181.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       704 | PA      | $662.85       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342291177.UL.NBM                      | 342291177.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       682 | PA      | $675.72       | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342366882.UL.NBM                      | 342366882.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       288 | PA      | $287.61       | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341589066.UL.NBM                      | 341589066.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       670 | PA      | $332.77       | 0.00%             | 2026-05-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341589080.UL.NBM                      | 341589080.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        84 | PA      | $83.40        | 0.00%             | 2026-02-21      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342303426.UL.NBM                      | 342303426.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       313 | PA      | $311.31       | 0.00%             | 2026-05-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342303491.UL.NBM                      | 342303491.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       298 | PA      | $295.81       | 0.00%             | 2026-05-23      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| DRB5873710.UP.NBM                     | DRB5873710.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3760 | PA      | $3789.07      | 0.01%             | 2030-08-26      | Fixed         | 29.86%                | Yes           |                  3 | On Loan: No      |
| DRB5873714.UP.NBM                     | DRB5873714.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4896 | PA      | $372.74       | 0.00%             | 2030-08-26      | Fixed         | 30.76%                | Yes           |                  3 | On Loan: No      |
| 342939061.UL.NBM                      | 342939061.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       286 | PA      | $283.79       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342939193.UL.NBM                      | 342939193.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       123 | PA      | $124.11       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341589272.UL.NBM                      | 341589272.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1209 | PA      | $1199.13      | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341589323.UL.NBM                      | 341589323.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       352 | PA      | $350.13       | 0.00%             | 2026-02-21      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342654220.UL.NBM                      | 342654220.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       281 | PA      | $279.69       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342654223.UL.NBM                      | 342654223.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       132 | PA      | $131.41       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342303602.UL.NBM                      | 342303602.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       448 | PA      | $445.65       | 0.00%             | 2026-05-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342303741.UL.NBM                      | 342303741.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       450 | PA      | $445.68       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342370514.UL.NBM                      | 342370514.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       116 | PA      | $27.78        | 0.00%             | 2025-11-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342372409.UL.NBM                      | 342372409.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2806 | PA      | $2765.52      | 0.00%             | 2027-02-23      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342939801.UL.NBM                      | 342939801.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       334 | PA      | $332.22       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342939809.UL.NBM                      | 342939809.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       316 | PA      | $313.24       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342654305.UL.NBM                      | 342654305.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2753 | PA      | $2709.72      | 0.00%             | 2027-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342654338.UL.NBM                      | 342654338.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       134 | PA      | $133.15       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342941481.UL.NBM                      | 342941481.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       183 | PA      | $181.88       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342941482.UL.NBM                      | 342941482.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       145 | PA      | $144.72       | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341589335.UL.NBM                      | 341589335.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       344 | PA      | $341.44       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341589529.UL.NBM                      | 341589529.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       274 | PA      | $15.58        | 0.00%             | 2035-11-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5873715.UP.NBM                     | DRB5873715.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4262 | PA      | $4252.82      | 0.01%             | 2030-08-26      | Fixed         | 28.82%                | Yes           |                  3 | On Loan: No      |
| DRB5873723.UP.NBM                     | DRB5873723.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7365 | PA      | $7395.55      | 0.01%             | 2030-08-26      | Fixed         | 29.24%                | Yes           |                  3 | On Loan: No      |
| 342374127.UL.NBM                      | 342374127.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       415 | PA      | $412.63       | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342398544.UL.NBM                      | 342398544.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       298 | PA      | $295.52       | 0.00%             | 2026-05-23      | Fixed         | 25.99%                | Yes           |                  3 | On Loan: No      |
| 342939860.UL.NBM                      | 342939860.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1803 | PA      | $1775.20      | 0.00%             | 2027-02-25      | Fixed         | 25.99%                | Yes           |                  3 | On Loan: No      |
| 342939880.UL.NBM                      | 342939880.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       302 | PA      | $299.18       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342654376.UL.NBM                      | 342654376.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        63 | PA      | $62.89        | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342654504.UL.NBM                      | 342654504.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       191 | PA      | $189.04       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342941552.UL.NBM                      | 342941552.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       216 | PA      | $203.64       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342941604.UL.NBM                      | 342941604.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        84 | PA      | $83.62        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341589599.UL.NBM                      | 341589599.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       217 | PA      | $205.35       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341589625.UL.NBM                      | 341589625.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       317 | PA      | $315.41       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342399802.UL.NBM                      | 342399802.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       103 | PA      | $13.44        | 0.00%             | 2035-11-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342400449.UL.NBM                      | 342400449.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       259 | PA      | $245.51       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342304027.UL.NBM                      | 342304027.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       229 | PA      | $227.30       | 0.00%             | 2026-02-23      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342304144.UL.NBM                      | 342304144.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        56 | PA      | $55.30        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342748858.UL.NBM                      | 342748858.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1030 | PA      | $955.11       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342749502.UL.NBM                      | 342749502.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       390 | PA      | $386.60       | 0.00%             | 2026-05-24      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342943529.UL.NBM                      | 342943529.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        63 | PA      | $62.69        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342943582.UL.NBM                      | 342943582.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1596 | PA      | $1571.21      | 0.00%             | 2027-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342939899.UL.NBM                      | 342939899.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       642 | PA      | $637.44       | 0.00%             | 2026-07-25      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 342939916.UL.NBM                      | 342939916.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       126 | PA      | $125.56       | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| DRB5873781.UP.NBM                     | DRB5873781.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1442 | PA      | $1483.72      | 0.00%             | 2030-08-26      | Fixed         | 30.99%                | Yes           |                  3 | On Loan: No      |
| DRB5873791.UP.NBM                     | DRB5873791.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6480 | PA      | $6294.19      | 0.01%             | 2030-08-26      | Fixed         | 27.07%                | Yes           |                  3 | On Loan: No      |
| 342419653.UL.NBM                      | 342419653.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1081 | PA      | $1002.99      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342419978.UL.NBM                      | 342419978.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        58 | PA      | $57.47        | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342304276.UL.NBM                      | 342304276.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       382 | PA      | $385.07       | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342304394.UL.NBM                      | 342304394.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        62 | PA      | $62.11        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342943595.UL.NBM                      | 342943595.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       221 | PA      | $219.70       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342943603.UL.NBM                      | 342943603.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       315 | PA      | $313.14       | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342749515.UL.NBM                      | 342749515.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       528 | PA      | $145.17       | 0.00%             | 2026-02-24      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342750207.UL.NBM                      | 342750207.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1002 | PA      | $991.54       | 0.00%             | 2026-07-24      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 343374031.UL.NBM                      | 343374031.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1516 | PA      | $1404.01      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343374213.UL.NBM                      | 343374213.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       217 | PA      | $216.07       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342304456.UL.NBM                      | 342304456.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1249 | PA      | $1238.72      | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342304507.UL.NBM                      | 342304507.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       275 | PA      | $273.59       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342984522.UL.NBM                      | 342984522.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        94 | PA      | $93.27        | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342984844.UL.NBM                      | 342984844.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       233 | PA      | $216.84       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342750540.UL.NBM                      | 342750540.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       801 | PA      | $740.62       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342750648.UL.NBM                      | 342750648.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3595 | PA      | $3554.26      | 0.00%             | 2026-07-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341591153.UL.NBM                      | 341591153.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       108 | PA      | $107.18       | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341591158.UL.NBM                      | 341591158.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        63 | PA      | $62.95        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342304527.UL.NBM                      | 342304527.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       103 | PA      | $102.44       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342306175.UL.NBM                      | 342306175.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       291 | PA      | $288.05       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343192838.UL.NBM                      | 343192838.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       110 | PA      | $109.42       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343192844.UL.NBM                      | 343192844.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       399 | PA      | $95.83        | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343580387.UL.NBM                      | 343580387.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       268 | PA      | $267.33       | 0.00%             | 2026-05-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343580421.UL.NBM                      | 343580421.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1751 | PA      | $1735.35      | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342421048.UL.NBM                      | 342421048.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       223 | PA      | $219.93       | 0.00%             | 2026-05-15      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342421777.UL.NBM                      | 342421777.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       220 | PA      | $33.21        | 0.00%             | 2035-11-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343374464.UL.NBM                      | 343374464.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       868 | PA      | $383.89       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343375243.UL.NBM                      | 343375243.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1666 | PA      | $1639.69      | 0.00%             | 2027-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342751047.UL.NBM                      | 342751047.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       553 | PA      | $557.35       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342751276.UL.NBM                      | 342751276.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5020 | PA      | $4945.88      | 0.01%             | 2027-08-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341591183.UL.NBM                      | 341591183.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1207 | PA      | $1194.32      | 0.00%             | 2026-07-21      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 341591424.UL.NBM                      | 341591424.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       203 | PA      | $201.46       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341389959.UL.NBM                      | 341389959.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       107 | PA      | $104.01       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341390307.UL.NBM                      | 341390307.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       787 | PA      | $780.71       | 0.00%             | 2026-08-30      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342306394.UL.NBM                      | 342306394.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       229 | PA      | $227.92       | 0.00%             | 2026-02-23      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342306481.UL.NBM                      | 342306481.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       247 | PA      | $244.83       | 0.00%             | 2026-05-23      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 343192952.UL.NBM                      | 343192952.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       233 | PA      | $14.04        | 0.00%             | 2035-11-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343309090.UL.NBM                      | 343309090.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2169 | PA      | $2135.90      | 0.00%             | 2027-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5859578.UP.NBM                       | L5859578.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6516 | PA      | $6536.70      | 0.01%             | 2030-08-22      | Fixed         | 18.52%                | Yes           |                  3 | On Loan: No      |
| L5859611.UP.NBM                       | L5859611.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1438 | PA      | $1497.32      | 0.00%             | 2030-08-22      | Fixed         | 20.93%                | Yes           |                  3 | On Loan: No      |
| DRB5876001.UP.NBM                     | DRB5876001.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3245 | PA      | $3195.75      | 0.00%             | 2028-08-26      | Fixed         | 29.49%                | Yes           |                  3 | On Loan: No      |
| DRB5876011.UP.NBM                     | DRB5876011.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     44257 | PA      | $45549.95     | 0.06%             | 2030-08-26      | Fixed         | 30.88%                | Yes           |                  3 | On Loan: No      |
| 342286454.UL.NBM                      | 342286454.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.38        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342286577.UL.NBM                      | 342286577.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        94 | PA      | $93.72        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341592528.UL.NBM                      | 341592528.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1307 | PA      | $551.52       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341592529.UL.NBM                      | 341592529.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       145 | PA      | $143.81       | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342757111.UL.NBM                      | 342757111.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        71 | PA      | $70.31        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342757148.UL.NBM                      | 342757148.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2556 | PA      | $2527.47      | 0.00%             | 2027-02-24      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343375664.UL.NBM                      | 343375664.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       242 | PA      | $243.49       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343376321.UL.NBM                      | 343376321.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        58 | PA      | $57.74        | 0.00%             | 2026-02-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343309427.UL.NBM                      | 343309427.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       167 | PA      | $158.98       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343309670.UL.NBM                      | 343309670.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       751 | PA      | $689.58       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342307385.UL.NBM                      | 342307385.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       356 | PA      | $353.29       | 0.00%             | 2026-05-23      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342308155.UL.NBM                      | 342308155.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       185 | PA      | $179.67       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343580440.UL.NBM                      | 343580440.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       270 | PA      | $267.15       | 0.00%             | 2026-05-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| FW5869302.UP.NBM                      | FW5869302.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1930 | PA      | $1808.65      | 0.00%             | 2030-08-25      | Fixed         | 24.78%                | Yes           |                  3 | On Loan: No      |
| 341592555.UL.NBM                      | 341592555.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       263 | PA      | $54.45        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341592568.UL.NBM                      | 341592568.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        78 | PA      | $77.19        | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342757198.UL.NBM                      | 342757198.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        57 | PA      | $57.37        | 0.00%             | 2026-02-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342757204.UL.NBM                      | 342757204.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       401 | PA      | $379.30       | 0.00%             | 2026-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343376428.UL.NBM                      | 343376428.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        61 | PA      | $61.40        | 0.00%             | 2026-02-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343377075.UL.NBM                      | 343377075.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3076 | PA      | $3030.21      | 0.00%             | 2027-08-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342309413.UL.NBM                      | 342309413.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       240 | PA      | $238.03       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342309529.UL.NBM                      | 342309529.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       167 | PA      | $17.53        | 0.00%             | 2035-11-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342286958.UL.NBM                      | 342286958.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1197 | PA      | $1106.47      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342287154.UL.NBM                      | 342287154.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       984 | PA      | $973.29       | 0.00%             | 2026-07-23      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 343309751.UL.NBM                      | 343309751.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11177 | PA      | $11007.24     | 0.02%             | 2027-08-26      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343311692.UL.NBM                      | 343311692.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        98 | PA      | $97.31        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342759152.UL.NBM                      | 342759152.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       993 | PA      | $982.40       | 0.00%             | 2026-07-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342759581.UL.NBM                      | 342759581.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        53 | PA      | $52.34        | 0.00%             | 2026-02-24      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341592614.UL.NBM                      | 341592614.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       152 | PA      | $150.78       | 0.00%             | 2026-02-21      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341592636.UL.NBM                      | 341592636.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       554 | PA      | $552.75       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343377753.UL.NBM                      | 343377753.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       199 | PA      | $197.97       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343377967.UL.NBM                      | 343377967.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       161 | PA      | $161.15       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342310648.UL.NBM                      | 342310648.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        96 | PA      | $95.60        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342310875.UL.NBM                      | 342310875.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        95 | PA      | $94.47        | 0.00%             | 2026-02-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| FW5869321.UP.NBM                      | FW5869321.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5231 | PA      | $5221.80      | 0.01%             | 2030-08-25      | Fixed         | 28.88%                | Yes           |                  3 | On Loan: No      |
| FW5869327.UP.NBM                      | FW5869327.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1219 | PA      | $1209.06      | 0.00%             | 2028-08-25      | Fixed         | 30.21%                | Yes           |                  3 | On Loan: No      |
| L5859622.UP.NBM                       | L5859622.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14391 | PA      | $14682.05     | 0.02%             | 2030-08-22      | Fixed         | 19.56%                | Yes           |                  3 | On Loan: No      |
| L5859651.UP.NBM                       | L5859651.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4322 | PA      | $4157.84      | 0.01%             | 2030-08-22      | Fixed         | 20.50%                | Yes           |                  3 | On Loan: No      |
| 10235190.SQ.NBM                       | 10235190.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3042 | PA      | $2849.82      | 0.00%             | 2027-06-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10235503.SQ.NBM                       | 10235503.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14650 | PA      | $13638.35     | 0.02%             | 2027-06-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343377986.UL.NBM                      | 343377986.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       248 | PA      | $234.91       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343378726.UL.NBM                      | 343378726.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       183 | PA      | $181.98       | 0.00%             | 2026-05-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342314567.UL.NBM                      | 342314567.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       195 | PA      | $194.00       | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9978191.SQ.NBM                        | 9978191.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3305 | PA      | $3128.17      | 0.00%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341745631.UL.NBM                      | 341745631.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       813 | PA      | $803.38       | 0.00%             | 2026-07-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341745915.UL.NBM                      | 341745915.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       196 | PA      | $184.84       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5876015.UP.NBM                     | DRB5876015.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17141 | PA      | $17189.21     | 0.02%             | 2030-08-26      | Fixed         | 29.28%                | Yes           |                  3 | On Loan: No      |
| DRB5876032.UP.NBM                     | DRB5876032.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3323 | PA      | $3335.79      | 0.00%             | 2030-08-26      | Fixed         | 29.02%                | Yes           |                  3 | On Loan: No      |
| 342759696.UL.NBM                      | 342759696.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        56 | PA      | $55.81        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342759707.UL.NBM                      | 342759707.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       230 | PA      | $228.90       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343379078.UL.NBM                      | 343379078.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       890 | PA      | $823.55       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343379478.UL.NBM                      | 343379478.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       122 | PA      | $121.99       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9978248.SQ.NBM                        | 9978248.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5583 | PA      | $4960.95      | 0.01%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9978288.SQ.NBM                        | 9978288.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2750 | PA      | $2594.35      | 0.00%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5866887.UP.NBM                       | L5866887.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1058 | PA      | $1091.50      | 0.00%             | 2030-08-25      | Fixed         | 20.19%                | Yes           |                  3 | On Loan: No      |
| L5866916.UP.NBM                       | L5866916.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2023 | PA      | $1946.31      | 0.00%             | 2030-08-25      | Fixed         | 23.16%                | Yes           |                  3 | On Loan: No      |
| 341746145.UL.NBM                      | 341746145.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       256 | PA      | $253.04       | 0.00%             | 2026-05-21      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341746312.UL.NBM                      | 341746312.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2442 | PA      | $2405.38      | 0.00%             | 2027-02-21      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| FW5869344.UP.NBM                      | FW5869344.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1054 | PA      | $983.03       | 0.00%             | 2030-08-25      | Fixed         | 18.51%                | Yes           |                  3 | On Loan: No      |
| L5861906.UP.NBM                       | L5861906.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       911 | PA      | $870.74       | 0.00%             | 2028-08-25      | Fixed         | 16.76%                | Yes           |                  3 | On Loan: No      |
| 343379600.UL.NBM                      | 343379600.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       178 | PA      | $176.97       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343379960.UL.NBM                      | 343379960.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        47 | PA      | $9.64         | 0.00%             | 2035-11-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9978328.SQ.NBM                        | 9978328.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3720 | PA      | $3549.30      | 0.00%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9978860.SQ.NBM                        | 9978860.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5204 | PA      | $4933.81      | 0.01%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343312482.UL.NBM                      | 343312482.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       309 | PA      | $286.40       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343313781.UL.NBM                      | 343313781.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       693 | PA      | $689.84       | 0.00%             | 2026-02-26      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 341761850.UL.NBM                      | 341761850.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        99 | PA      | $97.95        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341762032.UL.NBM                      | 341762032.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       238 | PA      | $237.71       | 0.00%             | 2026-02-21      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| L5861961.UP.NBM                       | L5861961.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2013 | PA      | $2001.75      | 0.00%             | 2030-08-25      | Fixed         | 22.68%                | Yes           |                  3 | On Loan: No      |
| L5862039.UP.NBM                       | L5862039.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     33219 | PA      | $31573.18     | 0.04%             | 2030-08-25      | Fixed         | 19.83%                | Yes           |                  3 | On Loan: No      |
| 342759855.UL.NBM                      | 342759855.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        87 | PA      | $87.33        | 0.00%             | 2026-02-24      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342759858.UL.NBM                      | 342759858.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       258 | PA      | $255.47       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9978919.SQ.NBM                        | 9978919.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     28461 | PA      | $26620.02     | 0.04%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9979314.SQ.NBM                        | 9979314.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     48756 | PA      | $46076.85     | 0.06%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343313886.UL.NBM                      | 343313886.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       191 | PA      | $189.84       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343315789.UL.NBM                      | 343315789.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       170 | PA      | $168.41       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5876081.UP.NBM                     | DRB5876081.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4071 | PA      | $4216.96      | 0.01%             | 2030-08-26      | Fixed         | 31.45%                | Yes           |                  3 | On Loan: No      |
| DRB5876100.UP.NBM                     | DRB5876100.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4400 | PA      | $-36.26       | -0.00%            | 2030-08-26      | Fixed         | 31.53%                | Yes           |                  3 | On Loan: No      |
| L5862058.UP.NBM                       | L5862058.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3373 | PA      | $3159.45      | 0.00%             | 2028-08-25      | Fixed         | 14.80%                | Yes           |                  3 | On Loan: No      |
| L5863789.UP.NBM                       | L5863789.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1625 | PA      | $1576.50      | 0.00%             | 2030-08-25      | Fixed         | 16.51%                | Yes           |                  3 | On Loan: No      |
| 343380592.UL.NBM                      | 343380592.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       440 | PA      | $437.85       | 0.00%             | 2026-02-26      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 343381322.UL.NBM                      | 343381322.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        66 | PA      | $65.20        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9979772.SQ.NBM                        | 9979772.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7981 | PA      | $7473.21      | 0.01%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9979889.SQ.NBM                        | 9979889.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4302 | PA      | $4060.88      | 0.01%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342759902.UL.NBM                      | 342759902.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.17        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342760463.UL.NBM                      | 342760463.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       175 | PA      | $176.17       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343316104.UL.NBM                      | 343316104.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       395 | PA      | $391.58       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343316162.UL.NBM                      | 343316162.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       993 | PA      | $937.64       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5874920.UP.NBM                       | L5874920.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5836 | PA      | $5736.93      | 0.01%             | 2030-08-26      | Fixed         | 17.23%                | Yes           |                  3 | On Loan: No      |
| L5874922.UP.NBM                       | L5874922.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6326 | PA      | $5995.89      | 0.01%             | 2028-08-26      | Fixed         | 20.50%                | Yes           |                  3 | On Loan: No      |
| DRB5876112.UP.NBM                     | DRB5876112.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19185 | PA      | $19001.32     | 0.03%             | 2030-08-26      | Fixed         | 28.47%                | Yes           |                  3 | On Loan: No      |
| DRB5876114.UP.NBM                     | DRB5876114.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7673 | PA      | $7219.21      | 0.01%             | 2030-08-26      | Fixed         | 19.03%                | Yes           |                  3 | On Loan: No      |
| 343382035.UL.NBM                      | 343382035.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1962 | PA      | $1798.62      | 0.00%             | 2027-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343382693.UL.NBM                      | 343382693.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       207 | PA      | $204.99       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342760712.UL.NBM                      | 342760712.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       159 | PA      | $157.92       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342760761.UL.NBM                      | 342760761.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       205 | PA      | $203.53       | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343316413.UL.NBM                      | 343316413.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       267 | PA      | $264.89       | 0.00%             | 2026-05-26      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 343316424.UL.NBM                      | 343316424.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       899 | PA      | $891.59       | 0.00%             | 2026-07-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| L5874939.UP.NBM                       | L5874939.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21566 | PA      | $20466.37     | 0.03%             | 2030-08-26      | Fixed         | 15.11%                | Yes           |                  3 | On Loan: No      |
| L5874950.UP.NBM                       | L5874950.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10781 | PA      | $10493.02     | 0.01%             | 2030-08-26      | Fixed         | 21.03%                | Yes           |                  3 | On Loan: No      |
| 342457572.UL.NBM                      | 342457572.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       278 | PA      | $275.07       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342457902.UL.NBM                      | 342457902.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       181 | PA      | $179.15       | 0.00%             | 2026-05-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 9979910.SQ.NBM                        | 9979910.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       706 | PA      | $660.01       | 0.00%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9979928.SQ.NBM                        | 9979928.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     20049 | PA      | $19038.11     | 0.03%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341762066.UL.NBM                      | 341762066.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       364 | PA      | $360.79       | 0.00%             | 2026-05-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341762231.UL.NBM                      | 341762231.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       332 | PA      | $331.57       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5876122.UP.NBM                     | DRB5876122.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3259 | PA      | $3190.83      | 0.00%             | 2028-08-26      | Fixed         | 28.58%                | Yes           |                  3 | On Loan: No      |
| DRB5876124.UP.NBM                     | DRB5876124.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19088 | PA      | $19333.48     | 0.03%             | 2030-08-26      | Fixed         | 26.56%                | Yes           |                  3 | On Loan: No      |
| 343316806.UL.NBM                      | 343316806.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       974 | PA      | $902.41       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343318136.UL.NBM                      | 343318136.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        58 | PA      | $58.15        | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| L5875523.UP.NBM                       | L5875523.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4329 | PA      | $4269.85      | 0.01%             | 2030-08-26      | Fixed         | 22.00%                | Yes           |                  3 | On Loan: No      |
| L5875534.UP.NBM                       | L5875534.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4074 | PA      | $4168.94      | 0.01%             | 2030-08-26      | Fixed         | 24.52%                | Yes           |                  3 | On Loan: No      |
| 342458342.UL.NBM                      | 342458342.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       388 | PA      | $384.33       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342458948.UL.NBM                      | 342458948.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       177 | PA      | $175.70       | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9980553.SQ.NBM                        | 9980553.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5725 | PA      | $5418.91      | 0.01%             | 2027-04-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5860757.UP.NBM                     | DRB5860757.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4296 | PA      | $3499.03      | 0.00%             | 2030-08-22      | Fixed         | 27.76%                | Yes           |                  3 | On Loan: No      |
| 343319964.UL.NBM                      | 343319964.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       990 | PA      | $979.30       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343320095.UL.NBM                      | 343320095.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4323 | PA      | $4026.08      | 0.01%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341767303.UL.NBM                      | 341767303.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       570 | PA      | $566.29       | 0.00%             | 2026-05-31      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341767330.UL.NBM                      | 341767330.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        74 | PA      | $73.21        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5876137.UP.NBM                     | DRB5876137.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2308 | PA      | $2434.59      | 0.00%             | 2028-08-26      | Fixed         | 26.01%                | Yes           |                  3 | On Loan: No      |
| DRB5876166.UP.NBM                     | DRB5876166.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4836 | PA      | $4706.33      | 0.01%             | 2030-08-26      | Fixed         | 27.19%                | Yes           |                  3 | On Loan: No      |
| L5875599.UP.NBM                       | L5875599.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1634 | PA      | $1597.60      | 0.00%             | 2030-08-26      | Fixed         | 21.43%                | Yes           |                  3 | On Loan: No      |
| L5875626.UP.NBM                       | L5875626.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2202 | PA      | $2188.44      | 0.00%             | 2030-08-26      | Fixed         | 17.89%                | Yes           |                  3 | On Loan: No      |
| 342465513.UL.NBM                      | 342465513.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3280 | PA      | $224.54       | 0.00%             | 2027-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342465668.UL.NBM                      | 342465668.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       967 | PA      | $961.79       | 0.00%             | 2026-02-23      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343321055.UL.NBM                      | 343321055.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       373 | PA      | $371.10       | 0.00%             | 2026-05-31      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343321633.UL.NBM                      | 343321633.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        62 | PA      | $59.93        | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5860769.UP.NBM                     | DRB5860769.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15355 | PA      | $14982.56     | 0.02%             | 2030-08-22      | Fixed         | 21.53%                | Yes           |                  3 | On Loan: No      |
| DRB5860793.UP.NBM                     | DRB5860793.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2463 | PA      | $546.85       | 0.00%             | 2030-08-22      | Fixed         | 29.68%                | Yes           |                  3 | On Loan: No      |
| 341903967.UL.NBM                      | 341903967.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       130 | PA      | $129.09       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341905215.UL.NBM                      | 341905215.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $66.14        | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343382896.UL.NBM                      | 343382896.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       100 | PA      | $99.93        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343383015.UL.NBM                      | 343383015.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4397 | PA      | $4348.50      | 0.01%             | 2026-07-26      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| L5876262.UP.NBM                       | L5876262.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2777 | PA      | $2766.65      | 0.00%             | 2030-08-26      | Fixed         | 18.04%                | Yes           |                  3 | On Loan: No      |
| L5876292.UP.NBM                       | L5876292.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     23947 | PA      | $23913.12     | 0.03%             | 2030-08-26      | Fixed         | 18.19%                | Yes           |                  3 | On Loan: No      |
| 343340880.UL.NBM                      | 343340880.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1034 | PA      | $1022.58      | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343341035.UL.NBM                      | 343341035.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       435 | PA      | $91.55        | 0.00%             | 2035-11-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| DRB5860798.UP.NBM                     | DRB5860798.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4551 | PA      | $4531.82      | 0.01%             | 2028-08-22      | Fixed         | 30.84%                | Yes           |                  3 | On Loan: No      |
| DRB5860809.UP.NBM                     | DRB5860809.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2582 | PA      | $2616.95      | 0.00%             | 2030-08-22      | Fixed         | 30.34%                | Yes           |                  3 | On Loan: No      |
| 341905233.UL.NBM                      | 341905233.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       110 | PA      | $109.44       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341905708.UL.NBM                      | 341905708.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       292 | PA      | $290.16       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342466137.UL.NBM                      | 342466137.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       157 | PA      | $156.63       | 0.00%             | 2026-02-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342466758.UL.NBM                      | 342466758.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1635 | PA      | $703.68       | 0.00%             | 2026-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343383055.UL.NBM                      | 343383055.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3135 | PA      | $3087.32      | 0.00%             | 2027-08-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343383199.UL.NBM                      | 343383199.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        79 | PA      | $78.17        | 0.00%             | 2026-02-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342985044.UL.NBM                      | 342985044.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       830 | PA      | $825.13       | 0.00%             | 2026-07-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342985175.UL.NBM                      | 342985175.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1550 | PA      | $1526.30      | 0.00%             | 2027-02-25      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| DRB5860815.UP.NBM                     | DRB5860815.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2011 | PA      | $1960.42      | 0.00%             | 2028-08-22      | Fixed         | 29.11%                | Yes           |                  3 | On Loan: No      |
| DRB5860816.UP.NBM                     | DRB5860816.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3200 | PA      | $3245.97      | 0.00%             | 2030-08-22      | Fixed         | 30.04%                | Yes           |                  3 | On Loan: No      |
| L5876306.UP.NBM                       | L5876306.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7022 | PA      | $6911.12      | 0.01%             | 2030-08-26      | Fixed         | 17.38%                | Yes           |                  3 | On Loan: No      |
| NB ABC: UP Loss Protection            | NB ABC: UP Loss Protection                     | CUSIP: N/A<br>LEI: N/A                        | Long             |  |  | US        |         1 | PA      | $61147.23     | 0.08%             |  |  |  | Yes           |                  3 | On Loan: No      |
| 343383530.UL.NBM                      | 343383530.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3644 | PA      | $3578.03      | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343384582.UL.NBM                      | 343384582.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1078 | PA      | $989.91       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5876187.UP.NBM                     | DRB5876187.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1164 | PA      | $1177.57      | 0.00%             | 2030-08-26      | Fixed         | 29.75%                | Yes           |                  3 | On Loan: No      |
| DRB5876201.UP.NBM                     | DRB5876201.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2196 | PA      | $2256.33      | 0.00%             | 2030-08-26      | Fixed         | 31.49%                | Yes           |                  3 | On Loan: No      |
| 343341269.UL.NBM                      | 343341269.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       544 | PA      | $92.19        | 0.00%             | 2035-11-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343341431.UL.NBM                      | 343341431.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       100 | PA      | $99.86        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5860818.UP.NBM                     | DRB5860818.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1747 | PA      | $1799.12      | 0.00%             | 2030-08-22      | Fixed         | 31.05%                | Yes           |                  3 | On Loan: No      |
| DRB5860842.UP.NBM                     | DRB5860842.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     23798 | PA      | $24174.67     | 0.03%             | 2030-08-22      | Fixed         | 30.34%                | Yes           |                  3 | On Loan: No      |
| 341376773.UL.NBM                      | 341376773.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       131 | PA      | $130.22       | 0.00%             | 2026-02-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341376867.UL.NBM                      | 341376867.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1155 | PA      | $376.47       | 0.00%             | 2026-07-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342989076.UL.NBM                      | 342989076.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       486 | PA      | $481.94       | 0.00%             | 2026-05-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342989232.UL.NBM                      | 342989232.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       313 | PA      | $315.64       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343384625.UL.NBM                      | 343384625.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       598 | PA      | $553.59       | 0.00%             | 2026-05-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343386182.UL.NBM                      | 343386182.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       804 | PA      | $748.04       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341905894.UL.NBM                      | 341905894.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       295 | PA      | $294.10       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341906723.UL.NBM                      | 341906723.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       560 | PA      | $554.70       | 0.00%             | 2026-05-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343342216.UL.NBM                      | 343342216.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       862 | PA      | $852.66       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343342568.UL.NBM                      | 343342568.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       509 | PA      | $512.05       | 0.00%             | 2026-05-26      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| DRB5860848.UP.NBM                     | DRB5860848.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4655 | PA      | $4722.16      | 0.01%             | 2030-08-22      | Fixed         | 30.05%                | Yes           |                  3 | On Loan: No      |
| DRB5860852.UP.NBM                     | DRB5860852.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2650 | PA      | $2599.83      | 0.00%             | 2030-08-22      | Fixed         | 28.09%                | Yes           |                  3 | On Loan: No      |
| 341377347.UL.NBM                      | 341377347.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1796 | PA      | $1682.68      | 0.00%             | 2026-05-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341377609.UL.NBM                      | 341377609.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       197 | PA      | $195.79       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5876204.UP.NBM                     | DRB5876204.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     35022 | PA      | $8315.69      | 0.01%             | 2028-08-26      | Fixed         | 29.95%                | Yes           |                  3 | On Loan: No      |
| FW5853651.UP.NBM                      | FW5853651.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     22593 | PA      | $21904.31     | 0.03%             | 2030-08-26      | Fixed         | 23.43%                | Yes           |                  3 | On Loan: No      |
| 343386192.UL.NBM                      | 343386192.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1204 | PA      | $1112.81      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343444924.UL.NBM                      | 343444924.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       103 | PA      | $102.75       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341390445.UL.NBM                      | 341390445.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       106 | PA      | $105.35       | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341390653.UL.NBM                      | 341390653.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        63 | PA      | $62.54        | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9850155.SQ.NBM                        | 9850155.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7508 | PA      | $7157.39      | 0.01%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9850309.SQ.NBM                        | 9850309.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12999 | PA      | $12051.91     | 0.02%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9868306.SQ.NBM                        | 9868306.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16046 | PA      | $15098.70     | 0.02%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9946030.SQ.NBM                        | 9946030.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1800 | PA      | $1685.05      | 0.00%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5860872.UP.NBM                     | DRB5860872.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     27367 | PA      | $26256.89     | 0.04%             | 2030-08-22      | Fixed         | 20.33%                | Yes           |                  3 | On Loan: No      |
| DRB5860877.UP.NBM                     | DRB5860877.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2154 | PA      | $1835.16      | 0.00%             | 2030-08-22      | Fixed         | 30.39%                | Yes           |                  3 | On Loan: No      |
| 341377670.UL.NBM                      | 341377670.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       110 | PA      | $108.92       | 0.00%             | 2026-02-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341378835.UL.NBM                      | 341378835.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        88 | PA      | $87.36        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342989282.UL.NBM                      | 342989282.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       175 | PA      | $173.22       | 0.00%             | 2026-05-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342989370.UL.NBM                      | 342989370.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       274 | PA      | $272.84       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341390832.UL.NBM                      | 341390832.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       805 | PA      | $794.95       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341390840.UL.NBM                      | 341390840.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1394 | PA      | $1293.33      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9946039.SQ.NBM                        | 9946039.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8468 | PA      | $7320.79      | 0.01%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9946098.SQ.NBM                        | 9946098.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5519 | PA      | $4361.17      | 0.01%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5857984.UP.NBM                      | FW5857984.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8303 | PA      | $6614.19      | 0.01%             | 2028-08-22      | Fixed         | 13.68%                | Yes           |                  3 | On Loan: No      |
| FW5858016.UP.NBM                      | FW5858016.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2858 | PA      | $632.17       | 0.00%             | 2030-08-22      | Fixed         | 28.46%                | Yes           |                  3 | On Loan: No      |
| 341378965.UL.NBM                      | 341378965.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        60 | PA      | $59.15        | 0.00%             | 2026-02-19      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341378992.UL.NBM                      | 341378992.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        92 | PA      | $91.83        | 0.00%             | 2026-02-19      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343445023.UL.NBM                      | 343445023.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       290 | PA      | $288.50       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343445119.UL.NBM                      | 343445119.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       801 | PA      | $67.23        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5860885.UP.NBM                     | DRB5860885.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1936 | PA      | $1996.88      | 0.00%             | 2030-08-25      | Fixed         | 31.51%                | Yes           |                  3 | On Loan: No      |
| DRB5860907.UP.NBM                     | DRB5860907.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1829 | PA      | $1815.55      | 0.00%             | 2030-08-22      | Fixed         | 28.74%                | Yes           |                  3 | On Loan: No      |
| 9958611.SQ.NBM                        | 9958611.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       629 | PA      | $601.84       | 0.00%             | 2027-04-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9958656.SQ.NBM                        | 9958656.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10805 | PA      | $10137.62     | 0.01%             | 2027-04-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341390854.UL.NBM                      | 341390854.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       129 | PA      | $127.90       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341391090.UL.NBM                      | 341391090.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       706 | PA      | $647.76       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341379216.UL.NBM                      | 341379216.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        53 | PA      | $52.46        | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341379267.UL.NBM                      | 341379267.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       178 | PA      | $176.44       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5858034.UP.NBM                      | FW5858034.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4290 | PA      | $4213.00      | 0.01%             | 2030-08-22      | Fixed         | 17.29%                | Yes           |                  3 | On Loan: No      |
| FW5858035.UP.NBM                      | FW5858035.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4314 | PA      | $4046.35      | 0.01%             | 2030-08-22      | Fixed         | 18.91%                | Yes           |                  3 | On Loan: No      |
| 342469879.UL.NBM                      | 342469879.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       211 | PA      | $209.54       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342471143.UL.NBM                      | 342471143.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       286 | PA      | $282.87       | 0.00%             | 2026-05-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 9958915.SQ.NBM                        | 9958915.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1953 | PA      | $1701.55      | 0.00%             | 2027-04-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9960232.SQ.NBM                        | 9960232.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3328 | PA      | $3122.78      | 0.00%             | 2027-04-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342244330.UL.NBM                      | 342244330.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1482 | PA      | $1354.24      | 0.00%             | 2027-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342244955.UL.NBM                      | 342244955.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        59 | PA      | $58.95        | 0.00%             | 2026-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341379407.UL.NBM                      | 341379407.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       981 | PA      | $969.03       | 0.00%             | 2026-07-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341444249.UL.NBM                      | 341444249.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       102 | PA      | $100.98       | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342997244.UL.NBM                      | 342997244.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2323 | PA      | $2157.69      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342997289.UL.NBM                      | 342997289.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       162 | PA      | $160.70       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341391268.UL.NBM                      | 341391268.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       828 | PA      | $788.94       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341391467.UL.NBM                      | 341391467.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       275 | PA      | $261.11       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| CBM5859211.UP.NBM                     | CBM5859211.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19666 | PA      | $19598.00     | 0.03%             | 2030-08-22      | Fixed         | 28.87%                | Yes           |                  3 | On Loan: No      |
| CBM5859273.UP.NBM                     | CBM5859273.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5388 | PA      | $4681.88      | 0.01%             | 2030-08-22      | Fixed         | 32.26%                | Yes           |                  3 | On Loan: No      |
| 342244971.UL.NBM                      | 342244971.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        86 | PA      | $9.39         | 0.00%             | 2035-11-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342245631.UL.NBM                      | 342245631.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       637 | PA      | $630.27       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341444794.UL.NBM                      | 341444794.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        97 | PA      | $93.38        | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341444801.UL.NBM                      | 341444801.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       518 | PA      | $512.27       | 0.00%             | 2026-05-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342471288.UL.NBM                      | 342471288.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       104 | PA      | $103.05       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342471914.UL.NBM                      | 342471914.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       310 | PA      | $307.99       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5859279.UP.NBM                     | CBM5859279.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3197 | PA      | $2597.39      | 0.00%             | 2028-08-22      | Fixed         | 22.70%                | Yes           |                  3 | On Loan: No      |
| CBM5859607.UP.NBM                     | CBM5859607.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1259 | PA      | $1317.77      | 0.00%             | 2030-08-22      | Fixed         | 28.63%                | Yes           |                  3 | On Loan: No      |
| 10236246.SQ.NBM                       | 10236246.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4111 | PA      | $3851.49      | 0.01%             | 2027-06-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10236327.SQ.NBM                       | 10236327.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8859 | PA      | $8079.83      | 0.01%             | 2027-06-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342997627.UL.NBM                      | 342997627.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       171 | PA      | $169.24       | 0.00%             | 2026-05-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342998841.UL.NBM                      | 342998841.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        88 | PA      | $87.93        | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342245970.UL.NBM                      | 342245970.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       539 | PA      | $536.67       | 0.00%             | 2026-02-22      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342246022.UL.NBM                      | 342246022.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1364 | PA      | $1274.73      | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341391592.UL.NBM                      | 341391592.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       490 | PA      | $486.68       | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341391633.UL.NBM                      | 341391633.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       186 | PA      | $185.03       | 0.00%             | 2026-02-20      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341444831.UL.NBM                      | 341444831.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       289 | PA      | $286.31       | 0.00%             | 2026-05-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341444865.UL.NBM                      | 341444865.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       127 | PA      | $126.77       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342476226.UL.NBM                      | 342476226.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       412 | PA      | $408.65       | 0.00%             | 2026-05-23      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342530249.UL.NBM                      | 342530249.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       619 | PA      | $609.69       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343040329.UL.NBM                      | 343040329.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        62 | PA      | $61.47        | 0.00%             | 2026-02-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343040455.UL.NBM                      | 343040455.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       361 | PA      | $362.52       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342246088.UL.NBM                      | 342246088.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       286 | PA      | $282.75       | 0.00%             | 2026-05-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342247577.UL.NBM                      | 342247577.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1677 | PA      | $1555.28      | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9772655.SQ.NBM                        | 9772655.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7508 | PA      | $7118.24      | 0.01%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9772758.SQ.NBM                        | 9772758.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       984 | PA      | $942.87       | 0.00%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341391642.UL.NBM                      | 341391642.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       178 | PA      | $61.88        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341391772.UL.NBM                      | 341391772.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       197 | PA      | $195.87       | 0.00%             | 2026-05-20      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341446202.UL.NBM                      | 341446202.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1220 | PA      | $1145.25      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341446260.UL.NBM                      | 341446260.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        55 | PA      | $54.21        | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| FW5858403.UP.NBM                      | FW5858403.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3302 | PA      | $3430.46      | 0.00%             | 2030-08-22      | Fixed         | 31.65%                | Yes           |                  3 | On Loan: No      |
| FW5858431.UP.NBM                      | FW5858431.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2915 | PA      | $3051.67      | 0.00%             | 2030-08-22      | Fixed         | 32.17%                | Yes           |                  3 | On Loan: No      |
| 343040610.UL.NBM                      | 343040610.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       111 | PA      | $110.76       | 0.00%             | 2026-02-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343041089.UL.NBM                      | 343041089.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        76 | PA      | $75.53        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5873797.UP.NBM                     | DRB5873797.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1180 | PA      | $1179.91      | 0.00%             | 2030-08-26      | Fixed         | 22.98%                | Yes           |                  3 | On Loan: No      |
| DRB5873816.UP.NBM                     | DRB5873816.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2117 | PA      | $2011.70      | 0.00%             | 2030-08-26      | Fixed         | 22.35%                | Yes           |                  3 | On Loan: No      |
| 342247701.UL.NBM                      | 342247701.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       146 | PA      | $139.09       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342247823.UL.NBM                      | 342247823.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1166 | PA      | $225.50       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341446429.UL.NBM                      | 341446429.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       365 | PA      | $348.65       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341446547.UL.NBM                      | 341446547.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        43 | PA      | $43.04        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342530925.UL.NBM                      | 342530925.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       735 | PA      | $732.77       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342531404.UL.NBM                      | 342531404.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1148 | PA      | $1140.41      | 0.00%             | 2026-07-23      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343043431.UL.NBM                      | 343043431.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       179 | PA      | $177.17       | 0.00%             | 2026-07-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343043658.UL.NBM                      | 343043658.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       227 | PA      | $225.42       | 0.00%             | 2026-02-25      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341392072.UL.NBM                      | 341392072.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       826 | PA      | $792.16       | 0.00%             | 2026-05-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341392125.UL.NBM                      | 341392125.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       310 | PA      | $307.05       | 0.00%             | 2026-05-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342285485.UL.NBM                      | 342285485.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       253 | PA      | $239.74       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342285496.UL.NBM                      | 342285496.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       450 | PA      | $425.28       | 0.00%             | 2026-05-23      | Fixed         | 6.00%                 | Yes           |                  3 | On Loan: No      |
| 341446816.UL.NBM                      | 341446816.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       210 | PA      | $198.42       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341446837.UL.NBM                      | 341446837.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       125 | PA      | $124.25       | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343043743.UL.NBM                      | 343043743.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        82 | PA      | $81.86        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343043755.UL.NBM                      | 343043755.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       133 | PA      | $132.46       | 0.00%             | 2026-02-25      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 342538469.UL.NBM                      | 342538469.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        46 | PA      | $45.63        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342538793.UL.NBM                      | 342538793.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       101 | PA      | $100.52       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341392168.UL.NBM                      | 341392168.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2737 | PA      | $2704.47      | 0.00%             | 2026-08-20      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341392275.UL.NBM                      | 341392275.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       461 | PA      | $442.57       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342285513.UL.NBM                      | 342285513.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        80 | PA      | $79.76        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342285597.UL.NBM                      | 342285597.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1035 | PA      | $991.55       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341446846.UL.NBM                      | 341446846.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       219 | PA      | $207.50       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341447003.UL.NBM                      | 341447003.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       768 | PA      | $414.68       | 0.00%             | 2026-05-20      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 343044565.UL.NBM                      | 343044565.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       152 | PA      | $150.88       | 0.00%             | 2026-03-01      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343045498.UL.NBM                      | 343045498.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       230 | PA      | $228.54       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5867926.UP.NBM                      | FW5867926.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3395 | PA      | $3454.54      | 0.00%             | 2030-08-25      | Fixed         | 30.16%                | Yes           |                  3 | On Loan: No      |
| FW5867952.UP.NBM                      | FW5867952.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2035 | PA      | $2044.80      | 0.00%             | 2030-08-25      | Fixed         | 29.31%                | Yes           |                  3 | On Loan: No      |
| 341392395.UL.NBM                      | 341392395.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       976 | PA      | $965.24       | 0.00%             | 2026-07-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341392448.UL.NBM                      | 341392448.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        51 | PA      | $50.45        | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9854059.SQ.NBM                        | 9854059.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15573 | PA      | $13737.96     | 0.02%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9854383.SQ.NBM                        | 9854383.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3609 | PA      | $3526.83      | 0.00%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341447547.UL.NBM                      | 341447547.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       128 | PA      | $126.98       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341447592.UL.NBM                      | 341447592.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       226 | PA      | $224.11       | 0.00%             | 2026-05-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343045681.UL.NBM                      | 343045681.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       249 | PA      | $250.66       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343046009.UL.NBM                      | 343046009.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1150 | PA      | $437.81       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342538848.UL.NBM                      | 342538848.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1426 | PA      | $1409.78      | 0.00%             | 2026-08-23      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 342539001.UL.NBM                      | 342539001.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       720 | PA      | $661.27       | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341392630.UL.NBM                      | 341392630.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       217 | PA      | $216.00       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341392854.UL.NBM                      | 341392854.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       453 | PA      | $448.10       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341447820.UL.NBM                      | 341447820.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        94 | PA      | $93.86        | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341448192.UL.NBM                      | 341448192.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       363 | PA      | $362.20       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5867964.UP.NBM                      | FW5867964.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1553 | PA      | $1593.66      | 0.00%             | 2030-08-25      | Fixed         | 30.73%                | Yes           |                  3 | On Loan: No      |
| FW5868121.UP.NBM                      | FW5868121.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1062 | PA      | $1008.87      | 0.00%             | 2030-08-25      | Fixed         | 25.64%                | Yes           |                  3 | On Loan: No      |
| 342285832.UL.NBM                      | 342285832.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       159 | PA      | $158.31       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342285860.UL.NBM                      | 342285860.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1424 | PA      | $1409.08      | 0.00%             | 2026-07-23      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| DRB5873830.UP.NBM                     | DRB5873830.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4751 | PA      | $4803.40      | 0.01%             | 2030-08-26      | Fixed         | 29.70%                | Yes           |                  3 | On Loan: No      |
| DRB5873831.UP.NBM                     | DRB5873831.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2409 | PA      | $2459.64      | 0.00%             | 2030-08-26      | Fixed         | 24.34%                | Yes           |                  3 | On Loan: No      |
| 341393036.UL.NBM                      | 341393036.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       225 | PA      | $213.40       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341393092.UL.NBM                      | 341393092.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       781 | PA      | $771.26       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341448622.UL.NBM                      | 341448622.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1154 | PA      | $1066.84      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341448877.UL.NBM                      | 341448877.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       804 | PA      | $794.75       | 0.00%             | 2026-07-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342539082.UL.NBM                      | 342539082.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       114 | PA      | $112.92       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342539157.UL.NBM                      | 342539157.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        59 | PA      | $59.01        | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342286204.UL.NBM                      | 342286204.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       907 | PA      | $896.51       | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342286328.UL.NBM                      | 342286328.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       500 | PA      | $463.85       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341393154.UL.NBM                      | 341393154.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       873 | PA      | $865.07       | 0.00%             | 2027-08-20      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341393181.UL.NBM                      | 341393181.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        13 | PA      | $13.33        | 0.00%             | 2035-11-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5868426.UP.NBM                      | FW5868426.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3207 | PA      | $2961.88      | 0.00%             | 2028-08-25      | Fixed         | 23.46%                | Yes           |                  3 | On Loan: No      |
| FW5868469.UP.NBM                      | FW5868469.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3293 | PA      | $3272.40      | 0.00%             | 2030-08-25      | Fixed         | 28.59%                | Yes           |                  3 | On Loan: No      |
| 343046089.UL.NBM                      | 343046089.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1607 | PA      | $1489.67      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343046149.UL.NBM                      | 343046149.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       248 | PA      | $249.12       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342539985.UL.NBM                      | 342539985.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       196 | PA      | $193.91       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342540201.UL.NBM                      | 342540201.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       170 | PA      | $169.48       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342286335.UL.NBM                      | 342286335.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       841 | PA      | $831.60       | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342287510.UL.NBM                      | 342287510.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1666 | PA      | $1645.60      | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341393579.UL.NBM                      | 341393579.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       725 | PA      | $694.26       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341393683.UL.NBM                      | 341393683.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1820 | PA      | $1793.14      | 0.00%             | 2027-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| DRB5873835.UP.NBM                     | DRB5873835.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2035 | PA      | $2037.36      | 0.00%             | 2030-08-26      | Fixed         | 29.04%                | Yes           |                  3 | On Loan: No      |
| DRB5873872.UP.NBM                     | DRB5873872.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     39954 | PA      | $40582.17     | 0.06%             | 2030-08-26      | Fixed         | 30.00%                | Yes           |                  3 | On Loan: No      |
| 343046295.UL.NBM                      | 343046295.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       331 | PA      | $327.86       | 0.00%             | 2026-05-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343046296.UL.NBM                      | 343046296.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       280 | PA      | $277.18       | 0.00%             | 2026-05-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342760794.UL.NBM                      | 342760794.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        78 | PA      | $77.50        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342761522.UL.NBM                      | 342761522.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       125 | PA      | $124.98       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342287592.UL.NBM                      | 342287592.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4152 | PA      | $4084.53      | 0.01%             | 2027-08-23      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342287621.UL.NBM                      | 342287621.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        13 | PA      | $13.16        | 0.00%             | 2035-11-30      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341448948.UL.NBM                      | 341448948.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        56 | PA      | $56.38        | 0.00%             | 2026-02-20      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341449123.UL.NBM                      | 341449123.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       108 | PA      | $107.78       | 0.00%             | 2026-02-20      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 343046322.UL.NBM                      | 343046322.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       275 | PA      | $272.20       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343046955.UL.NBM                      | 343046955.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        62 | PA      | $61.85        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341404500.UL.NBM                      | 341404500.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        35 | PA      | $34.38        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341404837.UL.NBM                      | 341404837.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       639 | PA      | $631.94       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342287654.UL.NBM                      | 342287654.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1477 | PA      | $1455.58      | 0.00%             | 2027-02-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342287749.UL.NBM                      | 342287749.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5549 | PA      | $5090.40      | 0.01%             | 2027-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5873895.UP.NBM                     | DRB5873895.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4141 | PA      | $3999.96      | 0.01%             | 2030-08-26      | Fixed         | 23.54%                | Yes           |                  3 | On Loan: No      |
| DRB5873953.UP.NBM                     | DRB5873953.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2332 | PA      | $2450.88      | 0.00%             | 2030-08-26      | Fixed         | 32.28%                | Yes           |                  3 | On Loan: No      |
| 343047178.UL.NBM                      | 343047178.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       506 | PA      | $501.65       | 0.00%             | 2026-05-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343047188.UL.NBM                      | 343047188.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       116 | PA      | $115.41       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341449146.UL.NBM                      | 341449146.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       108 | PA      | $107.09       | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341449188.UL.NBM                      | 341449188.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       226 | PA      | $223.94       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342540339.UL.NBM                      | 342540339.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       303 | PA      | $302.73       | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342542138.UL.NBM                      | 342542138.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1455 | PA      | $1439.54      | 0.00%             | 2027-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5868518.UP.NBM                      | FW5868518.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8445 | PA      | $8036.23      | 0.01%             | 2030-08-26      | Fixed         | 19.75%                | Yes           |                  3 | On Loan: No      |
| FW5868589.UP.NBM                      | FW5868589.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1229 | PA      | $1193.20      | 0.00%             | 2028-08-25      | Fixed         | 27.90%                | Yes           |                  3 | On Loan: No      |
| 342287768.UL.NBM                      | 342287768.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       361 | PA      | $358.84       | 0.00%             | 2026-02-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342287865.UL.NBM                      | 342287865.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $66.83        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343047329.UL.NBM                      | 343047329.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       359 | PA      | $355.68       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343047420.UL.NBM                      | 343047420.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       824 | PA      | $815.44       | 0.00%             | 2026-07-25      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341449549.UL.NBM                      | 341449549.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        29 | PA      | $29.29        | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341449584.UL.NBM                      | 341449584.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.63        | 0.00%             | 2026-02-20      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341969419.UL.NBM                      | 341969419.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1656 | PA      | $1535.06      | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341969459.UL.NBM                      | 341969459.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       925 | PA      | $919.46       | 0.00%             | 2026-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| DRB5873974.UP.NBM                     | DRB5873974.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9047 | PA      | $9289.41      | 0.01%             | 2030-08-26      | Fixed         | 30.98%                | Yes           |                  3 | On Loan: No      |
| DRB5874127.UP.NBM                     | DRB5874127.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1942 | PA      | $2020.39      | 0.00%             | 2030-08-26      | Fixed         | 31.59%                | Yes           |                  3 | On Loan: No      |
| 342287946.UL.NBM                      | 342287946.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       311 | PA      | $69.39        | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342314786.UL.NBM                      | 342314786.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       107 | PA      | $106.78       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342098938.UL.NBM                      | 342098938.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1468 | PA      | $1451.18      | 0.00%             | 2026-07-22      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342099000.UL.NBM                      | 342099000.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       127 | PA      | $125.81       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341405260.UL.NBM                      | 341405260.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       192 | PA      | $190.58       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341405600.UL.NBM                      | 341405600.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       312 | PA      | $309.68       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342762901.UL.NBM                      | 342762901.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        46 | PA      | $45.65        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342763087.UL.NBM                      | 342763087.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       444 | PA      | $440.16       | 0.00%             | 2026-05-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| FW5868668.UP.NBM                      | FW5868668.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3171 | PA      | $3293.18      | 0.00%             | 2030-08-25      | Fixed         | 31.66%                | Yes           |                  3 | On Loan: No      |
| FW5868734.UP.NBM                      | FW5868734.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3643 | PA      | $3444.66      | 0.00%             | 2028-08-25      | Fixed         | 15.61%                | Yes           |                  3 | On Loan: No      |
| 342318633.UL.NBM                      | 342318633.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       238 | PA      | $235.47       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342331480.UL.NBM                      | 342331480.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       104 | PA      | $103.49       | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| DRB5874130.UP.NBM                     | DRB5874130.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2518 | PA      | $2502.42      | 0.00%             | 2030-08-26      | Fixed         | 28.56%                | Yes           |                  3 | On Loan: No      |
| DRB5874143.UP.NBM                     | DRB5874143.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3884 | PA      | $4037.57      | 0.01%             | 2030-08-26      | Fixed         | 31.54%                | Yes           |                  3 | On Loan: No      |
| CBM5859723.UP.NBM                     | CBM5859723.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4395 | PA      | $4394.32      | 0.01%             | 2030-08-22      | Fixed         | 29.28%                | Yes           |                  3 | On Loan: No      |
| CBM5859726.UP.NBM                     | CBM5859726.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3153 | PA      | $702.46       | 0.00%             | 2030-08-22      | Fixed         | 30.26%                | Yes           |                  3 | On Loan: No      |
| 10236615.SQ.NBM                       | 10236615.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15067 | PA      | $13769.53     | 0.02%             | 2027-06-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10237030.SQ.NBM                       | 10237030.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3598 | PA      | $3370.87      | 0.00%             | 2027-06-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342099602.UL.NBM                      | 342099602.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       135 | PA      | $133.78       | 0.00%             | 2026-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342100057.UL.NBM                      | 342100057.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        88 | PA      | $87.65        | 0.00%             | 2026-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343047743.UL.NBM                      | 343047743.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        78 | PA      | $78.06        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343048285.UL.NBM                      | 343048285.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       190 | PA      | $189.34       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342763432.UL.NBM                      | 342763432.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       295 | PA      | $293.79       | 0.00%             | 2026-02-24      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 342763831.UL.NBM                      | 342763831.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       184 | PA      | $182.29       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5868980.UP.NBM                      | FW5868980.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2133 | PA      | $2157.60      | 0.00%             | 2030-08-25      | Fixed         | 29.76%                | Yes           |                  3 | On Loan: No      |
| FW5869216.UP.NBM                      | FW5869216.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21883 | PA      | $21182.93     | 0.03%             | 2030-08-25      | Fixed         | 23.54%                | Yes           |                  3 | On Loan: No      |
| CBM5860021.UP.NBM                     | CBM5860021.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21235 | PA      | $1542.99      | 0.00%             | 2028-08-25      | Fixed         | 30.31%                | Yes           |                  3 | On Loan: No      |
| CBM5860134.UP.NBM                     | CBM5860134.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2163 | PA      | $2052.32      | 0.00%             | 2030-08-22      | Fixed         | 25.76%                | Yes           |                  3 | On Loan: No      |
| 342333715.UL.NBM                      | 342333715.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        98 | PA      | $97.64        | 0.00%             | 2026-02-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342335730.UL.NBM                      | 342335730.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       391 | PA      | $387.05       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343048341.UL.NBM                      | 343048341.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       593 | PA      | $556.58       | 0.00%             | 2026-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343048368.UL.NBM                      | 343048368.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        94 | PA      | $93.45        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341784797.UL.NBM                      | 341784797.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       203 | PA      | $200.90       | 0.00%             | 2026-05-21      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341791336.UL.NBM                      | 341791336.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.77        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342542410.UL.NBM                      | 342542410.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       276 | PA      | $273.69       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342542465.UL.NBM                      | 342542465.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       180 | PA      | $179.02       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342110122.UL.NBM                      | 342110122.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       922 | PA      | $911.35       | 0.00%             | 2026-07-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342110148.UL.NBM                      | 342110148.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       539 | PA      | $533.77       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342337031.UL.NBM                      | 342337031.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       248 | PA      | $246.79       | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342339635.UL.NBM                      | 342339635.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       330 | PA      | $155.33       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5869283.UP.NBM                      | FW5869283.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3697 | PA      | $3691.36      | 0.01%             | 2030-08-25      | Fixed         | 29.11%                | Yes           |                  3 | On Loan: No      |
| FW5869295.UP.NBM                      | FW5869295.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5175 | PA      | $4828.31      | 0.01%             | 2030-08-25      | Fixed         | 18.54%                | Yes           |                  3 | On Loan: No      |
| CBM5860147.UP.NBM                     | CBM5860147.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3981 | PA      | $4155.34      | 0.01%             | 2030-08-22      | Fixed         | 32.11%                | Yes           |                  3 | On Loan: No      |
| CBM5860291.UP.NBM                     | CBM5860291.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3847 | PA      | $4191.82      | 0.01%             | 2030-08-22      | Fixed         | 31.53%                | Yes           |                  3 | On Loan: No      |
| 343048488.UL.NBM                      | 343048488.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       221 | PA      | $220.56       | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343048626.UL.NBM                      | 343048626.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2048 | PA      | $1900.93      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342543003.UL.NBM                      | 342543003.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       114 | PA      | $113.63       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342543458.UL.NBM                      | 342543458.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       280 | PA      | $278.14       | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342424632.UL.NBM                      | 342424632.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        78 | PA      | $77.32        | 0.00%             | 2026-02-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342425320.UL.NBM                      | 342425320.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        94 | PA      | $93.56        | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| FW5869296.UP.NBM                      | FW5869296.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1259 | PA      | $1257.09      | 0.00%             | 2030-08-25      | Fixed         | 28.88%                | Yes           |                  3 | On Loan: No      |
| FW5869598.UP.NBM                      | FW5869598.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1321 | PA      | $1344.44      | 0.00%             | 2030-08-25      | Fixed         | 30.40%                | Yes           |                  3 | On Loan: No      |
| 342110175.UL.NBM                      | 342110175.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2694 | PA      | $2496.34      | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342110224.UL.NBM                      | 342110224.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       719 | PA      | $660.13       | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| CBM5860329.UP.NBM                     | CBM5860329.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2228 | PA      | $2208.23      | 0.00%             | 2028-08-22      | Fixed         | 30.37%                | Yes           |                  3 | On Loan: No      |
| CBM5860344.UP.NBM                     | CBM5860344.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3006 | PA      | $3045.32      | 0.00%             | 2030-08-22      | Fixed         | 29.96%                | Yes           |                  3 | On Loan: No      |
| 341405778.UL.NBM                      | 341405778.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1105 | PA      | $1092.77      | 0.00%             | 2026-07-20      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341405821.UL.NBM                      | 341405821.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       606 | PA      | $602.19       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343048639.UL.NBM                      | 343048639.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       269 | PA      | $21.36        | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343048930.UL.NBM                      | 343048930.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        68 | PA      | $67.25        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342543677.UL.NBM                      | 342543677.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       174 | PA      | $172.56       | 0.00%             | 2026-05-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342544367.UL.NBM                      | 342544367.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       276 | PA      | $261.55       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5870413.UP.NBM                      | FW5870413.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7942 | PA      | $7887.28      | 0.01%             | 2030-08-25      | Fixed         | 28.55%                | Yes           |                  3 | On Loan: No      |
| FW5870456.UP.NBM                      | FW5870456.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2185 | PA      | $2085.55      | 0.00%             | 2030-08-25      | Fixed         | 26.11%                | Yes           |                  3 | On Loan: No      |
| 342110267.UL.NBM                      | 342110267.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       151 | PA      | $145.28       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342110286.UL.NBM                      | 342110286.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       220 | PA      | $218.19       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5860364.UP.NBM                     | CBM5860364.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1605 | PA      | $1674.75      | 0.00%             | 2030-08-25      | Fixed         | 32.12%                | Yes           |                  3 | On Loan: No      |
| CBM5860395.UP.NBM                     | CBM5860395.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16370 | PA      | $15057.29     | 0.02%             | 2028-08-22      | Fixed         | 22.90%                | Yes           |                  3 | On Loan: No      |
| 341405823.UL.NBM                      | 341405823.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       102 | PA      | $101.24       | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341405851.UL.NBM                      | 341405851.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       518 | PA      | $513.29       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342544634.UL.NBM                      | 342544634.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       134 | PA      | $133.05       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342544761.UL.NBM                      | 342544761.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       112 | PA      | $111.27       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343048947.UL.NBM                      | 343048947.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2441 | PA      | $2241.49      | 0.00%             | 2027-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343049079.UL.NBM                      | 343049079.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        14 | PA      | $13.72        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5870461.UP.NBM                      | FW5870461.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2134 | PA      | $2102.40      | 0.00%             | 2028-08-25      | Fixed         | 29.61%                | Yes           |                  3 | On Loan: No      |
| FW5870646.UP.NBM                      | FW5870646.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2906 | PA      | $2893.48      | 0.00%             | 2030-08-25      | Fixed         | 28.72%                | Yes           |                  3 | On Loan: No      |
| CBM5860684.UP.NBM                     | CBM5860684.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2718 | PA      | $2796.85      | 0.00%             | 2030-08-22      | Fixed         | 31.01%                | Yes           |                  3 | On Loan: No      |
| CBM5860729.UP.NBM                     | CBM5860729.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1161 | PA      | $1134.03      | 0.00%             | 2030-08-22      | Fixed         | 27.55%                | Yes           |                  3 | On Loan: No      |
| 341406970.UL.NBM                      | 341406970.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       277 | PA      | $109.64       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341407014.UL.NBM                      | 341407014.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       241 | PA      | $239.07       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343049217.UL.NBM                      | 343049217.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1312 | PA      | $1222.28      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343049301.UL.NBM                      | 343049301.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       675 | PA      | $667.03       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342545014.UL.NBM                      | 342545014.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       245 | PA      | $243.08       | 0.00%             | 2026-05-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342546637.UL.NBM                      | 342546637.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       270 | PA      | $267.14       | 0.00%             | 2026-05-23      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| CBM5860773.UP.NBM                     | CBM5860773.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6421 | PA      | $6457.44      | 0.01%             | 2030-08-22      | Fixed         | 18.67%                | Yes           |                  3 | On Loan: No      |
| CBM5860780.UP.NBM                     | CBM5860780.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1166 | PA      | $1214.15      | 0.00%             | 2030-08-22      | Fixed         | 31.83%                | Yes           |                  3 | On Loan: No      |
| 342940013.UL.NBM                      | 342940013.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       554 | PA      | $551.58       | 0.00%             | 2026-02-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342940047.UL.NBM                      | 342940047.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1408 | PA      | $1386.32      | 0.00%             | 2027-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5870718.UP.NBM                      | FW5870718.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2644 | PA      | $2769.69      | 0.00%             | 2030-08-25      | Fixed         | 31.80%                | Yes           |                  3 | On Loan: No      |
| FW5871530.UP.NBM                      | FW5871530.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1162 | PA      | $1143.99      | 0.00%             | 2030-08-26      | Fixed         | 27.97%                | Yes           |                  3 | On Loan: No      |
| 342764092.UL.NBM                      | 342764092.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       615 | PA      | $587.57       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342764284.UL.NBM                      | 342764284.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        86 | PA      | $87.08        | 0.00%             | 2026-02-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343049326.UL.NBM                      | 343049326.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       280 | PA      | $269.65       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343068215.UL.NBM                      | 343068215.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       122 | PA      | $121.76       | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342546849.UL.NBM                      | 342546849.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       214 | PA      | $213.69       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342547176.UL.NBM                      | 342547176.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       189 | PA      | $188.25       | 0.00%             | 2026-02-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| CBM5860814.UP.NBM                     | CBM5860814.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4037 | PA      | $891.57       | 0.00%             | 2030-08-22      | Fixed         | 28.72%                | Yes           |                  3 | On Loan: No      |
| DRB5858518.UP.NBM                     | DRB5858518.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1846 | PA      | $1935.72      | 0.00%             | 2030-08-22      | Fixed         | 32.27%                | Yes           |                  3 | On Loan: No      |
| 341791480.UL.NBM                      | 341791480.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        60 | PA      | $59.84        | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341791764.UL.NBM                      | 341791764.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       889 | PA      | $878.24       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341407034.UL.NBM                      | 341407034.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       426 | PA      | $424.97       | 0.00%             | 2026-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341407076.UL.NBM                      | 341407076.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       486 | PA      | $482.32       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342111463.UL.NBM                      | 342111463.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       180 | PA      | $36.25        | 0.00%             | 2035-11-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342112118.UL.NBM                      | 342112118.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       282 | PA      | $267.76       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342547740.UL.NBM                      | 342547740.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        66 | PA      | $65.31        | 0.00%             | 2026-02-23      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342547963.UL.NBM                      | 342547963.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       388 | PA      | $386.22       | 0.00%             | 2026-05-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343068288.UL.NBM                      | 343068288.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       119 | PA      | $118.74       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343068366.UL.NBM                      | 343068366.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       170 | PA      | $170.94       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342764586.UL.NBM                      | 342764586.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1136 | PA      | $1123.55      | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342764720.UL.NBM                      | 342764720.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1246 | PA      | $1236.31      | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5871586.UP.NBM                      | FW5871586.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     37699 | PA      | $37128.88     | 0.05%             | 2030-08-26      | Fixed         | 24.40%                | Yes           |                  3 | On Loan: No      |
| FW5871777.UP.NBM                      | FW5871777.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7057 | PA      | $6841.63      | 0.01%             | 2030-08-26      | Fixed         | 16.46%                | Yes           |                  3 | On Loan: No      |
| 341407283.UL.NBM                      | 341407283.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       471 | PA      | $466.29       | 0.00%             | 2026-05-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341407296.UL.NBM                      | 341407296.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       215 | PA      | $216.70       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858523.UP.NBM                     | DRB5858523.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2459 | PA      | $542.14       | 0.00%             | 2030-08-22      | Fixed         | 28.43%                | Yes           |                  3 | On Loan: No      |
| DRB5858549.UP.NBM                     | DRB5858549.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2812 | PA      | $2847.09      | 0.00%             | 2030-08-22      | Fixed         | 29.92%                | Yes           |                  3 | On Loan: No      |
| 343068376.UL.NBM                      | 343068376.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       136 | PA      | $135.59       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343070407.UL.NBM                      | 343070407.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       339 | PA      | $335.71       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342548461.UL.NBM                      | 342548461.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       106 | PA      | $106.46       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342585123.UL.NBM                      | 342585123.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1550 | PA      | $1445.81      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342783448.UL.NBM                      | 342783448.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       187 | PA      | $184.82       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342783679.UL.NBM                      | 342783679.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3046 | PA      | $2992.97      | 0.00%             | 2027-08-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341407325.UL.NBM                      | 341407325.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        64 | PA      | $63.18        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341407691.UL.NBM                      | 341407691.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       253 | PA      | $250.44       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858553.UP.NBM                     | DRB5858553.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14536 | PA      | $11410.74     | 0.02%             | 2030-08-22      | Fixed         | 25.50%                | Yes           |                  3 | On Loan: No      |
| DRB5858565.UP.NBM                     | DRB5858565.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2040 | PA      | $2135.53      | 0.00%             | 2030-08-22      | Fixed         | 32.15%                | Yes           |                  3 | On Loan: No      |
| 343070606.UL.NBM                      | 343070606.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1071 | PA      | $1059.21      | 0.00%             | 2026-07-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343070650.UL.NBM                      | 343070650.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       387 | PA      | $184.08       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342586107.UL.NBM                      | 342586107.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       382 | PA      | $380.57       | 0.00%             | 2026-06-07      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342587396.UL.NBM                      | 342587396.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       420 | PA      | $416.14       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343070725.UL.NBM                      | 343070725.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2764 | PA      | $2737.78      | 0.00%             | 2026-07-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343070764.UL.NBM                      | 343070764.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       452 | PA      | $447.69       | 0.00%             | 2026-05-31      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343070802.UL.NBM                      | 343070802.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1527 | PA      | $1414.61      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343070880.UL.NBM                      | 343070880.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       249 | PA      | $235.67       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341407741.UL.NBM                      | 341407741.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       546 | PA      | $540.00       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341407747.UL.NBM                      | 341407747.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       366 | PA      | $364.71       | 0.00%             | 2026-02-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342784133.UL.NBM                      | 342784133.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       376 | PA      | $372.94       | 0.00%             | 2026-05-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342784143.UL.NBM                      | 342784143.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       132 | PA      | $131.06       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342587561.UL.NBM                      | 342587561.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1470 | PA      | $1446.92      | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342592017.UL.NBM                      | 342592017.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       139 | PA      | $137.92       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858573.UP.NBM                     | DRB5858573.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1455 | PA      | $1473.31      | 0.00%             | 2030-08-22      | Fixed         | 29.92%                | Yes           |                  3 | On Loan: No      |
| DRB5858575.UP.NBM                     | DRB5858575.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1639 | PA      | $1550.02      | 0.00%             | 2030-08-22      | Fixed         | 25.57%                | Yes           |                  3 | On Loan: No      |
| 343070923.UL.NBM                      | 343070923.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       432 | PA      | $427.67       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343071245.UL.NBM                      | 343071245.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       407 | PA      | $192.12       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343185765.UL.NBM                      | 343185765.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       114 | PA      | $19.94        | 0.00%             | 2035-11-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343185801.UL.NBM                      | 343185801.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       120 | PA      | $119.69       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341906767.UL.NBM                      | 341906767.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       201 | PA      | $198.93       | 0.00%             | 2026-05-21      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341906923.UL.NBM                      | 341906923.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       847 | PA      | $836.42       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342112132.UL.NBM                      | 342112132.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        45 | PA      | $44.28        | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342203144.UL.NBM                      | 342203144.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       125 | PA      | $123.82       | 0.00%             | 2026-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341791832.UL.NBM                      | 341791832.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       369 | PA      | $365.57       | 0.00%             | 2026-05-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341819667.UL.NBM                      | 341819667.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       209 | PA      | $207.51       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858577.UP.NBM                     | DRB5858577.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11432 | PA      | $11406.65     | 0.02%             | 2030-08-22      | Fixed         | 28.95%                | Yes           |                  3 | On Loan: No      |
| DRB5858581.UP.NBM                     | DRB5858581.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1500 | PA      | $-6.53        | -0.00%            | 2030-08-22      | Fixed         | 29.20%                | Yes           |                  3 | On Loan: No      |
| 342784176.UL.NBM                      | 342784176.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       193 | PA      | $191.15       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342784415.UL.NBM                      | 342784415.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       194 | PA      | $193.06       | 0.00%             | 2026-02-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343071519.UL.NBM                      | 343071519.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       107 | PA      | $106.52       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343071597.UL.NBM                      | 343071597.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        27 | PA      | $26.87        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343445301.UL.NBM                      | 343445301.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       376 | PA      | $14.94        | 0.00%             | 2035-11-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343453570.UL.NBM                      | 343453570.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       478 | PA      | $472.58       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342593705.UL.NBM                      | 342593705.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1226 | PA      | $1139.12      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342593907.UL.NBM                      | 342593907.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       124 | PA      | $123.35       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5871838.UP.NBM                      | FW5871838.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8644 | PA      | $9006.02      | 0.01%             | 2030-08-26      | Fixed         | 31.70%                | Yes           |                  3 | On Loan: No      |
| FW5872195.UP.NBM                      | FW5872195.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2524 | PA      | $2605.20      | 0.00%             | 2030-08-26      | Fixed         | 31.06%                | Yes           |                  3 | On Loan: No      |
| DRB5867720.UP.NBM                     | DRB5867720.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       966 | PA      | $914.26       | 0.00%             | 2030-08-25      | Fixed         | 25.45%                | Yes           |                  3 | On Loan: No      |
| DRB5867730.UP.NBM                     | DRB5867730.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8717 | PA      | $8813.05      | 0.01%             | 2030-08-25      | Fixed         | 26.30%                | Yes           |                  3 | On Loan: No      |
| 343071696.UL.NBM                      | 343071696.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       713 | PA      | $711.08       | 0.00%             | 2026-03-09      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343071768.UL.NBM                      | 343071768.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       511 | PA      | $506.65       | 0.00%             | 2026-05-25      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 10237092.SQ.NBM                       | 10237092.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5874 | PA      | $5380.19      | 0.01%             | 2027-06-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10237206.SQ.NBM                       | 10237206.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13577 | PA      | $12719.29     | 0.02%             | 2027-06-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342203495.UL.NBM                      | 342203495.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       123 | PA      | $122.30       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342203517.UL.NBM                      | 342203517.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       278 | PA      | $276.34       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342594539.UL.NBM                      | 342594539.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       400 | PA      | $396.09       | 0.00%             | 2026-05-23      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342594938.UL.NBM                      | 342594938.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       313 | PA      | $297.43       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5867752.UP.NBM                     | DRB5867752.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     33335 | PA      | $30844.64     | 0.04%             | 2030-08-25      | Fixed         | 13.61%                | Yes           |                  3 | On Loan: No      |
| DRB5867762.UP.NBM                     | DRB5867762.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1606 | PA      | $1662.70      | 0.00%             | 2030-08-25      | Fixed         | 31.64%                | Yes           |                  3 | On Loan: No      |
| 343071925.UL.NBM                      | 343071925.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       110 | PA      | $110.32       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343072058.UL.NBM                      | 343072058.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        81 | PA      | $80.52        | 0.00%             | 2026-02-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| FW5872232.UP.NBM                      | FW5872232.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3426 | PA      | $3551.61      | 0.00%             | 2030-08-26      | Fixed         | 31.10%                | Yes           |                  3 | On Loan: No      |
| FW5872268.UP.NBM                      | FW5872268.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       992 | PA      | $945.40       | 0.00%             | 2028-08-26      | Fixed         | 10.73%                | Yes           |                  3 | On Loan: No      |
| 343296398.UL.NBM                      | 343296398.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       190 | PA      | $178.55       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343296468.UL.NBM                      | 343296468.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        12 | PA      | $11.49        | 0.00%             | 2026-02-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341907781.UL.NBM                      | 341907781.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       409 | PA      | $405.10       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341908533.UL.NBM                      | 341908533.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        55 | PA      | $55.09        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342594939.UL.NBM                      | 342594939.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5264 | PA      | $5186.05      | 0.01%             | 2027-02-23      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342595375.UL.NBM                      | 342595375.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       284 | PA      | $283.03       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5867763.UP.NBM                     | DRB5867763.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5508 | PA      | $5273.16      | 0.01%             | 2028-08-25      | Fixed         | 21.49%                | Yes           |                  3 | On Loan: No      |
| DRB5867803.UP.NBM                     | DRB5867803.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2034 | PA      | $2029.74      | 0.00%             | 2030-08-25      | Fixed         | 28.85%                | Yes           |                  3 | On Loan: No      |
| FW5872341.UP.NBM                      | FW5872341.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3161 | PA      | $3161.16      | 0.00%             | 2030-08-26      | Fixed         | 28.54%                | Yes           |                  3 | On Loan: No      |
| FW5872345.UP.NBM                      | FW5872345.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1928 | PA      | $1978.82      | 0.00%             | 2030-08-26      | Fixed         | 30.82%                | Yes           |                  3 | On Loan: No      |
| 343072138.UL.NBM                      | 343072138.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       511 | PA      | $505.97       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343072259.UL.NBM                      | 343072259.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       305 | PA      | $302.03       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10237606.SQ.NBM                       | 10237606.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15473 | PA      | $14493.06     | 0.02%             | 2027-06-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10238111.SQ.NBM                       | 10238111.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9798 | PA      | $8971.09      | 0.01%             | 2027-06-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342595671.UL.NBM                      | 342595671.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       300 | PA      | $296.87       | 0.00%             | 2026-05-23      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342595744.UL.NBM                      | 342595744.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       443 | PA      | $440.77       | 0.00%             | 2026-02-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342203628.UL.NBM                      | 342203628.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        46 | PA      | $46.39        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342203847.UL.NBM                      | 342203847.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       295 | PA      | $280.76       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5867808.UP.NBM                     | DRB5867808.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4275 | PA      | $4474.01      | 0.01%             | 2030-08-25      | Fixed         | 32.04%                | Yes           |                  3 | On Loan: No      |
| DRB5867812.UP.NBM                     | DRB5867812.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1453 | PA      | $1446.27      | 0.00%             | 2030-08-25      | Fixed         | 28.70%                | Yes           |                  3 | On Loan: No      |
| FW5872474.UP.NBM                      | FW5872474.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2113 | PA      | $2125.41      | 0.00%             | 2030-08-26      | Fixed         | 29.50%                | Yes           |                  3 | On Loan: No      |
| FW5872486.UP.NBM                      | FW5872486.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3875 | PA      | $283.34       | 0.00%             | 2030-08-26      | Fixed         | 32.03%                | Yes           |                  3 | On Loan: No      |
| 343072456.UL.NBM                      | 343072456.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       204 | PA      | $202.19       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343072485.UL.NBM                      | 343072485.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       141 | PA      | $140.31       | 0.00%             | 2026-02-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341821711.UL.NBM                      | 341821711.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $64.39        | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341822169.UL.NBM                      | 341822169.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       157 | PA      | $156.54       | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342204587.UL.NBM                      | 342204587.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1523 | PA      | $651.85       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342204992.UL.NBM                      | 342204992.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       109 | PA      | $108.52       | 0.00%             | 2026-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341908623.UL.NBM                      | 341908623.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       100 | PA      | $99.52        | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341910733.UL.NBM                      | 341910733.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       997 | PA      | $985.45       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10239626.SQ.NBM                       | 10239626.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8683 | PA      | $8132.20      | 0.01%             | 2027-06-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10240092.SQ.NBM                       | 10240092.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     44628 | PA      | $41540.23     | 0.06%             | 2027-06-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342595783.UL.NBM                      | 342595783.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1405 | PA      | $1282.86      | 0.00%             | 2027-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342596148.UL.NBM                      | 342596148.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3136 | PA      | $3090.30      | 0.00%             | 2027-08-23      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343072660.UL.NBM                      | 343072660.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       169 | PA      | $158.77       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343072719.UL.NBM                      | 343072719.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1591 | PA      | $1482.03      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342205006.UL.NBM                      | 342205006.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        87 | PA      | $87.23        | 0.00%             | 2026-02-28      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342205024.UL.NBM                      | 342205024.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        87 | PA      | $86.05        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5872632.UP.NBM                      | FW5872632.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5190 | PA      | $4962.63      | 0.01%             | 2030-08-26      | Fixed         | 26.19%                | Yes           |                  3 | On Loan: No      |
| FW5872638.UP.NBM                      | FW5872638.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2818 | PA      | $2960.98      | 0.00%             | 2030-08-26      | Fixed         | 32.27%                | Yes           |                  3 | On Loan: No      |
| DRB5867824.UP.NBM                     | DRB5867824.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5438 | PA      | $5654.06      | 0.01%             | 2030-08-25      | Fixed         | 31.59%                | Yes           |                  3 | On Loan: No      |
| DRB5867834.UP.NBM                     | DRB5867834.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16161 | PA      | $15752.97     | 0.02%             | 2030-08-25      | Fixed         | 16.80%                | Yes           |                  3 | On Loan: No      |
| 343296611.UL.NBM                      | 343296611.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        83 | PA      | $82.98        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343299387.UL.NBM                      | 343299387.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       226 | PA      | $224.46       | 0.00%             | 2026-05-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342597182.UL.NBM                      | 342597182.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1106 | PA      | $1021.47      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342597256.UL.NBM                      | 342597256.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2841 | PA      | $2807.23      | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9746795.SQ.NBM                        | 9746795.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11691 | PA      | $11134.86     | 0.02%             | 2027-03-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9747089.SQ.NBM                        | 9747089.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14980 | PA      | $14318.39     | 0.02%             | 2027-03-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343072724.UL.NBM                      | 343072724.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        59 | PA      | $58.54        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343072898.UL.NBM                      | 343072898.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1518 | PA      | $1419.95      | 0.00%             | 2026-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5872656.UP.NBM                      | FW5872656.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1062 | PA      | $1000.97      | 0.00%             | 2030-08-26      | Fixed         | 25.14%                | Yes           |                  3 | On Loan: No      |
| FW5872688.UP.NBM                      | FW5872688.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2235 | PA      | $2350.57      | 0.00%             | 2030-08-26      | Fixed         | 32.33%                | Yes           |                  3 | On Loan: No      |
| 343300058.UL.NBM                      | 343300058.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2158 | PA      | $2136.28      | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343300311.UL.NBM                      | 343300311.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        62 | PA      | $61.81        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342205144.UL.NBM                      | 342205144.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       559 | PA      | $530.19       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342205220.UL.NBM                      | 342205220.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       146 | PA      | $140.39       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343453763.UL.NBM                      | 343453763.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        50 | PA      | $49.41        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343454215.UL.NBM                      | 343454215.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        65 | PA      | $64.85        | 0.00%             | 2026-02-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342597337.UL.NBM                      | 342597337.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       237 | PA      | $236.35       | 0.00%             | 2026-02-28      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342597445.UL.NBM                      | 342597445.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1196 | PA      | $1116.58      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343300467.UL.NBM                      | 343300467.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1144 | PA      | $1061.95      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343301824.UL.NBM                      | 343301824.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        51 | PA      | $50.61        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343073045.UL.NBM                      | 343073045.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       718 | PA      | $658.78       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343084230.UL.NBM                      | 343084230.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       548 | PA      | $540.15       | 0.00%             | 2027-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| L5861041.UP.NBM                       | L5861041.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       959 | PA      | $969.69       | 0.00%             | 2030-08-22      | Fixed         | 19.02%                | Yes           |                  3 | On Loan: No      |
| L5861052.UP.NBM                       | L5861052.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1718 | PA      | $1637.32      | 0.00%             | 2030-08-22      | Fixed         | 20.07%                | Yes           |                  3 | On Loan: No      |
| 9747352.SQ.NBM                        | 9747352.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2209 | PA      | $2137.27      | 0.00%             | 2027-03-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9747402.SQ.NBM                        | 9747402.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17607 | PA      | $17030.58     | 0.02%             | 2027-03-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342205403.UL.NBM                      | 342205403.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       166 | PA      | $164.79       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342206552.UL.NBM                      | 342206552.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       167 | PA      | $166.32       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343302377.UL.NBM                      | 343302377.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3555 | PA      | $3530.00      | 0.00%             | 2026-07-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343302392.UL.NBM                      | 343302392.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        83 | PA      | $83.08        | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342597860.UL.NBM                      | 342597860.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       211 | PA      | $209.84       | 0.00%             | 2026-02-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342597965.UL.NBM                      | 342597965.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       152 | PA      | $151.55       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343084372.UL.NBM                      | 343084372.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        73 | PA      | $71.91        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343084383.UL.NBM                      | 343084383.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        22 | PA      | $21.46        | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341825024.UL.NBM                      | 341825024.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        71 | PA      | $70.09        | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341825819.UL.NBM                      | 341825819.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1165 | PA      | $1151.17      | 0.00%             | 2026-07-21      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342206570.UL.NBM                      | 342206570.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       488 | PA      | $481.06       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342207075.UL.NBM                      | 342207075.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        59 | PA      | $58.32        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9772793.SQ.NBM                        | 9772793.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5000 | PA      | $4764.50      | 0.01%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9772883.SQ.NBM                        | 9772883.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8724 | PA      | $8330.80      | 0.01%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342301358.UL.NBM                      | 342301358.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       229 | PA      | $216.91       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342301408.UL.NBM                      | 342301408.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        59 | PA      | $58.26        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9747847.SQ.NBM                        | 9747847.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5280 | PA      | $5052.20      | 0.01%             | 2027-03-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9747930.SQ.NBM                        | 9747930.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7556 | PA      | $7064.04      | 0.01%             | 2027-03-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343454506.UL.NBM                      | 343454506.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        91 | PA      | $91.22        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343455899.UL.NBM                      | 343455899.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        69 | PA      | $68.24        | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343084524.UL.NBM                      | 343084524.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4740 | PA      | $4665.99      | 0.01%             | 2027-08-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343084566.UL.NBM                      | 343084566.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       370 | PA      | $367.88       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5861059.UP.NBM                       | L5861059.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5700 | PA      | $5437.09      | 0.01%             | 2030-08-22      | Fixed         | 26.01%                | Yes           |                  3 | On Loan: No      |
| L5861060.UP.NBM                       | L5861060.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     23690 | PA      | $23398.14     | 0.03%             | 2030-08-22      | Fixed         | 17.64%                | Yes           |                  3 | On Loan: No      |
| 342599628.UL.NBM                      | 342599628.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       848 | PA      | $811.52       | 0.00%             | 2026-08-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342599760.UL.NBM                      | 342599760.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       498 | PA      | $493.37       | 0.00%             | 2026-05-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343457042.UL.NBM                      | 343457042.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1346 | PA      | $1333.97      | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343457268.UL.NBM                      | 343457268.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       480 | PA      | $475.93       | 0.00%             | 2026-05-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342301471.UL.NBM                      | 342301471.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $67.05        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342301523.UL.NBM                      | 342301523.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       217 | PA      | $86.33        | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342599999.UL.NBM                      | 342599999.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       472 | PA      | $467.67       | 0.00%             | 2026-05-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342602193.UL.NBM                      | 342602193.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       923 | PA      | $911.73       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9748010.SQ.NBM                        | 9748010.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     27281 | PA      | $26341.93     | 0.04%             | 2027-03-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9748670.SQ.NBM                        | 9748670.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2456 | PA      | $2175.98      | 0.00%             | 2027-03-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343302711.UL.NBM                      | 343302711.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       429 | PA      | $424.51       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343302887.UL.NBM                      | 343302887.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       769 | PA      | $760.65       | 0.00%             | 2026-07-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341407853.UL.NBM                      | 341407853.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1365 | PA      | $1352.82      | 0.00%             | 2026-05-20      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 341407999.UL.NBM                      | 341407999.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       108 | PA      | $107.68       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341910817.UL.NBM                      | 341910817.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       168 | PA      | $166.76       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341911182.UL.NBM                      | 341911182.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        85 | PA      | $84.34        | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5861078.UP.NBM                       | L5861078.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     20865 | PA      | $19865.31     | 0.03%             | 2030-08-25      | Fixed         | 19.95%                | Yes           |                  3 | On Loan: No      |
| L5861083.UP.NBM                       | L5861083.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16870 | PA      | $16397.28     | 0.02%             | 2030-08-22      | Fixed         | 23.87%                | Yes           |                  3 | On Loan: No      |
| 341828318.UL.NBM                      | 341828318.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       180 | PA      | $178.56       | 0.00%             | 2026-05-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341828418.UL.NBM                      | 341828418.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       895 | PA      | $824.25       | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342785081.UL.NBM                      | 342785081.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1570 | PA      | $1462.38      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342785229.UL.NBM                      | 342785229.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       890 | PA      | $879.72       | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341160334.UL.NBM                      | 341160334.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       744 | PA      | $734.91       | 0.00%             | 2026-07-18      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341161457.UL.NBM                      | 341161457.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       394 | PA      | $389.71       | 0.00%             | 2026-05-18      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341911295.UL.NBM                      | 341911295.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       124 | PA      | $123.32       | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341912071.UL.NBM                      | 341912071.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       472 | PA      | $464.61       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342602748.UL.NBM                      | 342602748.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       523 | PA      | $500.37       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342602842.UL.NBM                      | 342602842.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       252 | PA      | $249.19       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343332727.UL.NBM                      | 343332727.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       112 | PA      | $111.86       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343332846.UL.NBM                      | 343332846.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        59 | PA      | $58.66        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9748684.SQ.NBM                        | 9748684.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9322 | PA      | $8566.79      | 0.01%             | 2027-03-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9749117.SQ.NBM                        | 9749117.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1755 | PA      | $1720.07      | 0.00%             | 2027-03-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5866940.UP.NBM                       | L5866940.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9437 | PA      | $9212.83      | 0.01%             | 2030-08-25      | Fixed         | 24.23%                | Yes           |                  3 | On Loan: No      |
| L5866944.UP.NBM                       | L5866944.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21271 | PA      | $21327.26     | 0.03%             | 2030-08-25      | Fixed         | 18.45%                | Yes           |                  3 | On Loan: No      |
| 342973114.UL.NBM                      | 342973114.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       427 | PA      | $423.42       | 0.00%             | 2026-05-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342973444.UL.NBM                      | 342973444.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       267 | PA      | $264.90       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341912219.UL.NBM                      | 341912219.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1085 | PA      | $1076.42      | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341913731.UL.NBM                      | 341913731.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       233 | PA      | $230.76       | 0.00%             | 2026-05-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341163496.UL.NBM                      | 341163496.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $66.40        | 0.00%             | 2026-02-18      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341163979.UL.NBM                      | 341163979.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       123 | PA      | $123.00       | 0.00%             | 2026-02-18      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342786605.UL.NBM                      | 342786605.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       948 | PA      | $943.22       | 0.00%             | 2026-02-24      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342786835.UL.NBM                      | 342786835.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       912 | PA      | $907.57       | 0.00%             | 2026-02-24      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342604630.UL.NBM                      | 342604630.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       901 | PA      | $896.25       | 0.00%             | 2026-07-23      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342604631.UL.NBM                      | 342604631.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       256 | PA      | $254.00       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341828456.UL.NBM                      | 341828456.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5295 | PA      | $5251.85      | 0.01%             | 2026-05-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341828528.UL.NBM                      | 341828528.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       851 | PA      | $815.20       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343332960.UL.NBM                      | 343332960.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       268 | PA      | $100.48       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343335112.UL.NBM                      | 343335112.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       352 | PA      | $350.50       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341164676.UL.NBM                      | 341164676.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3034 | PA      | $2837.32      | 0.00%             | 2026-07-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341169857.UL.NBM                      | 341169857.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        74 | PA      | $73.49        | 0.00%             | 2026-02-18      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9749147.SQ.NBM                        | 9749147.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     50718 | PA      | $48188.44     | 0.07%             | 2027-03-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9749987.SQ.NBM                        | 9749987.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1092 | PA      | $1013.74      | 0.00%             | 2027-03-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342973596.UL.NBM                      | 342973596.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        64 | PA      | $63.42        | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342974062.UL.NBM                      | 342974062.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3014 | PA      | $3014.83      | 0.00%             | 2027-08-25      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 341828590.UL.NBM                      | 341828590.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       100 | PA      | $99.28        | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341828704.UL.NBM                      | 341828704.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $66.71        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342605934.UL.NBM                      | 342605934.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       108 | PA      | $107.91       | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342606114.UL.NBM                      | 342606114.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       391 | PA      | $372.43       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341171594.UL.NBM                      | 341171594.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       294 | PA      | $290.86       | 0.00%             | 2026-05-18      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341173837.UL.NBM                      | 341173837.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        52 | PA      | $52.10        | 0.00%             | 2026-02-18      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342207186.UL.NBM                      | 342207186.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1681 | PA      | $1655.20      | 0.00%             | 2027-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342208536.UL.NBM                      | 342208536.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       887 | PA      | $877.20       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5874181.UP.NBM                     | DRB5874181.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5537 | PA      | $5791.77      | 0.01%             | 2030-08-26      | Fixed         | 31.96%                | Yes           |                  3 | On Loan: No      |
| DRB5874184.UP.NBM                     | DRB5874184.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     40479 | PA      | $40704.06     | 0.06%             | 2028-08-26      | Fixed         | 18.07%                | Yes           |                  3 | On Loan: No      |
| 9772948.SQ.NBM                        | 9772948.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7980 | PA      | $7559.26      | 0.01%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9773115.SQ.NBM                        | 9773115.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3484 | PA      | $3292.36      | 0.00%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9750008.SQ.NBM                        | 9750008.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4274 | PA      | $4066.82      | 0.01%             | 2027-03-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9750062.SQ.NBM                        | 9750062.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1394 | PA      | $1313.27      | 0.00%             | 2027-03-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343336558.UL.NBM                      | 343336558.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       990 | PA      | $975.83       | 0.00%             | 2027-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343337867.UL.NBM                      | 343337867.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       382 | PA      | $378.45       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342787629.UL.NBM                      | 342787629.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       158 | PA      | $157.25       | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342787823.UL.NBM                      | 342787823.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2673 | PA      | $2633.13      | 0.00%             | 2027-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341181536.UL.NBM                      | 341181536.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1163 | PA      | $1080.99      | 0.00%             | 2026-07-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341182512.UL.NBM                      | 341182512.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       223 | PA      | $211.71       | 0.00%             | 2026-02-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342606161.UL.NBM                      | 342606161.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1103 | PA      | $1090.87      | 0.00%             | 2026-07-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342645450.UL.NBM                      | 342645450.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1063 | PA      | $1050.65      | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9750218.SQ.NBM                        | 9750218.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3522 | PA      | $3372.41      | 0.00%             | 2027-03-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9750294.SQ.NBM                        | 9750294.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       170 | PA      | $163.93       | 0.00%             | 2027-03-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342209134.UL.NBM                      | 342209134.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.23        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342209275.UL.NBM                      | 342209275.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       329 | PA      | $326.89       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9773466.SQ.NBM                        | 9773466.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1671 | PA      | $1568.92      | 0.00%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9773482.SQ.NBM                        | 9773482.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1796 | PA      | $1699.66      | 0.00%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341183433.UL.NBM                      | 341183433.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       108 | PA      | $107.12       | 0.00%             | 2026-02-18      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341186433.UL.NBM                      | 341186433.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        45 | PA      | $44.21        | 0.00%             | 2026-02-18      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342974125.UL.NBM                      | 342974125.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       254 | PA      | $251.76       | 0.00%             | 2026-05-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342974132.UL.NBM                      | 342974132.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       496 | PA      | $492.51       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342645564.UL.NBM                      | 342645564.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       546 | PA      | $507.13       | 0.00%             | 2026-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342645569.UL.NBM                      | 342645569.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       801 | PA      | $806.55       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9750304.SQ.NBM                        | 9750304.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     24482 | PA      | $18859.41     | 0.03%             | 2027-03-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9750740.SQ.NBM                        | 9750740.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5334 | PA      | $5132.49      | 0.01%             | 2027-03-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342209368.UL.NBM                      | 342209368.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       261 | PA      | $21.19        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342211994.UL.NBM                      | 342211994.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       565 | PA      | $539.14       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341762917.UL.NBM                      | 341762917.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       131 | PA      | $130.73       | 0.00%             | 2026-02-21      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341763216.UL.NBM                      | 341763216.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1012 | PA      | $929.14       | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5866948.UP.NBM                       | L5866948.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9150 | PA      | $8799.02      | 0.01%             | 2028-08-25      | Fixed         | 22.10%                | Yes           |                  3 | On Loan: No      |
| L5866952.UP.NBM                       | L5866952.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1150 | PA      | $1073.33      | 0.00%             | 2030-08-25      | Fixed         | 18.56%                | Yes           |                  3 | On Loan: No      |
| 342787830.UL.NBM                      | 342787830.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1664 | PA      | $1571.05      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342787967.UL.NBM                      | 342787967.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       576 | PA      | $574.69       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342975278.UL.NBM                      | 342975278.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       259 | PA      | $257.34       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342975306.UL.NBM                      | 342975306.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       133 | PA      | $132.51       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342645719.UL.NBM                      | 342645719.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       184 | PA      | $61.77        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342654525.UL.NBM                      | 342654525.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6395 | PA      | $6401.70      | 0.01%             | 2027-08-24      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 9750904.SQ.NBM                        | 9750904.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6446 | PA      | $6053.36      | 0.01%             | 2027-03-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9751160.SQ.NBM                        | 9751160.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13190 | PA      | $12633.21     | 0.02%             | 2027-03-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342788669.UL.NBM                      | 342788669.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       459 | PA      | $454.62       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342789824.UL.NBM                      | 342789824.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       139 | PA      | $137.97       | 0.00%             | 2026-02-24      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341763440.UL.NBM                      | 341763440.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       742 | PA      | $733.38       | 0.00%             | 2026-07-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341764598.UL.NBM                      | 341764598.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       206 | PA      | $204.74       | 0.00%             | 2026-02-21      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342975327.UL.NBM                      | 342975327.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       363 | PA      | $362.61       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342975458.UL.NBM                      | 342975458.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        28 | PA      | $27.39        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342212026.UL.NBM                      | 342212026.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       175 | PA      | $173.84       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342212062.UL.NBM                      | 342212062.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       271 | PA      | $270.45       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9751490.SQ.NBM                        | 9751490.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1525 | PA      | $1368.56      | 0.00%             | 2027-03-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9751500.SQ.NBM                        | 9751500.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       969 | PA      | $806.29       | 0.00%             | 2027-03-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342789833.UL.NBM                      | 342789833.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       446 | PA      | $425.14       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342790128.UL.NBM                      | 342790128.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       765 | PA      | $756.44       | 0.00%             | 2026-07-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 9773534.SQ.NBM                        | 9773534.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     41753 | PA      | $39566.41     | 0.05%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9774045.SQ.NBM                        | 9774045.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1955 | PA      | $1862.15      | 0.00%             | 2027-03-08      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341764903.UL.NBM                      | 341764903.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       996 | PA      | $988.37       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341764948.UL.NBM                      | 341764948.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       173 | PA      | $163.05       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342975602.UL.NBM                      | 342975602.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       407 | PA      | $404.69       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342976626.UL.NBM                      | 342976626.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       398 | PA      | $378.55       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9751506.SQ.NBM                        | 9751506.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2245 | PA      | $2103.99      | 0.00%             | 2027-03-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9751537.SQ.NBM                        | 9751537.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3879 | PA      | $3743.25      | 0.01%             | 2027-03-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341408018.UL.NBM                      | 341408018.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       218 | PA      | $212.02       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341408084.UL.NBM                      | 341408084.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       171 | PA      | $169.48       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342790222.UL.NBM                      | 342790222.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        71 | PA      | $70.71        | 0.00%             | 2026-02-24      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342790286.UL.NBM                      | 342790286.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       104 | PA      | $103.79       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341765237.UL.NBM                      | 341765237.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        54 | PA      | $53.44        | 0.00%             | 2026-05-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341765475.UL.NBM                      | 341765475.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       194 | PA      | $192.60       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342976791.UL.NBM                      | 342976791.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1477 | PA      | $1455.43      | 0.00%             | 2027-02-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342976866.UL.NBM                      | 342976866.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       253 | PA      | $84.20        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343337944.UL.NBM                      | 343337944.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       334 | PA      | $317.87       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343338590.UL.NBM                      | 343338590.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1438 | PA      | $1360.79      | 0.00%             | 2026-05-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342212083.UL.NBM                      | 342212083.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       379 | PA      | $361.04       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342217951.UL.NBM                      | 342217951.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       213 | PA      | $211.84       | 0.00%             | 2026-02-22      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 342790470.UL.NBM                      | 342790470.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1603 | PA      | $1482.62      | 0.00%             | 2027-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342790861.UL.NBM                      | 342790861.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       736 | PA      | $734.62       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341765601.UL.NBM                      | 341765601.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1409 | PA      | $1391.92      | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341766267.UL.NBM                      | 341766267.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       134 | PA      | $133.25       | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341408108.UL.NBM                      | 341408108.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       487 | PA      | $482.39       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341408436.UL.NBM                      | 341408436.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       260 | PA      | $257.87       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343338618.UL.NBM                      | 343338618.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       235 | PA      | $233.84       | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343338696.UL.NBM                      | 343338696.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       477 | PA      | $474.95       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5861101.UP.NBM                       | L5861101.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1784 | PA      | $140.35       | 0.00%             | 2030-08-22      | Fixed         | 23.09%                | Yes           |                  3 | On Loan: No      |
| L5861115.UP.NBM                       | L5861115.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1059 | PA      | $1058.45      | 0.00%             | 2030-08-22      | Fixed         | 22.91%                | Yes           |                  3 | On Loan: No      |
| L5861129.UP.NBM                       | L5861129.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3373 | PA      | $3105.06      | 0.00%             | 2030-08-22      | Fixed         | 23.72%                | Yes           |                  3 | On Loan: No      |
| L5861172.UP.NBM                       | L5861172.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6344 | PA      | $6349.34      | 0.01%             | 2030-08-22      | Fixed         | 18.47%                | Yes           |                  3 | On Loan: No      |
| 342791602.UL.NBM                      | 342791602.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1161 | PA      | $1089.70      | 0.00%             | 2026-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342791630.UL.NBM                      | 342791630.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       200 | PA      | $190.46       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341408481.UL.NBM                      | 341408481.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       195 | PA      | $193.39       | 0.00%             | 2026-02-20      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341408672.UL.NBM                      | 341408672.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       407 | PA      | $402.90       | 0.00%             | 2026-05-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9778520.SQ.NBM                        | 9778520.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2938 | PA      | $2777.08      | 0.00%             | 2027-03-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9778690.SQ.NBM                        | 9778690.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2756 | PA      | $2651.83      | 0.00%             | 2027-03-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341766570.UL.NBM                      | 341766570.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       181 | PA      | $74.99        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341766582.UL.NBM                      | 341766582.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        48 | PA      | $47.23        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342791907.UL.NBM                      | 342791907.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1168 | PA      | $1079.65      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342793070.UL.NBM                      | 342793070.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       302 | PA      | $298.64       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5866957.UP.NBM                       | L5866957.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1935 | PA      | $1808.53      | 0.00%             | 2028-08-25      | Fixed         | 24.36%                | Yes           |                  3 | On Loan: No      |
| L5866959.UP.NBM                       | L5866959.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2051 | PA      | $1961.84      | 0.00%             | 2030-09-01      | Fixed         | 23.14%                | Yes           |                  3 | On Loan: No      |
| L5861181.UP.NBM                       | L5861181.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2661 | PA      | $2513.28      | 0.00%             | 2030-08-22      | Fixed         | 19.50%                | Yes           |                  3 | On Loan: No      |
| L5861192.UP.NBM                       | L5861192.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     37232 | PA      | $38736.23     | 0.05%             | 2030-08-22      | Fixed         | 17.53%                | Yes           |                  3 | On Loan: No      |
| 9778727.SQ.NBM                        | 9778727.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2051 | PA      | $1907.01      | 0.00%             | 2027-03-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9778747.SQ.NBM                        | 9778747.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6318 | PA      | $6064.12      | 0.01%             | 2027-03-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343084671.UL.NBM                      | 343084671.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       149 | PA      | $143.47       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343084794.UL.NBM                      | 343084794.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       499 | PA      | $496.67       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341408738.UL.NBM                      | 341408738.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       186 | PA      | $184.33       | 0.00%             | 2026-05-20      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341409228.UL.NBM                      | 341409228.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       420 | PA      | $417.15       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341766782.UL.NBM                      | 341766782.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.84        | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341767053.UL.NBM                      | 341767053.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        75 | PA      | $75.00        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342793360.UL.NBM                      | 342793360.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       857 | PA      | $793.20       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342793477.UL.NBM                      | 342793477.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4054 | PA      | $4009.65      | 0.01%             | 2026-07-24      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| L5861600.UP.NBM                       | L5861600.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2384 | PA      | $2258.43      | 0.00%             | 2030-08-22      | Fixed         | 22.44%                | Yes           |                  3 | On Loan: No      |
| L5861604.UP.NBM                       | L5861604.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3179 | PA      | $3188.53      | 0.00%             | 2030-08-22      | Fixed         | 23.16%                | Yes           |                  3 | On Loan: No      |
| 342976904.UL.NBM                      | 342976904.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        32 | PA      | $31.18        | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342976911.UL.NBM                      | 342976911.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       114 | PA      | $113.48       | 0.00%             | 2026-02-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 9787658.SQ.NBM                        | 9787658.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6757 | PA      | $6437.46      | 0.01%             | 2027-03-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9787800.SQ.NBM                        | 9787800.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       531 | PA      | $520.48       | 0.00%             | 2027-03-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341767072.UL.NBM                      | 341767072.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       328 | PA      | $324.61       | 0.00%             | 2026-05-21      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341767103.UL.NBM                      | 341767103.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       182 | PA      | $86.66        | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341914141.UL.NBM                      | 341914141.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1308 | PA      | $1210.62      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341914309.UL.NBM                      | 341914309.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       159 | PA      | $60.31        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342793586.UL.NBM                      | 342793586.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       359 | PA      | $342.26       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342793707.UL.NBM                      | 342793707.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        57 | PA      | $57.18        | 0.00%             | 2026-02-24      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 9787828.SQ.NBM                        | 9787828.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11095 | PA      | $9834.69      | 0.01%             | 2027-03-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9787942.SQ.NBM                        | 9787942.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       890 | PA      | $864.33       | 0.00%             | 2027-03-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341513593.UL.NBM                      | 341513593.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       196 | PA      | $185.26       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341514513.UL.NBM                      | 341514513.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       613 | PA      | $607.08       | 0.00%             | 2026-05-20      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 342709156.UL.NBM                      | 342709156.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       229 | PA      | $226.59       | 0.00%             | 2026-05-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| L5860968.UP.NBM                       | L5860968.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1095 | PA      | $1048.00      | 0.00%             | 2028-08-22      | Fixed         | 16.92%                | Yes           |                  3 | On Loan: No      |
| 342983154.UL.NBM                      | 342983154.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        53 | PA      | $52.87        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342983555.UL.NBM                      | 342983555.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       339 | PA      | $335.51       | 0.00%             | 2026-07-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341914442.UL.NBM                      | 341914442.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2429 | PA      | $2401.40      | 0.00%             | 2026-07-21      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341914864.UL.NBM                      | 341914864.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       533 | PA      | $531.85       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342794021.UL.NBM                      | 342794021.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       452 | PA      | $449.25       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342794220.UL.NBM                      | 342794220.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       127 | PA      | $126.66       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9802728.SQ.NBM                        | 9802728.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17572 | PA      | $16673.91     | 0.02%             | 2027-03-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9803044.SQ.NBM                        | 9803044.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19866 | PA      | $12197.14     | 0.02%             | 2027-03-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341915074.UL.NBM                      | 341915074.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       258 | PA      | $256.80       | 0.00%             | 2026-05-21      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341915919.UL.NBM                      | 341915919.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       296 | PA      | $292.60       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341514642.UL.NBM                      | 341514642.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       292 | PA      | $289.49       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341514664.UL.NBM                      | 341514664.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1041 | PA      | $961.02       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5861670.UP.NBM                       | L5861670.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10570 | PA      | $10244.92     | 0.01%             | 2030-08-22      | Fixed         | 20.97%                | Yes           |                  3 | On Loan: No      |
| L5861745.UP.NBM                       | L5861745.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     43668 | PA      | $9263.77      | 0.01%             | 2030-08-22      | Fixed         | 17.60%                | Yes           |                  3 | On Loan: No      |
| 342983563.UL.NBM                      | 342983563.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1805 | PA      | $1776.63      | 0.00%             | 2027-08-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342983604.UL.NBM                      | 342983604.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       123 | PA      | $122.28       | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 9803339.SQ.NBM                        | 9803339.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1817 | PA      | $1477.98      | 0.00%             | 2027-03-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9803370.SQ.NBM                        | 9803370.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16128 | PA      | $15608.54     | 0.02%             | 2027-03-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341967187.UL.NBM                      | 341967187.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       114 | PA      | $113.60       | 0.00%             | 2026-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341967197.UL.NBM                      | 341967197.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1342 | PA      | $1326.16      | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342794264.UL.NBM                      | 342794264.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        98 | PA      | $97.90        | 0.00%             | 2026-02-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342794931.UL.NBM                      | 342794931.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1119 | PA      | $1033.29      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5860969.UP.NBM                       | L5860969.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1446 | PA      | $1389.22      | 0.00%             | 2028-08-22      | Fixed         | 17.28%                | Yes           |                  3 | On Loan: No      |
| L5860971.UP.NBM                       | L5860971.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     29751 | PA      | $27964.84     | 0.04%             | 2028-08-22      | Fixed         | 15.20%                | Yes           |                  3 | On Loan: No      |
| L5862156.UP.NBM                       | L5862156.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9633 | PA      | $9282.24      | 0.01%             | 2030-08-25      | Fixed         | 23.25%                | Yes           |                  3 | On Loan: No      |
| L5862167.UP.NBM                       | L5862167.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     28611 | PA      | $27402.89     | 0.04%             | 2030-08-25      | Fixed         | 20.17%                | Yes           |                  3 | On Loan: No      |
| 343022601.UL.NBM                      | 343022601.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       568 | PA      | $563.23       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343022734.UL.NBM                      | 343022734.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       293 | PA      | $142.09       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341967198.UL.NBM                      | 341967198.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       359 | PA      | $357.10       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341967234.UL.NBM                      | 341967234.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        38 | PA      | $37.66        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341518064.UL.NBM                      | 341518064.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       982 | PA      | $971.21       | 0.00%             | 2026-07-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341518310.UL.NBM                      | 341518310.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       100 | PA      | $99.59        | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5860975.UP.NBM                       | L5860975.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21609 | PA      | $20778.69     | 0.03%             | 2030-08-22      | Fixed         | 20.47%                | Yes           |                  3 | On Loan: No      |
| L5860976.UP.NBM                       | L5860976.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2016 | PA      | $2101.17      | 0.00%             | 2030-08-22      | Fixed         | 20.97%                | Yes           |                  3 | On Loan: No      |
| 342795431.UL.NBM                      | 342795431.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       799 | PA      | $738.82       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342795525.UL.NBM                      | 342795525.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       267 | PA      | $264.36       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343085018.UL.NBM                      | 343085018.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       154 | PA      | $152.70       | 0.00%             | 2026-05-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343085302.UL.NBM                      | 343085302.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1110 | PA      | $771.91       | 0.00%             | 2026-08-09      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9808642.SQ.NBM                        | 9808642.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3214 | PA      | $3018.44      | 0.00%             | 2027-03-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9808703.SQ.NBM                        | 9808703.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     30835 | PA      | $29078.34     | 0.04%             | 2027-03-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343022819.UL.NBM                      | 343022819.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        46 | PA      | $46.15        | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343024076.UL.NBM                      | 343024076.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       225 | PA      | $226.39       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5862247.UP.NBM                       | L5862247.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2023 | PA      | $1945.29      | 0.00%             | 2030-08-25      | Fixed         | 23.13%                | Yes           |                  3 | On Loan: No      |
| L5862249.UP.NBM                       | L5862249.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     30284 | PA      | $28927.97     | 0.04%             | 2028-08-25      | Fixed         | 21.27%                | Yes           |                  3 | On Loan: No      |
| L5861010.UP.NBM                       | L5861010.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5201 | PA      | $4754.27      | 0.01%             | 2028-08-22      | Fixed         | 17.12%                | Yes           |                  3 | On Loan: No      |
| L5861014.UP.NBM                       | L5861014.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       988 | PA      | $925.38       | 0.00%             | 2028-08-22      | Fixed         | 19.46%                | Yes           |                  3 | On Loan: No      |
| 342795640.UL.NBM                      | 342795640.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2086 | PA      | $1969.94      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342795759.UL.NBM                      | 342795759.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2054 | PA      | $2021.74      | 0.00%             | 2027-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9809260.SQ.NBM                        | 9809260.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1766 | PA      | $1723.24      | 0.00%             | 2027-03-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9809355.SQ.NBM                        | 9809355.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3558 | PA      | $3396.81      | 0.00%             | 2027-03-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343024226.UL.NBM                      | 343024226.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       648 | PA      | $246.87       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343024259.UL.NBM                      | 343024259.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       176 | PA      | $177.61       | 0.00%             | 2026-02-25      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343085473.UL.NBM                      | 343085473.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       179 | PA      | $168.08       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343085521.UL.NBM                      | 343085521.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       289 | PA      | $287.01       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5862311.UP.NBM                       | L5862311.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       912 | PA      | $904.06       | 0.00%             | 2028-08-25      | Fixed         | 16.74%                | Yes           |                  3 | On Loan: No      |
| L5862445.UP.NBM                       | L5862445.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1432 | PA      | $1371.40      | 0.00%             | 2030-08-25      | Fixed         | 15.71%                | Yes           |                  3 | On Loan: No      |
| 9751602.SQ.NBM                        | 9751602.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     37404 | PA      | $35786.33     | 0.05%             | 2027-03-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9752420.SQ.NBM                        | 9752420.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2433 | PA      | $2357.79      | 0.00%             | 2027-03-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9835430.SQ.NBM                        | 9835430.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10768 | PA      | $10008.92     | 0.01%             | 2027-03-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9835575.SQ.NBM                        | 9835575.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14953 | PA      | $14182.77     | 0.02%             | 2027-03-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343024585.UL.NBM                      | 343024585.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        46 | PA      | $45.51        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343024623.UL.NBM                      | 343024623.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        78 | PA      | $78.14        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343085950.UL.NBM                      | 343085950.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       728 | PA      | $668.30       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343086031.UL.NBM                      | 343086031.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       137 | PA      | $135.86       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| L5862575.UP.NBM                       | L5862575.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     37338 | PA      | $38359.24     | 0.05%             | 2030-08-25      | Fixed         | 19.95%                | Yes           |                  3 | On Loan: No      |
| L5862592.UP.NBM                       | L5862592.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5454 | PA      | $5361.70      | 0.01%             | 2030-08-25      | Fixed         | 17.25%                | Yes           |                  3 | On Loan: No      |
| 9752463.SQ.NBM                        | 9752463.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5427 | PA      | $5167.46      | 0.01%             | 2027-03-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9752564.SQ.NBM                        | 9752564.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1908 | PA      | $1834.54      | 0.00%             | 2027-03-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343024731.UL.NBM                      | 343024731.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1038 | PA      | $1026.19      | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343024871.UL.NBM                      | 343024871.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        77 | PA      | $76.58        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341518323.UL.NBM                      | 341518323.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       190 | PA      | $189.66       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341518749.UL.NBM                      | 341518749.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       591 | PA      | $557.56       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9835912.SQ.NBM                        | 9835912.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15361 | PA      | $14609.42     | 0.02%             | 2027-03-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9836443.SQ.NBM                        | 9836443.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5939 | PA      | $5549.34      | 0.01%             | 2027-03-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342654638.UL.NBM                      | 342654638.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1094 | PA      | $1081.78      | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342654666.UL.NBM                      | 342654666.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1962 | PA      | $1931.19      | 0.00%             | 2027-02-24      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| L5862625.UP.NBM                       | L5862625.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14265 | PA      | $13849.92     | 0.02%             | 2030-08-25      | Fixed         | 23.73%                | Yes           |                  3 | On Loan: No      |
| L5862811.UP.NBM                       | L5862811.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13557 | PA      | $12769.61     | 0.02%             | 2028-08-25      | Fixed         | 19.92%                | Yes           |                  3 | On Loan: No      |
| 9752922.SQ.NBM                        | 9752922.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1453 | PA      | $1386.27      | 0.00%             | 2027-03-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9752954.SQ.NBM                        | 9752954.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17647 | PA      | $16585.06     | 0.02%             | 2027-03-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341545079.UL.NBM                      | 341545079.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1168 | PA      | $1079.91      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341545259.UL.NBM                      | 341545259.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       335 | PA      | $331.77       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342796334.UL.NBM                      | 342796334.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1034 | PA      | $1022.21      | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342796696.UL.NBM                      | 342796696.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       218 | PA      | $216.31       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343024954.UL.NBM                      | 343024954.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       298 | PA      | $296.90       | 0.00%             | 2026-02-25      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 343024969.UL.NBM                      | 343024969.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       882 | PA      | $871.79       | 0.00%             | 2026-07-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9842416.SQ.NBM                        | 9842416.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12075 | PA      | $10509.71     | 0.01%             | 2027-03-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9842652.SQ.NBM                        | 9842652.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6981 | PA      | $989.43       | 0.00%             | 2027-03-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9754374.SQ.NBM                        | 9754374.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3232 | PA      | $3064.40      | 0.00%             | 2027-03-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9754414.SQ.NBM                        | 9754414.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8617 | PA      | $7693.06      | 0.01%             | 2027-03-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341545354.UL.NBM                      | 341545354.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       210 | PA      | $207.77       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341545643.UL.NBM                      | 341545643.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3804 | PA      | $3742.20      | 0.01%             | 2027-08-20      | Fixed         | 25.99%                | Yes           |                  3 | On Loan: No      |
| 342796834.UL.NBM                      | 342796834.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       358 | PA      | $359.29       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342797512.UL.NBM                      | 342797512.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       797 | PA      | $794.36       | 0.00%             | 2026-02-24      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343025948.UL.NBM                      | 343025948.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       215 | PA      | $213.80       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343026277.UL.NBM                      | 343026277.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1263 | PA      | $1248.37      | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5862972.UP.NBM                       | L5862972.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2215 | PA      | $2131.33      | 0.00%             | 2030-08-25      | Fixed         | 23.15%                | Yes           |                  3 | On Loan: No      |
| L5863031.UP.NBM                       | L5863031.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2045 | PA      | $1943.57      | 0.00%             | 2028-08-25      | Fixed         | 20.97%                | Yes           |                  3 | On Loan: No      |
| 9842834.SQ.NBM                        | 9842834.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9087 | PA      | $8585.87      | 0.01%             | 2027-03-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9843127.SQ.NBM                        | 9843127.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2496 | PA      | $2392.50      | 0.00%             | 2027-03-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341547646.UL.NBM                      | 341547646.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       276 | PA      | $273.64       | 0.00%             | 2026-05-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341547653.UL.NBM                      | 341547653.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1760 | PA      | $1732.38      | 0.00%             | 2027-02-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342797551.UL.NBM                      | 342797551.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       263 | PA      | $262.37       | 0.00%             | 2026-02-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342797687.UL.NBM                      | 342797687.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       901 | PA      | $891.64       | 0.00%             | 2026-07-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 9845403.SQ.NBM                        | 9845403.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     50865 | PA      | $48783.87     | 0.07%             | 2027-03-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9846602.SQ.NBM                        | 9846602.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2000 | PA      | $1382.18      | 0.00%             | 2027-03-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343026299.UL.NBM                      | 343026299.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       134 | PA      | $133.22       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343026316.UL.NBM                      | 343026316.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1407 | PA      | $1278.44      | 0.00%             | 2027-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341547804.UL.NBM                      | 341547804.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       388 | PA      | $384.28       | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341548111.UL.NBM                      | 341548111.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       118 | PA      | $117.89       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342797717.UL.NBM                      | 342797717.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       284 | PA      | $282.64       | 0.00%             | 2026-02-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342798191.UL.NBM                      | 342798191.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        50 | PA      | $49.84        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343458336.UL.NBM                      | 343458336.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       613 | PA      | $610.05       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343458798.UL.NBM                      | 343458798.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       337 | PA      | $334.19       | 0.00%             | 2026-05-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 9754477.SQ.NBM                        | 9754477.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5592 | PA      | $5434.86      | 0.01%             | 2027-03-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9754586.SQ.NBM                        | 9754586.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17623 | PA      | $15917.11     | 0.02%             | 2027-03-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343086290.UL.NBM                      | 343086290.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       934 | PA      | $864.84       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343086356.UL.NBM                      | 343086356.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       206 | PA      | $205.00       | 0.00%             | 2026-02-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341570021.UL.NBM                      | 341570021.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       260 | PA      | $257.68       | 0.00%             | 2026-05-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341570288.UL.NBM                      | 341570288.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       473 | PA      | $443.65       | 0.00%             | 2026-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9846624.SQ.NBM                        | 9846624.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     91466 | PA      | $84752.84     | 0.12%             | 2027-03-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9847928.SQ.NBM                        | 9847928.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5328 | PA      | $5119.19      | 0.01%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343027758.UL.NBM                      | 343027758.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $66.30        | 0.00%             | 2026-02-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343027921.UL.NBM                      | 343027921.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       325 | PA      | $308.71       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5863073.UP.NBM                       | L5863073.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1269 | PA      | $1247.16      | 0.00%             | 2030-08-25      | Fixed         | 23.24%                | Yes           |                  3 | On Loan: No      |
| L5863216.UP.NBM                       | L5863216.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10324 | PA      | $9854.19      | 0.01%             | 2030-08-25      | Fixed         | 26.08%                | Yes           |                  3 | On Loan: No      |
| 341570343.UL.NBM                      | 341570343.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       347 | PA      | $339.00       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341570382.UL.NBM                      | 341570382.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       340 | PA      | $336.92       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343086366.UL.NBM                      | 343086366.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       507 | PA      | $502.02       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343086401.UL.NBM                      | 343086401.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       352 | PA      | $348.46       | 0.00%             | 2026-05-25      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341967288.UL.NBM                      | 341967288.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       437 | PA      | $432.81       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341967298.UL.NBM                      | 341967298.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       315 | PA      | $313.82       | 0.00%             | 2026-02-22      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343459038.UL.NBM                      | 343459038.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        35 | PA      | $35.26        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343459150.UL.NBM                      | 343459150.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       464 | PA      | $462.16       | 0.00%             | 2026-02-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 9865594.SQ.NBM                        | 9865594.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14587 | PA      | $14007.34     | 0.02%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9866075.SQ.NBM                        | 9866075.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4776 | PA      | $4587.20      | 0.01%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343028098.UL.NBM                      | 343028098.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       426 | PA      | $178.38       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343028508.UL.NBM                      | 343028508.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        60 | PA      | $59.36        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341571628.UL.NBM                      | 341571628.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       169 | PA      | $167.69       | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341571864.UL.NBM                      | 341571864.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2278 | PA      | $2240.80      | 0.00%             | 2027-08-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343087492.UL.NBM                      | 343087492.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2193 | PA      | $2158.95      | 0.00%             | 2027-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343087544.UL.NBM                      | 343087544.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1131 | PA      | $474.85       | 0.00%             | 2026-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343207598.UL.NBM                      | 343207598.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       365 | PA      | $339.72       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343207625.UL.NBM                      | 343207625.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       778 | PA      | $770.07       | 0.00%             | 2026-07-26      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 9866183.SQ.NBM                        | 9866183.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2229 | PA      | $2131.39      | 0.00%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9866225.SQ.NBM                        | 9866225.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10348 | PA      | $9946.53      | 0.01%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343028527.UL.NBM                      | 343028527.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       411 | PA      | $392.29       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343028621.UL.NBM                      | 343028621.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       236 | PA      | $235.25       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5863349.UP.NBM                       | L5863349.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1443 | PA      | $1366.21      | 0.00%             | 2030-08-25      | Fixed         | 22.14%                | Yes           |                  3 | On Loan: No      |
| L5863456.UP.NBM                       | L5863456.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2781 | PA      | $2622.72      | 0.00%             | 2030-08-25      | Fixed         | 19.20%                | Yes           |                  3 | On Loan: No      |
| 343140845.UL.NBM                      | 343140845.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2201 | PA      | $2054.40      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343140944.UL.NBM                      | 343140944.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       304 | PA      | $301.04       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342654851.UL.NBM                      | 342654851.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       517 | PA      | $514.47       | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342655236.UL.NBM                      | 342655236.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       207 | PA      | $205.74       | 0.00%             | 2026-05-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9868572.SQ.NBM                        | 9868572.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8240 | PA      | $8025.65      | 0.01%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9868717.SQ.NBM                        | 9868717.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18444 | PA      | $14095.11     | 0.02%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343210159.UL.NBM                      | 343210159.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       248 | PA      | $247.14       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343212566.UL.NBM                      | 343212566.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       790 | PA      | $781.78       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9854553.SQ.NBM                        | 9854553.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     32407 | PA      | $30596.39     | 0.04%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9855147.SQ.NBM                        | 9855147.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1308 | PA      | $1232.47      | 0.00%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343028638.UL.NBM                      | 343028638.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        95 | PA      | $95.02        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343029231.UL.NBM                      | 343029231.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       369 | PA      | $352.46       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343141590.UL.NBM                      | 343141590.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        65 | PA      | $62.07        | 0.00%             | 2026-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343141888.UL.NBM                      | 343141888.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       107 | PA      | $106.54       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9868835.SQ.NBM                        | 9868835.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2344 | PA      | $2098.66      | 0.00%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9868866.SQ.NBM                        | 9868866.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3174 | PA      | $3032.36      | 0.00%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343409977.UL.NBM                      | 343409977.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1414 | PA      | $538.77       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343410238.UL.NBM                      | 343410238.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1323 | PA      | $1304.95      | 0.00%             | 2026-12-26      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 342655371.UL.NBM                      | 342655371.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       893 | PA      | $886.18       | 0.00%             | 2026-12-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342655395.UL.NBM                      | 342655395.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        97 | PA      | $96.91        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343043428.UL.NBM                      | 343043428.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       151 | PA      | $150.79       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343047781.UL.NBM                      | 343047781.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        99 | PA      | $98.82        | 0.00%             | 2026-02-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343459801.UL.NBM                      | 343459801.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       201 | PA      | $199.60       | 0.00%             | 2026-02-26      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343461109.UL.NBM                      | 343461109.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2847 | PA      | $2802.95      | 0.00%             | 2027-08-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9868893.SQ.NBM                        | 9868893.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2468 | PA      | $2354.69      | 0.00%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9868925.SQ.NBM                        | 9868925.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     23749 | PA      | $19101.82     | 0.03%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343410366.UL.NBM                      | 343410366.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       212 | PA      | $211.17       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343410471.UL.NBM                      | 343410471.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       947 | PA      | $936.44       | 0.00%             | 2026-07-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343143584.UL.NBM                      | 343143584.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       828 | PA      | $817.74       | 0.00%             | 2027-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343143967.UL.NBM                      | 343143967.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       209 | PA      | $207.42       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342655689.UL.NBM                      | 342655689.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1254 | PA      | $94.97        | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342655737.UL.NBM                      | 342655737.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       126 | PA      | $125.59       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5863488.UP.NBM                       | L5863488.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8112 | PA      | $7974.07      | 0.01%             | 2030-08-25      | Fixed         | 17.31%                | Yes           |                  3 | On Loan: No      |
| L5863703.UP.NBM                       | L5863703.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5490 | PA      | $5499.29      | 0.01%             | 2030-08-25      | Fixed         | 23.01%                | Yes           |                  3 | On Loan: No      |
| 342217955.UL.NBM                      | 342217955.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       176 | PA      | $175.72       | 0.00%             | 2026-05-22      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342219438.UL.NBM                      | 342219438.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       191 | PA      | $189.50       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343461553.UL.NBM                      | 343461553.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       461 | PA      | $457.77       | 0.00%             | 2026-05-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343462159.UL.NBM                      | 343462159.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1106 | PA      | $1021.28      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343144068.UL.NBM                      | 343144068.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2227 | PA      | $2075.31      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343145086.UL.NBM                      | 343145086.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       131 | PA      | $125.78       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342655872.UL.NBM                      | 342655872.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        95 | PA      | $94.90        | 0.00%             | 2026-02-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342655929.UL.NBM                      | 342655929.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1718 | PA      | $130.14       | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9869142.SQ.NBM                        | 9869142.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2475 | PA      | $2090.10      | 0.00%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9869155.SQ.NBM                        | 9869155.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2517 | PA      | $2239.22      | 0.00%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343410886.UL.NBM                      | 343410886.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       813 | PA      | $810.24       | 0.00%             | 2026-07-30      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343412243.UL.NBM                      | 343412243.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        68 | PA      | $67.59        | 0.00%             | 2026-02-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343047954.UL.NBM                      | 343047954.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       191 | PA      | $188.89       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343048062.UL.NBM                      | 343048062.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       398 | PA      | $396.18       | 0.00%             | 2026-02-25      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| L5863746.UP.NBM                       | L5863746.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8774 | PA      | $8938.61      | 0.01%             | 2030-08-25      | Fixed         | 24.09%                | Yes           |                  3 | On Loan: No      |
| L5864148.UP.NBM                       | L5864148.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14224 | PA      | $13614.95     | 0.02%             | 2030-08-25      | Fixed         | 26.28%                | Yes           |                  3 | On Loan: No      |
| 343145400.UL.NBM                      | 343145400.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1272 | PA      | $1255.37      | 0.00%             | 2027-02-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343145839.UL.NBM                      | 343145839.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       437 | PA      | $417.32       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9869186.SQ.NBM                        | 9869186.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3479 | PA      | $3314.26      | 0.00%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9869218.SQ.NBM                        | 9869218.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2653 | PA      | $2494.17      | 0.00%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342656016.UL.NBM                      | 342656016.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       127 | PA      | $126.08       | 0.00%             | 2026-02-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342656325.UL.NBM                      | 342656325.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        75 | PA      | $15.13        | 0.00%             | 2035-11-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343412247.UL.NBM                      | 343412247.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        68 | PA      | $67.80        | 0.00%             | 2026-07-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343412961.UL.NBM                      | 343412961.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       291 | PA      | $276.39       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343048180.UL.NBM                      | 343048180.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       304 | PA      | $301.03       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343083756.UL.NBM                      | 343083756.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       223 | PA      | $222.23       | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| L5864183.UP.NBM                       | L5864183.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4742 | PA      | $4740.21      | 0.01%             | 2030-08-25      | Fixed         | 26.00%                | Yes           |                  3 | On Loan: No      |
| L5864282.UP.NBM                       | L5864282.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2471 | PA      | $2365.42      | 0.00%             | 2030-08-25      | Fixed         | 22.94%                | Yes           |                  3 | On Loan: No      |
| 9869269.SQ.NBM                        | 9869269.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7392 | PA      | $6850.70      | 0.01%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9869382.SQ.NBM                        | 9869382.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14994 | PA      | $14222.89     | 0.02%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342219940.UL.NBM                      | 342219940.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        79 | PA      | $78.60        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342220549.UL.NBM                      | 342220549.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       267 | PA      | $264.66       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343413017.UL.NBM                      | 343413017.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       236 | PA      | $238.00       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343413117.UL.NBM                      | 343413117.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1474 | PA      | $1364.78      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342656547.UL.NBM                      | 342656547.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        52 | PA      | $51.48        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342656902.UL.NBM                      | 342656902.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       132 | PA      | $131.61       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343083828.UL.NBM                      | 343083828.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       471 | PA      | $466.40       | 0.00%             | 2026-05-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343083926.UL.NBM                      | 343083926.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       310 | PA      | $307.95       | 0.00%             | 2026-05-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| L5864564.UP.NBM                       | L5864564.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3790 | PA      | $3699.77      | 0.01%             | 2030-08-25      | Fixed         | 21.53%                | Yes           |                  3 | On Loan: No      |
| L5864635.UP.NBM                       | L5864635.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13987 | PA      | $12851.88     | 0.02%             | 2030-08-25      | Fixed         | 20.45%                | Yes           |                  3 | On Loan: No      |
| 342220629.UL.NBM                      | 342220629.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1125 | PA      | $1111.52      | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342295647.UL.NBM                      | 342295647.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       248 | PA      | $246.67       | 0.00%             | 2026-05-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 9855182.SQ.NBM                        | 9855182.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7234 | PA      | $6805.51      | 0.01%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9855192.SQ.NBM                        | 9855192.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       876 | PA      | $841.31       | 0.00%             | 2027-03-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9869623.SQ.NBM                        | 9869623.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     22747 | PA      | $21411.06     | 0.03%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9869821.SQ.NBM                        | 9869821.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     27136 | PA      | $25367.39     | 0.03%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342657091.UL.NBM                      | 342657091.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        66 | PA      | $65.22        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342657146.UL.NBM                      | 342657146.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        35 | PA      | $35.00        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343084038.UL.NBM                      | 343084038.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       279 | PA      | $264.94       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343087589.UL.NBM                      | 343087589.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       465 | PA      | $460.64       | 0.00%             | 2026-05-25      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 343413995.UL.NBM                      | 343413995.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2472 | PA      | $2330.09      | 0.00%             | 2026-05-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343414594.UL.NBM                      | 343414594.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       544 | PA      | $541.66       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5864861.UP.NBM                       | L5864861.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       911 | PA      | $867.14       | 0.00%             | 2028-08-25      | Fixed         | 16.28%                | Yes           |                  3 | On Loan: No      |
| L5864931.UP.NBM                       | L5864931.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     46777 | PA      | $43807.73     | 0.06%             | 2030-08-25      | Fixed         | 18.77%                | Yes           |                  3 | On Loan: No      |
| 9869995.SQ.NBM                        | 9869995.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1348 | PA      | $1300.99      | 0.00%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9870021.SQ.NBM                        | 9870021.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1786 | PA      | $1692.53      | 0.00%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342295687.UL.NBM                      | 342295687.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1156 | PA      | $1142.69      | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342297043.UL.NBM                      | 342297043.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2101 | PA      | $1483.11      | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343414757.UL.NBM                      | 343414757.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        52 | PA      | $52.25        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343545819.UL.NBM                      | 343545819.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       282 | PA      | $280.22       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343088100.UL.NBM                      | 343088100.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       416 | PA      | $414.34       | 0.00%             | 2026-02-25      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 343088427.UL.NBM                      | 343088427.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       523 | PA      | $498.51       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343145886.UL.NBM                      | 343145886.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        82 | PA      | $81.73        | 0.00%             | 2026-02-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343146341.UL.NBM                      | 343146341.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1414 | PA      | $1418.29      | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9870033.SQ.NBM                        | 9870033.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15548 | PA      | $14973.47     | 0.02%             | 2027-03-30      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9871555.SQ.NBM                        | 9871555.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2465 | PA      | $2344.34      | 0.00%             | 2027-04-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5865053.UP.NBM                       | L5865053.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3565 | PA      | $3262.78      | 0.00%             | 2030-08-25      | Fixed         | 23.29%                | Yes           |                  3 | On Loan: No      |
| L5865160.UP.NBM                       | L5865160.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6759 | PA      | $6701.19      | 0.01%             | 2030-08-25      | Fixed         | 17.84%                | Yes           |                  3 | On Loan: No      |
| 343147657.UL.NBM                      | 343147657.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        38 | PA      | $37.50        | 0.00%             | 2026-05-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343147703.UL.NBM                      | 343147703.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       216 | PA      | $214.39       | 0.00%             | 2026-02-25      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343144131.UL.NBM                      | 343144131.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        60 | PA      | $60.09        | 0.00%             | 2026-02-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343144334.UL.NBM                      | 343144334.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       353 | PA      | $349.38       | 0.00%             | 2026-05-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342297044.UL.NBM                      | 342297044.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       171 | PA      | $169.59       | 0.00%             | 2026-02-23      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342297152.UL.NBM                      | 342297152.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1454 | PA      | $1463.51      | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9757382.SQ.NBM                        | 9757382.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7167 | PA      | $6800.65      | 0.01%             | 2027-03-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9757535.SQ.NBM                        | 9757535.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2394 | PA      | $2319.14      | 0.00%             | 2027-03-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343545821.UL.NBM                      | 343545821.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       298 | PA      | $295.78       | 0.00%             | 2026-05-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343546754.UL.NBM                      | 343546754.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       137 | PA      | $136.25       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5865181.UP.NBM                       | L5865181.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3440 | PA      | $3324.43      | 0.00%             | 2030-08-25      | Fixed         | 16.21%                | Yes           |                  3 | On Loan: No      |
| L5865218.UP.NBM                       | L5865218.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1530 | PA      | $1462.21      | 0.00%             | 2028-08-25      | Fixed         | 10.97%                | Yes           |                  3 | On Loan: No      |
| 343144496.UL.NBM                      | 343144496.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       510 | PA      | $471.03       | 0.00%             | 2026-05-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343144583.UL.NBM                      | 343144583.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1203 | PA      | $1111.68      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342657164.UL.NBM                      | 342657164.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        98 | PA      | $98.02        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342657179.UL.NBM                      | 342657179.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       219 | PA      | $217.33       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343147750.UL.NBM                      | 343147750.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        58 | PA      | $58.17        | 0.00%             | 2026-02-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343147832.UL.NBM                      | 343147832.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       226 | PA      | $223.49       | 0.00%             | 2026-05-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9871665.SQ.NBM                        | 9871665.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     24682 | PA      | $23199.72     | 0.03%             | 2027-04-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9922021.SQ.NBM                        | 9922021.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12300 | PA      | $11675.07     | 0.02%             | 2027-04-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9757563.SQ.NBM                        | 9757563.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9999 | PA      | $9357.77      | 0.01%             | 2027-03-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9757716.SQ.NBM                        | 9757716.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2414 | PA      | $2287.20      | 0.00%             | 2027-03-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5865238.UP.NBM                       | L5865238.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2184 | PA      | $2038.12      | 0.00%             | 2030-08-25      | Fixed         | 21.46%                | Yes           |                  3 | On Loan: No      |
| L5865292.UP.NBM                       | L5865292.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8286 | PA      | $7662.96      | 0.01%             | 2030-08-25      | Fixed         | 13.58%                | Yes           |                  3 | On Loan: No      |
| 343151290.UL.NBM                      | 343151290.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        53 | PA      | $52.29        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343151509.UL.NBM                      | 343151509.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3244 | PA      | $3197.35      | 0.00%             | 2027-02-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343147840.UL.NBM                      | 343147840.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       225 | PA      | $223.63       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343148250.UL.NBM                      | 343148250.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       123 | PA      | $14.37        | 0.00%             | 2026-02-25      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 9922314.SQ.NBM                        | 9922314.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     36936 | PA      | $31147.25     | 0.04%             | 2027-04-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9922736.SQ.NBM                        | 9922736.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     27344 | PA      | $25413.29     | 0.03%             | 2027-04-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342657219.UL.NBM                      | 342657219.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        93 | PA      | $92.79        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342657337.UL.NBM                      | 342657337.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       175 | PA      | $173.14       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9757752.SQ.NBM                        | 9757752.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     24875 | PA      | $23787.32     | 0.03%             | 2027-03-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9758431.SQ.NBM                        | 9758431.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       347 | PA      | $329.47       | 0.00%             | 2027-03-04      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5874968.UP.NBM                       | L5874968.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     37152 | PA      | $37233.19     | 0.05%             | 2030-08-26      | Fixed         | 18.39%                | Yes           |                  3 | On Loan: No      |
| L5874980.UP.NBM                       | L5874980.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       123 | PA      | $122.51       | 0.00%             | 2030-08-26      | Fixed         | 23.70%                | Yes           |                  3 | On Loan: No      |
| 343547982.UL.NBM                      | 343547982.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       241 | PA      | $239.15       | 0.00%             | 2026-05-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343548440.UL.NBM                      | 343548440.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       174 | PA      | $173.37       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343148385.UL.NBM                      | 343148385.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       430 | PA      | $409.30       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343149138.UL.NBM                      | 343149138.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1202 | PA      | $1190.37      | 0.00%             | 2026-05-25      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 9923147.SQ.NBM                        | 9923147.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16338 | PA      | $15314.46     | 0.02%             | 2027-04-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9923390.SQ.NBM                        | 9923390.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4775 | PA      | $3269.97      | 0.00%             | 2027-04-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342657368.UL.NBM                      | 342657368.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1192 | PA      | $1178.86      | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342657385.UL.NBM                      | 342657385.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       504 | PA      | $465.87       | 0.00%             | 2026-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343151859.UL.NBM                      | 343151859.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       970 | PA      | $894.14       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343152185.UL.NBM                      | 343152185.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1794 | PA      | $1766.18      | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343548605.UL.NBM                      | 343548605.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       230 | PA      | $229.22       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9890960.SQ.NBM                        | 9890960.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2768 | PA      | $2070.96      | 0.00%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5874981.UP.NBM                       | L5874981.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     25748 | PA      | $25446.93     | 0.04%             | 2030-08-26      | Fixed         | 17.56%                | Yes           |                  3 | On Loan: No      |
| L5875030.UP.NBM                       | L5875030.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2512 | PA      | $2401.47      | 0.00%             | 2030-08-26      | Fixed         | 26.04%                | Yes           |                  3 | On Loan: No      |
| 9923447.SQ.NBM                        | 9923447.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18072 | PA      | $16620.11     | 0.02%             | 2027-04-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9923795.SQ.NBM                        | 9923795.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3591 | PA      | $3408.39      | 0.00%             | 2027-04-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343149831.UL.NBM                      | 343149831.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       861 | PA      | $851.35       | 0.00%             | 2026-07-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343150001.UL.NBM                      | 343150001.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       215 | PA      | $213.42       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9890986.SQ.NBM                        | 9890986.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1511 | PA      | $1422.08      | 0.00%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9891006.SQ.NBM                        | 9891006.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8442 | PA      | $7993.30      | 0.01%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342657409.UL.NBM                      | 342657409.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       225 | PA      | $53.37        | 0.00%             | 2035-11-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342657530.UL.NBM                      | 342657530.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       243 | PA      | $240.40       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9775333.SQ.NBM                        | 9775333.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1795 | PA      | $1708.62      | 0.00%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9775523.SQ.NBM                        | 9775523.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2336 | PA      | $1904.91      | 0.00%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342297198.UL.NBM                      | 342297198.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        52 | PA      | $51.56        | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342298625.UL.NBM                      | 342298625.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        53 | PA      | $53.26        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343150192.UL.NBM                      | 343150192.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        35 | PA      | $35.12        | 0.00%             | 2026-05-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343150527.UL.NBM                      | 343150527.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       449 | PA      | $446.19       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9891136.SQ.NBM                        | 9891136.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5952 | PA      | $5569.70      | 0.01%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5865983.UP.NBM                     | DRB5865983.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11233 | PA      | $11139.44     | 0.02%             | 2030-08-25      | Fixed         | 28.45%                | Yes           |                  3 | On Loan: No      |
| 341572595.UL.NBM                      | 341572595.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       147 | PA      | $145.93       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341572668.UL.NBM                      | 341572668.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       169 | PA      | $167.12       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9774181.SQ.NBM                        | 9774181.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15174 | PA      | $14500.16     | 0.02%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9774660.SQ.NBM                        | 9774660.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2479 | PA      | $2201.71      | 0.00%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342798542.UL.NBM                      | 342798542.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        96 | PA      | $95.71        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342798574.UL.NBM                      | 342798574.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        42 | PA      | $42.26        | 0.00%             | 2026-02-24      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 342657571.UL.NBM                      | 342657571.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       204 | PA      | $202.63       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342657622.UL.NBM                      | 342657622.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        89 | PA      | $89.23        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343150528.UL.NBM                      | 343150528.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       241 | PA      | $238.80       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343150829.UL.NBM                      | 343150829.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       627 | PA      | $623.20       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341574681.UL.NBM                      | 341574681.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1699 | PA      | $1678.55      | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341574688.UL.NBM                      | 341574688.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       519 | PA      | $495.75       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9775553.SQ.NBM                        | 9775553.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2338 | PA      | $2273.19      | 0.00%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9775594.SQ.NBM                        | 9775594.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1132 | PA      | $260.87       | 0.00%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5865993.UP.NBM                     | DRB5865993.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4832 | PA      | $4639.87      | 0.01%             | 2030-08-25      | Fixed         | 26.35%                | Yes           |                  3 | On Loan: No      |
| DRB5865997.UP.NBM                     | DRB5865997.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2721 | PA      | $2855.57      | 0.00%             | 2030-08-25      | Fixed         | 32.23%                | Yes           |                  3 | On Loan: No      |
| 9923848.SQ.NBM                        | 9923848.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3069 | PA      | $2933.45      | 0.00%             | 2027-04-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9923924.SQ.NBM                        | 9923924.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18370 | PA      | $17365.59     | 0.02%             | 2027-04-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342657640.UL.NBM                      | 342657640.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       129 | PA      | $128.52       | 0.00%             | 2026-02-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342657712.UL.NBM                      | 342657712.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2308 | PA      | $2306.34      | 0.00%             | 2027-08-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341828773.UL.NBM                      | 341828773.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2057 | PA      | $2024.70      | 0.00%             | 2026-12-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341828817.UL.NBM                      | 341828817.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       221 | PA      | $219.40       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342298650.UL.NBM                      | 342298650.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        98 | PA      | $97.08        | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342298672.UL.NBM                      | 342298672.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        52 | PA      | $52.11        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341574696.UL.NBM                      | 341574696.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       123 | PA      | $122.15       | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341574802.UL.NBM                      | 341574802.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       482 | PA      | $459.97       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9775601.SQ.NBM                        | 9775601.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     29218 | PA      | $27681.60     | 0.04%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9775971.SQ.NBM                        | 9775971.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21487 | PA      | $19244.17     | 0.03%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343152204.UL.NBM                      | 343152204.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       156 | PA      | $155.40       | 0.00%             | 2026-02-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343152257.UL.NBM                      | 343152257.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       829 | PA      | $175.67       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342657764.UL.NBM                      | 342657764.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       878 | PA      | $867.73       | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342657825.UL.NBM                      | 342657825.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        69 | PA      | $68.44        | 0.00%             | 2026-02-24      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342798964.UL.NBM                      | 342798964.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1516 | PA      | $1404.15      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342799034.UL.NBM                      | 342799034.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       284 | PA      | $282.46       | 0.00%             | 2026-02-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341583501.UL.NBM                      | 341583501.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       158 | PA      | $157.48       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341583858.UL.NBM                      | 341583858.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        50 | PA      | $50.02        | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9776212.SQ.NBM                        | 9776212.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     22246 | PA      | $21044.38     | 0.03%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9776447.SQ.NBM                        | 9776447.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2735 | PA      | $2520.61      | 0.00%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9924278.SQ.NBM                        | 9924278.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2110 | PA      | $2006.99      | 0.00%             | 2027-04-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9924336.SQ.NBM                        | 9924336.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5892 | PA      | $5423.83      | 0.01%             | 2027-04-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342658004.UL.NBM                      | 342658004.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       210 | PA      | $208.63       | 0.00%             | 2026-05-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342766192.UL.NBM                      | 342766192.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       119 | PA      | $118.59       | 0.00%             | 2026-02-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342298916.UL.NBM                      | 342298916.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        84 | PA      | $83.98        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342476490.UL.NBM                      | 342476490.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       232 | PA      | $229.41       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9776471.SQ.NBM                        | 9776471.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3120 | PA      | $2897.35      | 0.00%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9776673.SQ.NBM                        | 9776673.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2943 | PA      | $2765.07      | 0.00%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341584029.UL.NBM                      | 341584029.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       356 | PA      | $153.25       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341584412.UL.NBM                      | 341584412.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1112 | PA      | $1099.20      | 0.00%             | 2026-07-21      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 9924439.SQ.NBM                        | 9924439.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6319 | PA      | $5898.99      | 0.01%             | 2027-04-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9925526.SQ.NBM                        | 9925526.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2189 | PA      | $2073.54      | 0.00%             | 2027-04-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5866003.UP.NBM                     | DRB5866003.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2035 | PA      | $2044.11      | 0.00%             | 2030-08-25      | Fixed         | 29.29%                | Yes           |                  3 | On Loan: No      |
| DRB5866004.UP.NBM                     | DRB5866004.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1553 | PA      | $1593.08      | 0.00%             | 2030-08-25      | Fixed         | 30.71%                | Yes           |                  3 | On Loan: No      |
| 342799729.UL.NBM                      | 342799729.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        49 | PA      | $48.46        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342801254.UL.NBM                      | 342801254.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2149 | PA      | $2014.40      | 0.00%             | 2026-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341586368.UL.NBM                      | 341586368.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        51 | PA      | $50.69        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341586422.UL.NBM                      | 341586422.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       590 | PA      | $585.81       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342476612.UL.NBM                      | 342476612.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       571 | PA      | $531.40       | 0.00%             | 2026-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342476858.UL.NBM                      | 342476858.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       274 | PA      | $259.63       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5866009.UP.NBM                     | DRB5866009.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2102 | PA      | $2059.82      | 0.00%             | 2030-08-25      | Fixed         | 21.75%                | Yes           |                  3 | On Loan: No      |
| DRB5866013.UP.NBM                     | DRB5866013.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2981 | PA      | $717.88       | 0.00%             | 2030-08-25      | Fixed         | 32.29%                | Yes           |                  3 | On Loan: No      |
| 9925562.SQ.NBM                        | 9925562.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     22777 | PA      | $21008.48     | 0.03%             | 2027-04-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9925893.SQ.NBM                        | 9925893.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3027 | PA      | $2876.09      | 0.00%             | 2027-04-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9776718.SQ.NBM                        | 9776718.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3320 | PA      | $3132.71      | 0.00%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9776739.SQ.NBM                        | 9776739.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3844 | PA      | $3655.05      | 0.01%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342852911.UL.NBM                      | 342852911.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1403 | PA      | $1305.86      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342853080.UL.NBM                      | 342853080.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3650 | PA      | $3594.69      | 0.00%             | 2027-08-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342476895.UL.NBM                      | 342476895.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2970 | PA      | $2716.98      | 0.00%             | 2027-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342477089.UL.NBM                      | 342477089.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       102 | PA      | $101.33       | 0.00%             | 2026-02-23      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 9925935.SQ.NBM                        | 9925935.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4973 | PA      | $4573.95      | 0.01%             | 2027-04-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9927371.SQ.NBM                        | 9927371.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3440 | PA      | $3264.99      | 0.00%             | 2027-04-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5866043.UP.NBM                     | DRB5866043.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7745 | PA      | $7646.37      | 0.01%             | 2030-08-25      | Fixed         | 28.16%                | Yes           |                  3 | On Loan: No      |
| DRB5866045.UP.NBM                     | DRB5866045.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18217 | PA      | $18375.82     | 0.03%             | 2030-08-25      | Fixed         | 29.71%                | Yes           |                  3 | On Loan: No      |
| 9776790.SQ.NBM                        | 9776790.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1914 | PA      | $1625.52      | 0.00%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9776804.SQ.NBM                        | 9776804.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2332 | PA      | $2195.11      | 0.00%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341586523.UL.NBM                      | 341586523.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       749 | PA      | $688.13       | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341586525.UL.NBM                      | 341586525.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       133 | PA      | $132.23       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342477824.UL.NBM                      | 342477824.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       394 | PA      | $390.54       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342488516.UL.NBM                      | 342488516.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1553 | PA      | $1527.49      | 0.00%             | 2027-02-23      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| DRB5866046.UP.NBM                     | DRB5866046.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5667 | PA      | $5621.56      | 0.01%             | 2030-08-25      | Fixed         | 25.26%                | Yes           |                  3 | On Loan: No      |
| DRB5866051.UP.NBM                     | DRB5866051.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2960 | PA      | $3076.64      | 0.00%             | 2030-11-25      | Fixed         | 31.08%                | Yes           |                  3 | On Loan: No      |
| 9855217.SQ.NBM                        | 9855217.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     26197 | PA      | $24665.32     | 0.03%             | 2027-03-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9855414.SQ.NBM                        | 9855414.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4805 | PA      | $4275.66      | 0.01%             | 2027-03-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342488656.UL.NBM                      | 342488656.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       197 | PA      | $196.03       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342490332.UL.NBM                      | 342490332.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       211 | PA      | $209.29       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9927431.SQ.NBM                        | 9927431.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1789 | PA      | $1663.20      | 0.00%             | 2027-04-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9927456.SQ.NBM                        | 9927456.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1292 | PA      | $1226.01      | 0.00%             | 2027-04-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9774743.SQ.NBM                        | 9774743.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4845 | PA      | $4284.03      | 0.01%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9774885.SQ.NBM                        | 9774885.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1920 | PA      | $932.31       | 0.00%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5866061.UP.NBM                     | DRB5866061.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       962 | PA      | $948.09       | 0.00%             | 2030-08-25      | Fixed         | 21.97%                | Yes           |                  3 | On Loan: No      |
| DRB5866067.UP.NBM                     | DRB5866067.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3426 | PA      | $3606.88      | 0.00%             | 2030-08-25      | Fixed         | 31.62%                | Yes           |                  3 | On Loan: No      |
| 9776828.SQ.NBM                        | 9776828.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     23176 | PA      | $18030.57     | 0.02%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9777172.SQ.NBM                        | 9777172.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4297 | PA      | $4179.84      | 0.01%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9927467.SQ.NBM                        | 9927467.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     30443 | PA      | $28638.74     | 0.04%             | 2027-04-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9929369.SQ.NBM                        | 9929369.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1632 | PA      | $1540.22      | 0.00%             | 2027-04-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342766212.UL.NBM                      | 342766212.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       178 | PA      | $177.78       | 0.00%             | 2026-02-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342766791.UL.NBM                      | 342766791.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       593 | PA      | $221.17       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342490395.UL.NBM                      | 342490395.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       216 | PA      | $214.17       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342493466.UL.NBM                      | 342493466.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       220 | PA      | $218.11       | 0.00%             | 2026-05-23      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 341586578.UL.NBM                      | 341586578.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       487 | PA      | $481.75       | 0.00%             | 2026-05-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341586729.UL.NBM                      | 341586729.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       311 | PA      | $310.79       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5866991.UP.NBM                       | L5866991.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2177 | PA      | $2102.12      | 0.00%             | 2030-08-25      | Fixed         | 16.26%                | Yes           |                  3 | On Loan: No      |
| L5867144.UP.NBM                       | L5867144.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1053 | PA      | $1038.55      | 0.00%             | 2030-08-25      | Fixed         | 17.46%                | Yes           |                  3 | On Loan: No      |
| 342146088.UL.NBM                      | 342146088.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       946 | PA      | $876.36       | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342146112.UL.NBM                      | 342146112.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        84 | PA      | $83.91        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5866076.UP.NBM                     | DRB5866076.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2043 | PA      | $2033.07      | 0.00%             | 2028-08-25      | Fixed         | 30.62%                | Yes           |                  3 | On Loan: No      |
| DRB5866090.UP.NBM                     | DRB5866090.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3862 | PA      | $3738.39      | 0.01%             | 2030-08-25      | Fixed         | 26.99%                | Yes           |                  3 | On Loan: No      |
| 342146711.UL.NBM                      | 342146711.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        35 | PA      | $34.44        | 0.00%             | 2026-02-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342147266.UL.NBM                      | 342147266.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1337 | PA      | $1328.09      | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9929434.SQ.NBM                        | 9929434.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1614 | PA      | $1512.85      | 0.00%             | 2027-04-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9929495.SQ.NBM                        | 9929495.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6919 | PA      | $6359.24      | 0.01%             | 2027-04-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341830048.UL.NBM                      | 341830048.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       241 | PA      | $238.69       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341830566.UL.NBM                      | 341830566.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1776 | PA      | $1618.31      | 0.00%             | 2027-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343462926.UL.NBM                      | 343462926.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1055 | PA      | $973.92       | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343464250.UL.NBM                      | 343464250.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       262 | PA      | $260.95       | 0.00%             | 2026-07-31      | Fixed         | 25.99%                | Yes           |                  3 | On Loan: No      |
| 9774940.SQ.NBM                        | 9774940.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2544 | PA      | $2315.39      | 0.00%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9775035.SQ.NBM                        | 9775035.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8549 | PA      | $8308.68      | 0.01%             | 2027-03-09      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342426943.UL.NBM                      | 342426943.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       139 | PA      | $134.09       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342427187.UL.NBM                      | 342427187.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        47 | PA      | $47.50        | 0.00%             | 2026-02-27      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342147718.UL.NBM                      | 342147718.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3552 | PA      | $3495.28      | 0.00%             | 2027-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342148676.UL.NBM                      | 342148676.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       283 | PA      | $282.24       | 0.00%             | 2026-02-22      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 9929675.SQ.NBM                        | 9929675.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7778 | PA      | $7265.68      | 0.01%             | 2027-04-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9929856.SQ.NBM                        | 9929856.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     25947 | PA      | $24574.09     | 0.03%             | 2027-04-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341586748.UL.NBM                      | 341586748.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       193 | PA      | $182.37       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341586882.UL.NBM                      | 341586882.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       227 | PA      | $225.66       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5866096.UP.NBM                     | DRB5866096.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6476 | PA      | $6212.28      | 0.01%             | 2030-08-25      | Fixed         | 26.29%                | Yes           |                  3 | On Loan: No      |
| DRB5866113.UP.NBM                     | DRB5866113.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5751 | PA      | $5678.97      | 0.01%             | 2028-08-25      | Fixed         | 29.82%                | Yes           |                  3 | On Loan: No      |
| 342494234.UL.NBM                      | 342494234.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       327 | PA      | $323.49       | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342496649.UL.NBM                      | 342496649.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       560 | PA      | $557.69       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341831579.UL.NBM                      | 341831579.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       276 | PA      | $273.25       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341831848.UL.NBM                      | 341831848.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1049 | PA      | $59.55        | 0.00%             | 2035-11-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342148978.UL.NBM                      | 342148978.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       596 | PA      | $591.88       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342149255.UL.NBM                      | 342149255.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       400 | PA      | $381.24       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343464296.UL.NBM                      | 343464296.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2057 | PA      | $1909.77      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343465133.UL.NBM                      | 343465133.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       358 | PA      | $354.48       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5866121.UP.NBM                     | DRB5866121.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11372 | PA      | $10874.29     | 0.01%             | 2030-08-25      | Fixed         | 26.21%                | Yes           |                  3 | On Loan: No      |
| DRB5866130.UP.NBM                     | DRB5866130.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4332 | PA      | $4334.02      | 0.01%             | 2030-08-25      | Fixed         | 28.60%                | Yes           |                  3 | On Loan: No      |
| 9822787.SQ.NBM                        | 9822787.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5116 | PA      | $4839.59      | 0.01%             | 2027-03-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9822835.SQ.NBM                        | 9822835.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7609 | PA      | $7236.37      | 0.01%             | 2027-03-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341586953.UL.NBM                      | 341586953.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        62 | PA      | $61.90        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341587025.UL.NBM                      | 341587025.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       274 | PA      | $275.57       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342499271.UL.NBM                      | 342499271.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       641 | PA      | $634.96       | 0.00%             | 2026-05-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342499503.UL.NBM                      | 342499503.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       112 | PA      | $111.79       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342149634.UL.NBM                      | 342149634.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        85 | PA      | $85.00        | 0.00%             | 2026-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342149663.UL.NBM                      | 342149663.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       183 | PA      | $182.47       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343470420.UL.NBM                      | 343470420.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2139 | PA      | $2121.33      | 0.00%             | 2026-05-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343470605.UL.NBM                      | 343470605.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       110 | PA      | $109.01       | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341831891.UL.NBM                      | 341831891.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        94 | PA      | $93.36        | 0.00%             | 2026-02-21      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341831968.UL.NBM                      | 341831968.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       155 | PA      | $69.10        | 0.00%             | 2026-02-21      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 9930435.SQ.NBM                        | 9930435.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7578 | PA      | $7161.25      | 0.01%             | 2027-04-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9930679.SQ.NBM                        | 9930679.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8474 | PA      | $7956.30      | 0.01%             | 2027-04-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341587056.UL.NBM                      | 341587056.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       103 | PA      | $102.06       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341587158.UL.NBM                      | 341587158.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1058 | PA      | $1045.82      | 0.00%             | 2026-07-21      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342499586.UL.NBM                      | 342499586.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       736 | PA      | $727.45       | 0.00%             | 2026-07-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342500402.UL.NBM                      | 342500402.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        74 | PA      | $73.09        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342149715.UL.NBM                      | 342149715.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       141 | PA      | $140.29       | 0.00%             | 2026-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342150649.UL.NBM                      | 342150649.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       282 | PA      | $278.98       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343470659.UL.NBM                      | 343470659.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       593 | PA      | $590.93       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343512078.UL.NBM                      | 343512078.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       379 | PA      | $376.05       | 0.00%             | 2026-05-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9930864.SQ.NBM                        | 9930864.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2917 | PA      | $2654.41      | 0.00%             | 2027-04-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9946124.SQ.NBM                        | 9946124.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       535 | PA      | $508.90       | 0.00%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341587160.UL.NBM                      | 341587160.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       365 | PA      | $361.14       | 0.00%             | 2026-05-21      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341587223.UL.NBM                      | 341587223.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2547 | PA      | $2510.74      | 0.00%             | 2027-02-21      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 342501807.UL.NBM                      | 342501807.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       365 | PA      | $362.78       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342502628.UL.NBM                      | 342502628.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       776 | PA      | $766.70       | 0.00%             | 2026-07-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341832551.UL.NBM                      | 341832551.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       209 | PA      | $206.56       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341832825.UL.NBM                      | 341832825.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       452 | PA      | $448.08       | 0.00%             | 2026-05-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343512870.UL.NBM                      | 343512870.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       245 | PA      | $242.91       | 0.00%             | 2026-05-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343513436.UL.NBM                      | 343513436.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       236 | PA      | $233.42       | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9946277.SQ.NBM                        | 9946277.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     36818 | PA      | $33498.52     | 0.05%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9946747.SQ.NBM                        | 9946747.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6969 | PA      | $6601.77      | 0.01%             | 2027-04-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341587257.UL.NBM                      | 341587257.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       337 | PA      | $335.65       | 0.00%             | 2026-05-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341587495.UL.NBM                      | 341587495.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        97 | PA      | $96.85        | 0.00%             | 2026-02-21      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342266916.UL.NBM                      | 342266916.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        88 | PA      | $87.44        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342267063.UL.NBM                      | 342267063.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       217 | PA      | $205.24       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342502630.UL.NBM                      | 342502630.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1306 | PA      | $1208.09      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342503163.UL.NBM                      | 342503163.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2666 | PA      | $2440.28      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341832887.UL.NBM                      | 341832887.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       219 | PA      | $217.35       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341832897.UL.NBM                      | 341832897.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        51 | PA      | $50.93        | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9946897.SQ.NBM                        | 9946897.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4418 | PA      | $4187.72      | 0.01%             | 2027-04-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9947192.SQ.NBM                        | 9947192.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5022 | PA      | $4867.11      | 0.01%             | 2027-04-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341587614.UL.NBM                      | 341587614.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1467 | PA      | $1359.21      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341587660.UL.NBM                      | 341587660.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       267 | PA      | $265.91       | 0.00%             | 2026-05-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9822897.SQ.NBM                        | 9822897.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1082 | PA      | $1025.45      | 0.00%             | 2027-03-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9822903.SQ.NBM                        | 9822903.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2697 | PA      | $2529.71      | 0.00%             | 2027-03-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342503381.UL.NBM                      | 342503381.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       110 | PA      | $109.49       | 0.00%             | 2026-02-23      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 342503501.UL.NBM                      | 342503501.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1112 | PA      | $1098.64      | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341833336.UL.NBM                      | 341833336.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       231 | PA      | $229.88       | 0.00%             | 2026-05-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341833387.UL.NBM                      | 341833387.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       273 | PA      | $270.17       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9949050.SQ.NBM                        | 9949050.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1303 | PA      | $1221.68      | 0.00%             | 2027-04-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9949070.SQ.NBM                        | 9949070.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3471 | PA      | $3292.99      | 0.00%             | 2027-04-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342267227.UL.NBM                      | 342267227.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       280 | PA      | $277.07       | 0.00%             | 2026-05-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342267517.UL.NBM                      | 342267517.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        46 | PA      | $45.88        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341587731.UL.NBM                      | 341587731.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       171 | PA      | $42.64        | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341587962.UL.NBM                      | 341587962.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        40 | PA      | $39.32        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343513482.UL.NBM                      | 343513482.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1200 | PA      | $1187.57      | 0.00%             | 2027-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343514576.UL.NBM                      | 343514576.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       266 | PA      | $136.10       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9822928.SQ.NBM                        | 9822928.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17412 | PA      | $16763.32     | 0.02%             | 2027-03-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9823902.SQ.NBM                        | 9823902.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3697 | PA      | $3287.51      | 0.00%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5866244.UP.NBM                     | DRB5866244.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7577 | PA      | $7910.05      | 0.01%             | 2030-08-25      | Fixed         | 31.87%                | Yes           |                  3 | On Loan: No      |
| DRB5866260.UP.NBM                     | DRB5866260.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3746 | PA      | $3619.89      | 0.00%             | 2030-08-25      | Fixed         | 16.27%                | Yes           |                  3 | On Loan: No      |
| 341588363.UL.NBM                      | 341588363.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        98 | PA      | $97.12        | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341588422.UL.NBM                      | 341588422.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        54 | PA      | $53.94        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9949139.SQ.NBM                        | 9949139.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2969 | PA      | $2876.94      | 0.00%             | 2027-04-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9949194.SQ.NBM                        | 9949194.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     20985 | PA      | $18432.79     | 0.03%             | 2027-04-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342267746.UL.NBM                      | 342267746.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       234 | PA      | $232.13       | 0.00%             | 2026-05-22      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342267772.UL.NBM                      | 342267772.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       243 | PA      | $230.55       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343515220.UL.NBM                      | 343515220.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       501 | PA      | $168.73       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343515301.UL.NBM                      | 343515301.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       151 | PA      | $150.39       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5866263.UP.NBM                     | DRB5866263.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1082 | PA      | $237.33       | 0.00%             | 2030-08-25      | Fixed         | 25.75%                | Yes           |                  3 | On Loan: No      |
| DRB5866266.UP.NBM                     | DRB5866266.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1360 | PA      | $1386.82      | 0.00%             | 2030-08-25      | Fixed         | 30.27%                | Yes           |                  3 | On Loan: No      |
| 342504032.UL.NBM                      | 342504032.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2661 | PA      | $2621.74      | 0.00%             | 2027-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342504771.UL.NBM                      | 342504771.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       442 | PA      | $439.36       | 0.00%             | 2026-05-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9949367.SQ.NBM                        | 9949367.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7997 | PA      | $7555.89      | 0.01%             | 2027-04-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9949723.SQ.NBM                        | 9949723.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     49207 | PA      | $46462.35     | 0.06%             | 2027-04-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9823936.SQ.NBM                        | 9823936.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8881 | PA      | $8451.08      | 0.01%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9824170.SQ.NBM                        | 9824170.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9638 | PA      | $6116.69      | 0.01%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342268129.UL.NBM                      | 342268129.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       838 | PA      | $833.34       | 0.00%             | 2026-02-22      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342268490.UL.NBM                      | 342268490.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       558 | PA      | $552.79       | 0.00%             | 2026-05-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| DRB5866269.UP.NBM                     | DRB5866269.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2040 | PA      | $2131.22      | 0.00%             | 2030-08-25      | Fixed         | 31.93%                | Yes           |                  3 | On Loan: No      |
| DRB5866333.UP.NBM                     | DRB5866333.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2038 | PA      | $2097.62      | 0.00%             | 2030-08-25      | Fixed         | 30.91%                | Yes           |                  3 | On Loan: No      |
| 343515963.UL.NBM                      | 343515963.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       114 | PA      | $113.08       | 0.00%             | 2026-05-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343516723.UL.NBM                      | 343516723.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       406 | PA      | $407.70       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9950162.SQ.NBM                        | 9950162.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     33149 | PA      | $31482.97     | 0.04%             | 2027-04-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9950751.SQ.NBM                        | 9950751.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     32499 | PA      | $27255.83     | 0.04%             | 2027-04-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342505191.UL.NBM                      | 342505191.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       137 | PA      | $136.31       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342505319.UL.NBM                      | 342505319.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1323 | PA      | $1307.23      | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342268533.UL.NBM                      | 342268533.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       672 | PA      | $292.25       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342268636.UL.NBM                      | 342268636.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       305 | PA      | $290.41       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9824396.SQ.NBM                        | 9824396.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2569 | PA      | $2113.37      | 0.00%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9825128.SQ.NBM                        | 9825128.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2967 | PA      | $2646.09      | 0.00%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341331355.UL.NBM                      | 341331355.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       221 | PA      | $219.60       | 0.00%             | 2026-02-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341331395.UL.NBM                      | 341331395.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       735 | PA      | $730.35       | 0.00%             | 2026-02-19      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342853807.UL.NBM                      | 342853807.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       781 | PA      | $779.16       | 0.00%             | 2026-07-30      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342853854.UL.NBM                      | 342853854.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       134 | PA      | $133.27       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343517933.UL.NBM                      | 343517933.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       390 | PA      | $171.98       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343518430.UL.NBM                      | 343518430.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        39 | PA      | $38.81        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5866347.UP.NBM                     | DRB5866347.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1073 | PA      | $1039.77      | 0.00%             | 2030-08-25      | Fixed         | 26.79%                | Yes           |                  3 | On Loan: No      |
| DRB5866352.UP.NBM                     | DRB5866352.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10887 | PA      | $10409.39     | 0.01%             | 2030-08-25      | Fixed         | 22.94%                | Yes           |                  3 | On Loan: No      |
| 9855443.SQ.NBM                        | 9855443.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19024 | PA      | $18148.11     | 0.02%             | 2027-03-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9855522.SQ.NBM                        | 9855522.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     23371 | PA      | $21222.76     | 0.03%             | 2027-03-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9789230.SQ.NBM                        | 9789230.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3753 | PA      | $3609.57      | 0.00%             | 2027-03-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9789275.SQ.NBM                        | 9789275.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       838 | PA      | $780.81       | 0.00%             | 2027-03-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342943758.UL.NBM                      | 342943758.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       249 | PA      | $248.11       | 0.00%             | 2026-02-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342943885.UL.NBM                      | 342943885.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       200 | PA      | $199.23       | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342270661.UL.NBM                      | 342270661.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        85 | PA      | $17.04        | 0.00%             | 2035-11-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342766991.UL.NBM                      | 342766991.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3442 | PA      | $3151.46      | 0.00%             | 2027-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5866356.UP.NBM                     | DRB5866356.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3977 | PA      | $4046.90      | 0.01%             | 2030-08-25      | Fixed         | 30.16%                | Yes           |                  3 | On Loan: No      |
| DRB5866366.UP.NBM                     | DRB5866366.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1356 | PA      | $1350.30      | 0.00%             | 2030-08-25      | Fixed         | 28.72%                | Yes           |                  3 | On Loan: No      |
| 342506317.UL.NBM                      | 342506317.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1184 | PA      | $1171.54      | 0.00%             | 2026-07-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342506537.UL.NBM                      | 342506537.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3512 | PA      | $533.30       | 0.00%             | 2027-02-23      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341588633.UL.NBM                      | 341588633.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       218 | PA      | $216.73       | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341600867.UL.NBM                      | 341600867.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       788 | PA      | $778.45       | 0.00%             | 2026-07-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343518975.UL.NBM                      | 343518975.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       306 | PA      | $304.55       | 0.00%             | 2026-02-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343520677.UL.NBM                      | 343520677.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       540 | PA      | $535.11       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342768146.UL.NBM                      | 342768146.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2611 | PA      | $2610.80      | 0.00%             | 2027-08-24      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342769236.UL.NBM                      | 342769236.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       837 | PA      | $782.66       | 0.00%             | 2026-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5866375.UP.NBM                     | DRB5866375.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       912 | PA      | $899.84       | 0.00%             | 2030-08-25      | Fixed         | 28.41%                | Yes           |                  3 | On Loan: No      |
| DRB5866403.UP.NBM                     | DRB5866403.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5054 | PA      | $5315.80      | 0.01%             | 2030-08-25      | Fixed         | 32.38%                | Yes           |                  3 | On Loan: No      |
| DRB5875178.UP.NBM                     | DRB5875178.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       967 | PA      | $939.27       | 0.00%             | 2030-08-26      | Fixed         | 27.06%                | Yes           |                  3 | On Loan: No      |
| DRB5875216.UP.NBM                     | DRB5875216.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6841 | PA      | $6919.75      | 0.01%             | 2030-08-26      | Fixed         | 29.86%                | Yes           |                  3 | On Loan: No      |
| 342507411.UL.NBM                      | 342507411.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       120 | PA      | $40.36        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342611391.UL.NBM                      | 342611391.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       350 | PA      | $347.71       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9855702.SQ.NBM                        | 9855702.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4470 | PA      | $4187.54      | 0.01%             | 2027-03-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9855735.SQ.NBM                        | 9855735.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4842 | PA      | $4576.43      | 0.01%             | 2027-03-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342769449.UL.NBM                      | 342769449.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       203 | PA      | $200.64       | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342769724.UL.NBM                      | 342769724.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       659 | PA      | $611.12       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341600881.UL.NBM                      | 341600881.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       322 | PA      | $319.59       | 0.00%             | 2026-05-21      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341601009.UL.NBM                      | 341601009.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       304 | PA      | $301.85       | 0.00%             | 2026-05-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| DRB5866406.UP.NBM                     | DRB5866406.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1846 | PA      | $1934.03      | 0.00%             | 2030-08-25      | Fixed         | 32.11%                | Yes           |                  3 | On Loan: No      |
| L5859836.UP.NBM                       | L5859836.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1073 | PA      | $264.29       | 0.00%             | 2028-08-22      | Fixed         | 23.10%                | Yes           |                  3 | On Loan: No      |
| 342612286.UL.NBM                      | 342612286.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       422 | PA      | $418.29       | 0.00%             | 2026-05-23      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 342613435.UL.NBM                      | 342613435.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2142 | PA      | $1954.73      | 0.00%             | 2027-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343520751.UL.NBM                      | 343520751.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        47 | PA      | $47.58        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343521390.UL.NBM                      | 343521390.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       356 | PA      | $146.56       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342770439.UL.NBM                      | 342770439.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        42 | PA      | $41.79        | 0.00%             | 2026-02-24      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342770690.UL.NBM                      | 342770690.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       105 | PA      | $104.49       | 0.00%             | 2026-02-24      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341601061.UL.NBM                      | 341601061.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       229 | PA      | $227.70       | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341601064.UL.NBM                      | 341601064.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        73 | PA      | $72.85        | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| L5860932.UP.NBM                       | L5860932.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1906 | PA      | $1867.06      | 0.00%             | 2030-08-22      | Fixed         | 13.93%                | Yes           |                  3 | On Loan: No      |
| L5860946.UP.NBM                       | L5860946.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3948 | PA      | $3581.49      | 0.00%             | 2030-08-22      | Fixed         | 22.79%                | Yes           |                  3 | On Loan: No      |
| 9789304.SQ.NBM                        | 9789304.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5288 | PA      | $4921.63      | 0.01%             | 2027-03-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9789388.SQ.NBM                        | 9789388.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3406 | PA      | $1899.02      | 0.00%             | 2027-03-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342614237.UL.NBM                      | 342614237.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1423 | PA      | $1324.78      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342615059.UL.NBM                      | 342615059.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       143 | PA      | $137.71       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343521494.UL.NBM                      | 343521494.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        62 | PA      | $61.25        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343521667.UL.NBM                      | 343521667.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2995 | PA      | $2948.42      | 0.00%             | 2027-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341601273.UL.NBM                      | 341601273.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       342 | PA      | $340.08       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341601339.UL.NBM                      | 341601339.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        37 | PA      | $36.78        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342771004.UL.NBM                      | 342771004.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       394 | PA      | $390.72       | 0.00%             | 2026-05-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342772221.UL.NBM                      | 342772221.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1222 | PA      | $1129.57      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342615110.UL.NBM                      | 342615110.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3217 | PA      | $3164.02      | 0.00%             | 2027-08-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342615278.UL.NBM                      | 342615278.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       256 | PA      | $254.54       | 0.00%             | 2026-05-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 9855768.SQ.NBM                        | 9855768.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5109 | PA      | $4752.93      | 0.01%             | 2027-03-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9855810.SQ.NBM                        | 9855810.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7640 | PA      | $7247.59      | 0.01%             | 2027-03-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9789437.SQ.NBM                        | 9789437.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8797 | PA      | $8384.79      | 0.01%             | 2027-03-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9796977.SQ.NBM                        | 9796977.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8456 | PA      | $7956.99      | 0.01%             | 2027-03-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341601405.UL.NBM                      | 341601405.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       189 | PA      | $188.10       | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341603685.UL.NBM                      | 341603685.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       301 | PA      | $297.95       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342772243.UL.NBM                      | 342772243.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       163 | PA      | $161.87       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342772481.UL.NBM                      | 342772481.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |         6 | PA      | $6.03         | 0.00%             | 2035-11-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343521669.UL.NBM                      | 343521669.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1010 | PA      | $999.74       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343521713.UL.NBM                      | 343521713.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       148 | PA      | $146.86       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342615708.UL.NBM                      | 342615708.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       826 | PA      | $772.76       | 0.00%             | 2026-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342621524.UL.NBM                      | 342621524.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2000 | PA      | $1842.53      | 0.00%             | 2027-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342944072.UL.NBM                      | 342944072.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2121 | PA      | $2096.15      | 0.00%             | 2026-07-25      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342944122.UL.NBM                      | 342944122.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       870 | PA      | $835.45       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9797155.SQ.NBM                        | 9797155.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     36308 | PA      | $27580.02     | 0.04%             | 2027-03-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9797982.SQ.NBM                        | 9797982.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     26505 | PA      | $25391.11     | 0.03%             | 2027-03-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9855880.SQ.NBM                        | 9855880.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1664 | PA      | $1609.83      | 0.00%             | 2027-03-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9855900.SQ.NBM                        | 9855900.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3001 | PA      | $2703.93      | 0.00%             | 2027-03-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343523842.UL.NBM                      | 343523842.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       376 | PA      | $374.09       | 0.00%             | 2026-05-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343523855.UL.NBM                      | 343523855.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       239 | PA      | $236.26       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342772500.UL.NBM                      | 342772500.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        92 | PA      | $91.43        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341603687.UL.NBM                      | 341603687.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       279 | PA      | $265.00       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341603751.UL.NBM                      | 341603751.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       240 | PA      | $237.67       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5875227.UP.NBM                     | DRB5875227.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13776 | PA      | $14054.57     | 0.02%             | 2028-08-26      | Fixed         | 27.88%                | Yes           |                  3 | On Loan: No      |
| DRB5875238.UP.NBM                     | DRB5875238.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3037 | PA      | $2967.90      | 0.00%             | 2028-08-26      | Fixed         | 29.02%                | Yes           |                  3 | On Loan: No      |
| 342944222.UL.NBM                      | 342944222.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       139 | PA      | $133.87       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342944234.UL.NBM                      | 342944234.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       333 | PA      | $330.87       | 0.00%             | 2026-02-25      | Fixed         | 25.99%                | Yes           |                  3 | On Loan: No      |
| 9798583.SQ.NBM                        | 9798583.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     46206 | PA      | $40780.09     | 0.06%             | 2027-03-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9799371.SQ.NBM                        | 9799371.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2431 | PA      | $2127.85      | 0.00%             | 2027-03-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343526035.UL.NBM                      | 343526035.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       185 | PA      | $184.16       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343526257.UL.NBM                      | 343526257.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       424 | PA      | $420.42       | 0.00%             | 2026-05-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341603828.UL.NBM                      | 341603828.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       133 | PA      | $128.23       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341724147.UL.NBM                      | 341724147.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       298 | PA      | $296.64       | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343066986.UL.NBM                      | 343066986.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        53 | PA      | $52.91        | 0.00%             | 2026-02-25      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 343067047.UL.NBM                      | 343067047.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       792 | PA      | $783.60       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9855929.SQ.NBM                        | 9855929.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3990 | PA      | $3773.00      | 0.01%             | 2027-03-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9856304.SQ.NBM                        | 9856304.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11227 | PA      | $10861.97     | 0.01%             | 2027-03-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9799398.SQ.NBM                        | 9799398.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9534 | PA      | $6363.28      | 0.01%             | 2027-03-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9799506.SQ.NBM                        | 9799506.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19317 | PA      | $16889.75     | 0.02%             | 2027-03-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343526267.UL.NBM                      | 343526267.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        75 | PA      | $75.07        | 0.00%             | 2026-02-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343526577.UL.NBM                      | 343526577.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       243 | PA      | $242.20       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342621696.UL.NBM                      | 342621696.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       209 | PA      | $207.44       | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342621735.UL.NBM                      | 342621735.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       265 | PA      | $60.27        | 0.00%             | 2035-12-07      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341725891.UL.NBM                      | 341725891.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       184 | PA      | $183.07       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341726036.UL.NBM                      | 341726036.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       314 | PA      | $23.92        | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9856428.SQ.NBM                        | 9856428.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2969 | PA      | $2832.99      | 0.00%             | 2027-03-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9856455.SQ.NBM                        | 9856455.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5176 | PA      | $4604.22      | 0.01%             | 2027-03-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343067092.UL.NBM                      | 343067092.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1944 | PA      | $1947.55      | 0.00%             | 2027-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343067101.UL.NBM                      | 343067101.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       190 | PA      | $39.38        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9799768.SQ.NBM                        | 9799768.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6781 | PA      | $6383.93      | 0.01%             | 2027-03-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9799838.SQ.NBM                        | 9799838.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5992 | PA      | $5857.50      | 0.01%             | 2027-03-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5875269.UP.NBM                     | DRB5875269.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2812 | PA      | $2847.85      | 0.00%             | 2030-08-26      | Fixed         | 29.81%                | Yes           |                  3 | On Loan: No      |
| DRB5875270.UP.NBM                     | DRB5875270.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2981 | PA      | $2796.90      | 0.00%             | 2030-08-26      | Fixed         | 21.57%                | Yes           |                  3 | On Loan: No      |
| 9950990.SQ.NBM                        | 9950990.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1640 | PA      | $1537.91      | 0.00%             | 2027-04-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9951023.SQ.NBM                        | 9951023.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2969 | PA      | $2796.48      | 0.00%             | 2027-04-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342621744.UL.NBM                      | 342621744.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6068 | PA      | $5973.88      | 0.01%             | 2027-02-23      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 342734046.UL.NBM                      | 342734046.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       563 | PA      | $557.54       | 0.00%             | 2026-05-24      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 9856526.SQ.NBM                        | 9856526.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       848 | PA      | $782.21       | 0.00%             | 2027-03-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9856535.SQ.NBM                        | 9856535.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5430 | PA      | $5178.24      | 0.01%             | 2027-03-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9799997.SQ.NBM                        | 9799997.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1305 | PA      | $1264.98      | 0.00%             | 2027-03-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9800041.SQ.NBM                        | 9800041.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7422 | PA      | $7158.73      | 0.01%             | 2027-03-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343067145.UL.NBM                      | 343067145.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       272 | PA      | $269.85       | 0.00%             | 2026-05-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343067300.UL.NBM                      | 343067300.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       265 | PA      | $251.04       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341726667.UL.NBM                      | 341726667.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       284 | PA      | $281.10       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341797623.UL.NBM                      | 341797623.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       538 | PA      | $529.44       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5875283.UP.NBM                     | DRB5875283.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2780 | PA      | $2719.65      | 0.00%             | 2028-08-26      | Fixed         | 28.85%                | Yes           |                  3 | On Loan: No      |
| DRB5875337.UP.NBM                     | DRB5875337.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1062 | PA      | $997.48       | 0.00%             | 2030-08-26      | Fixed         | 24.93%                | Yes           |                  3 | On Loan: No      |
| 9856617.SQ.NBM                        | 9856617.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3631 | PA      | $3458.93      | 0.00%             | 2027-03-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9856652.SQ.NBM                        | 9856652.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2768 | PA      | $2537.80      | 0.00%             | 2027-03-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342734347.UL.NBM                      | 342734347.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       242 | PA      | $72.54        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342734427.UL.NBM                      | 342734427.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       889 | PA      | $878.70       | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9951086.SQ.NBM                        | 9951086.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2643 | PA      | $2482.81      | 0.00%             | 2027-04-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9951112.SQ.NBM                        | 9951112.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6374 | PA      | $6049.15      | 0.01%             | 2027-04-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343067307.UL.NBM                      | 343067307.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       475 | PA      | $471.04       | 0.00%             | 2026-05-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343067477.UL.NBM                      | 343067477.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       125 | PA      | $124.03       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341798346.UL.NBM                      | 341798346.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       202 | PA      | $201.92       | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341798364.UL.NBM                      | 341798364.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       226 | PA      | $224.78       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5875339.UP.NBM                     | DRB5875339.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4459 | PA      | $4498.59      | 0.01%             | 2030-08-26      | Fixed         | 29.55%                | Yes           |                  3 | On Loan: No      |
| DRB5875358.UP.NBM                     | DRB5875358.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1398 | PA      | $108.27       | 0.00%             | 2030-08-26      | Fixed         | 29.63%                | Yes           |                  3 | On Loan: No      |
| 9800160.SQ.NBM                        | 9800160.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4117 | PA      | $3898.18      | 0.01%             | 2027-03-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9800231.SQ.NBM                        | 9800231.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3126 | PA      | $2969.46      | 0.00%             | 2027-03-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342734449.UL.NBM                      | 342734449.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       778 | PA      | $775.64       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342734485.UL.NBM                      | 342734485.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       624 | PA      | $598.50       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9856680.SQ.NBM                        | 9856680.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3952 | PA      | $3699.37      | 0.01%             | 2027-03-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9856720.SQ.NBM                        | 9856720.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4932 | PA      | $4633.32      | 0.01%             | 2027-03-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341800274.UL.NBM                      | 341800274.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       400 | PA      | $381.09       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341801323.UL.NBM                      | 341801323.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1632 | PA      | $1515.74      | 0.00%             | 2026-12-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9951189.SQ.NBM                        | 9951189.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2613 | PA      | $2410.95      | 0.00%             | 2027-04-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9951253.SQ.NBM                        | 9951253.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7258 | PA      | $5730.75      | 0.01%             | 2027-04-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5875360.UP.NBM                     | DRB5875360.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2618 | PA      | $2653.14      | 0.00%             | 2030-08-26      | Fixed         | 29.85%                | Yes           |                  3 | On Loan: No      |
| DRB5875370.UP.NBM                     | DRB5875370.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       946 | PA      | $943.85       | 0.00%             | 2030-08-26      | Fixed         | 29.04%                | Yes           |                  3 | On Loan: No      |
| 341833496.UL.NBM                      | 341833496.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       760 | PA      | $702.79       | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341833602.UL.NBM                      | 341833602.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       243 | PA      | $240.37       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341833902.UL.NBM                      | 341833902.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       809 | PA      | $744.59       | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341836647.UL.NBM                      | 341836647.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       223 | PA      | $221.80       | 0.00%             | 2026-02-21      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342853902.UL.NBM                      | 342853902.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       237 | PA      | $235.31       | 0.00%             | 2026-02-24      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 342853918.UL.NBM                      | 342853918.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       176 | PA      | $175.17       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9800282.SQ.NBM                        | 9800282.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4632 | PA      | $4339.47      | 0.01%             | 2027-03-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9800906.SQ.NBM                        | 9800906.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10701 | PA      | $7601.30      | 0.01%             | 2027-03-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342938325.UL.NBM                      | 342938325.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1110 | PA      | $1025.49      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342938349.UL.NBM                      | 342938349.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       784 | PA      | $777.57       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341801590.UL.NBM                      | 341801590.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        56 | PA      | $55.63        | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341802019.UL.NBM                      | 341802019.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1661 | PA      | $1583.99      | 0.00%             | 2026-08-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341836847.UL.NBM                      | 341836847.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2084 | PA      | $2052.51      | 0.00%             | 2027-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341836852.UL.NBM                      | 341836852.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       116 | PA      | $115.38       | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 9872195.SQ.NBM                        | 9872195.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1512 | PA      | $1389.78      | 0.00%             | 2027-04-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9872209.SQ.NBM                        | 9872209.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4133 | PA      | $3934.01      | 0.01%             | 2027-04-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9951297.SQ.NBM                        | 9951297.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2244 | PA      | $2087.10      | 0.00%             | 2027-04-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9951916.SQ.NBM                        | 9951916.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5952 | PA      | $5594.91      | 0.01%             | 2027-04-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342734619.UL.NBM                      | 342734619.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       176 | PA      | $174.84       | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342734748.UL.NBM                      | 342734748.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1347 | PA      | $1330.75      | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342854198.UL.NBM                      | 342854198.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       362 | PA      | $358.72       | 0.00%             | 2026-05-24      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342854296.UL.NBM                      | 342854296.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       926 | PA      | $915.55       | 0.00%             | 2026-07-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| L5860953.UP.NBM                       | L5860953.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1612 | PA      | $1533.73      | 0.00%             | 2030-08-22      | Fixed         | 19.96%                | Yes           |                  3 | On Loan: No      |
| L5860960.UP.NBM                       | L5860960.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19105 | PA      | $18371.90     | 0.03%             | 2030-08-22      | Fixed         | 15.94%                | Yes           |                  3 | On Loan: No      |
| 9872303.SQ.NBM                        | 9872303.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2346 | PA      | $2203.80      | 0.00%             | 2027-04-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9872406.SQ.NBM                        | 9872406.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6794 | PA      | $6280.35      | 0.01%             | 2027-04-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341803267.UL.NBM                      | 341803267.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        65 | PA      | $64.63        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341803268.UL.NBM                      | 341803268.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       204 | PA      | $202.08       | 0.00%             | 2026-05-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9951968.SQ.NBM                        | 9951968.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7537 | PA      | $7032.47      | 0.01%             | 2027-04-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9952019.SQ.NBM                        | 9952019.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3710 | PA      | $3502.57      | 0.00%             | 2027-04-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341836954.UL.NBM                      | 341836954.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6208 | PA      | $6107.39      | 0.01%             | 2027-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341918638.UL.NBM                      | 341918638.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       253 | PA      | $250.86       | 0.00%             | 2026-05-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342734946.UL.NBM                      | 342734946.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       145 | PA      | $144.63       | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342735174.UL.NBM                      | 342735174.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       354 | PA      | $351.15       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342855922.UL.NBM                      | 342855922.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       149 | PA      | $148.25       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342856619.UL.NBM                      | 342856619.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       278 | PA      | $262.98       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9872677.SQ.NBM                        | 9872677.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16239 | PA      | $15383.70     | 0.02%             | 2027-04-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9873177.SQ.NBM                        | 9873177.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     37728 | PA      | $35904.89     | 0.05%             | 2027-04-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9952049.SQ.NBM                        | 9952049.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2531 | PA      | $2452.86      | 0.00%             | 2027-04-18      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9990127.SQ.NBM                        | 9990127.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       504 | PA      | $485.51       | 0.00%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341803691.UL.NBM                      | 341803691.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       267 | PA      | $265.20       | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341803799.UL.NBM                      | 341803799.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       218 | PA      | $216.36       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342735272.UL.NBM                      | 342735272.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       272 | PA      | $269.03       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342735433.UL.NBM                      | 342735433.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       170 | PA      | $168.88       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341919385.UL.NBM                      | 341919385.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        52 | PA      | $52.59        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341919915.UL.NBM                      | 341919915.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       535 | PA      | $507.15       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9990158.SQ.NBM                        | 9990158.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4841 | PA      | $4491.78      | 0.01%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9990298.SQ.NBM                        | 9990298.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2016 | PA      | $1911.08      | 0.00%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342857433.UL.NBM                      | 342857433.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1728 | PA      | $1701.81      | 0.00%             | 2027-08-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342857571.UL.NBM                      | 342857571.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       363 | PA      | $360.21       | 0.00%             | 2026-05-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342938351.UL.NBM                      | 342938351.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       152 | PA      | $146.05       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342938374.UL.NBM                      | 342938374.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        66 | PA      | $14.76        | 0.00%             | 2035-11-25      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 341804191.UL.NBM                      | 341804191.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        49 | PA      | $48.59        | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341804297.UL.NBM                      | 341804297.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1803 | PA      | $1673.05      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342735497.UL.NBM                      | 342735497.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       426 | PA      | $422.00       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342735556.UL.NBM                      | 342735556.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       477 | PA      | $474.14       | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341920056.UL.NBM                      | 341920056.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       307 | PA      | $304.06       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341920557.UL.NBM                      | 341920557.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       916 | PA      | $904.82       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9873977.SQ.NBM                        | 9873977.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10250 | PA      | $9460.31      | 0.01%             | 2027-04-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9874122.SQ.NBM                        | 9874122.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3228 | PA      | $3005.11      | 0.00%             | 2027-04-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342857572.UL.NBM                      | 342857572.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       315 | PA      | $313.76       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342857654.UL.NBM                      | 342857654.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3021 | PA      | $2975.80      | 0.00%             | 2027-08-24      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341804580.UL.NBM                      | 341804580.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       305 | PA      | $301.74       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341804621.UL.NBM                      | 341804621.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       429 | PA      | $423.77       | 0.00%             | 2026-05-12      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9990388.SQ.NBM                        | 9990388.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6697 | PA      | $6107.65      | 0.01%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9990588.SQ.NBM                        | 9990588.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1128 | PA      | $1038.33      | 0.00%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342938383.UL.NBM                      | 342938383.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       716 | PA      | $707.87       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342938441.UL.NBM                      | 342938441.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       162 | PA      | $161.11       | 0.00%             | 2026-02-25      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341920664.UL.NBM                      | 341920664.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        77 | PA      | $75.07        | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341921494.UL.NBM                      | 341921494.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       289 | PA      | $286.33       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9875045.SQ.NBM                        | 9875045.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8165 | PA      | $7736.82      | 0.01%             | 2027-04-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9875140.SQ.NBM                        | 9875140.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7741 | PA      | $7350.08      | 0.01%             | 2027-04-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342857822.UL.NBM                      | 342857822.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       244 | PA      | $242.05       | 0.00%             | 2026-05-24      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342858097.UL.NBM                      | 342858097.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       203 | PA      | $202.13       | 0.00%             | 2026-02-24      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341332058.UL.NBM                      | 341332058.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1201 | PA      | $394.92       | 0.00%             | 2026-02-19      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341332290.UL.NBM                      | 341332290.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        63 | PA      | $62.51        | 0.00%             | 2026-02-19      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341805268.UL.NBM                      | 341805268.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       737 | PA      | $680.43       | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341805334.UL.NBM                      | 341805334.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       371 | PA      | $369.55       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342938442.UL.NBM                      | 342938442.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       440 | PA      | $411.27       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342938452.UL.NBM                      | 342938452.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        57 | PA      | $56.48        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9875223.SQ.NBM                        | 9875223.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18761 | PA      | $17779.41     | 0.02%             | 2027-04-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9875449.SQ.NBM                        | 9875449.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2410 | PA      | $2292.57      | 0.00%             | 2027-04-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341922207.UL.NBM                      | 341922207.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        74 | PA      | $73.70        | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341922431.UL.NBM                      | 341922431.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       896 | PA      | $888.26       | 0.00%             | 2026-07-21      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342858120.UL.NBM                      | 342858120.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       135 | PA      | $134.02       | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342858377.UL.NBM                      | 342858377.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       107 | PA      | $106.22       | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341805369.UL.NBM                      | 341805369.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       202 | PA      | $199.59       | 0.00%             | 2026-05-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341805509.UL.NBM                      | 341805509.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       869 | PA      | $866.33       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342938487.UL.NBM                      | 342938487.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       864 | PA      | $859.98       | 0.00%             | 2026-02-25      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 342938538.UL.NBM                      | 342938538.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       214 | PA      | $212.11       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343527015.UL.NBM                      | 343527015.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       151 | PA      | $150.85       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343527539.UL.NBM                      | 343527539.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       307 | PA      | $305.65       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9990610.SQ.NBM                        | 9990610.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1505 | PA      | $1427.22      | 0.00%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9990729.SQ.NBM                        | 9990729.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1220 | PA      | $1189.32      | 0.00%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341922618.UL.NBM                      | 341922618.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1179 | PA      | $531.83       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341923527.UL.NBM                      | 341923527.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       173 | PA      | $163.05       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9885063.SQ.NBM                        | 9885063.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2190 | PA      | $2079.16      | 0.00%             | 2027-04-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9885260.SQ.NBM                        | 9885260.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6044 | PA      | $5616.58      | 0.01%             | 2027-04-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342938630.UL.NBM                      | 342938630.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       442 | PA      | $440.86       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342938667.UL.NBM                      | 342938667.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       322 | PA      | $318.51       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341805756.UL.NBM                      | 341805756.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2660 | PA      | $2620.65      | 0.00%             | 2027-02-21      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341805764.UL.NBM                      | 341805764.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       153 | PA      | $151.82       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343528258.UL.NBM                      | 343528258.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       209 | PA      | $207.63       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343528333.UL.NBM                      | 343528333.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4859 | PA      | $4791.59      | 0.01%             | 2027-02-26      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 9991669.SQ.NBM                        | 9991669.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       674 | PA      | $638.10       | 0.00%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9991675.SQ.NBM                        | 9991675.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       619 | PA      | $600.19       | 0.00%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341332552.UL.NBM                      | 341332552.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        95 | PA      | $94.64        | 0.00%             | 2026-02-19      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341332593.UL.NBM                      | 341332593.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       499 | PA      | $493.81       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341923697.UL.NBM                      | 341923697.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       589 | PA      | $583.19       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341924558.UL.NBM                      | 341924558.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       775 | PA      | $766.39       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341806357.UL.NBM                      | 341806357.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       263 | PA      | $264.29       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341806443.UL.NBM                      | 341806443.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       318 | PA      | $296.02       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342938685.UL.NBM                      | 342938685.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       359 | PA      | $355.98       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342938755.UL.NBM                      | 342938755.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       140 | PA      | $139.89       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9991695.SQ.NBM                        | 9991695.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16278 | PA      | $13456.61     | 0.02%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9991880.SQ.NBM                        | 9991880.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1722 | PA      | $1621.65      | 0.00%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9885353.SQ.NBM                        | 9885353.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4597 | PA      | $4354.25      | 0.01%             | 2027-04-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9885452.SQ.NBM                        | 9885452.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6231 | PA      | $5926.32      | 0.01%             | 2027-04-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343528432.UL.NBM                      | 343528432.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       421 | PA      | $419.69       | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343528450.UL.NBM                      | 343528450.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2233 | PA      | $2198.90      | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341806733.UL.NBM                      | 341806733.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       286 | PA      | $284.14       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341807180.UL.NBM                      | 341807180.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        84 | PA      | $83.15        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341924741.UL.NBM                      | 341924741.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       213 | PA      | $210.39       | 0.00%             | 2026-05-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341927084.UL.NBM                      | 341927084.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        41 | PA      | $40.78        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9991892.SQ.NBM                        | 9991892.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19431 | PA      | $17838.07     | 0.02%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9992061.SQ.NBM                        | 9992061.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12428 | PA      | $11633.00     | 0.02%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9885539.SQ.NBM                        | 9885539.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2947 | PA      | $2798.83      | 0.00%             | 2027-04-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9885581.SQ.NBM                        | 9885581.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     50697 | PA      | $48205.32     | 0.07%             | 2027-04-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343606500.UL.NBM                      | 343606500.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1017 | PA      | $1007.01      | 0.00%             | 2026-07-27      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 343607001.UL.NBM                      | 343607001.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       669 | PA      | $661.16       | 0.00%             | 2026-07-27      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341333339.UL.NBM                      | 341333339.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       188 | PA      | $186.20       | 0.00%             | 2026-02-19      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341333470.UL.NBM                      | 341333470.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       226 | PA      | $223.93       | 0.00%             | 2026-05-19      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342858399.UL.NBM                      | 342858399.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        55 | PA      | $54.68        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342858429.UL.NBM                      | 342858429.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1268 | PA      | $1178.57      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342938795.UL.NBM                      | 342938795.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       290 | PA      | $274.76       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343077262.UL.NBM                      | 343077262.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       148 | PA      | $146.92       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9992387.SQ.NBM                        | 9992387.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     96900 | PA      | $88494.65     | 0.12%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9994393.SQ.NBM                        | 9994393.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11010 | PA      | $7367.82      | 0.01%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343608796.UL.NBM                      | 343608796.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        49 | PA      | $49.21        | 0.00%             | 2026-02-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343609169.UL.NBM                      | 343609169.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       255 | PA      | $254.65       | 0.00%             | 2026-02-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9886234.SQ.NBM                        | 9886234.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7438 | PA      | $6966.89      | 0.01%             | 2027-04-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9886413.SQ.NBM                        | 9886413.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       835 | PA      | $243.85       | 0.00%             | 2027-04-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343077272.UL.NBM                      | 343077272.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       332 | PA      | $330.53       | 0.00%             | 2026-02-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343077541.UL.NBM                      | 343077541.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       757 | PA      | $748.54       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9994436.SQ.NBM                        | 9994436.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14881 | PA      | $11167.50     | 0.02%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9994527.SQ.NBM                        | 9994527.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18692 | PA      | $17217.12     | 0.02%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341927572.UL.NBM                      | 341927572.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       402 | PA      | $399.48       | 0.00%             | 2026-02-21      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341929188.UL.NBM                      | 341929188.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       340 | PA      | $336.63       | 0.00%             | 2026-05-21      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342859382.UL.NBM                      | 342859382.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       267 | PA      | $263.95       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342859392.UL.NBM                      | 342859392.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       264 | PA      | $261.67       | 0.00%             | 2026-05-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343610275.UL.NBM                      | 343610275.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       206 | PA      | $204.58       | 0.00%             | 2026-02-27      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343610834.UL.NBM                      | 343610834.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       102 | PA      | $102.64       | 0.00%             | 2026-02-27      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343119855.UL.NBM                      | 343119855.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        63 | PA      | $62.88        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343120056.UL.NBM                      | 343120056.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       539 | PA      | $514.04       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9994732.SQ.NBM                        | 9994732.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11717 | PA      | $10998.80     | 0.02%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9994796.SQ.NBM                        | 9994796.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6908 | PA      | $6525.25      | 0.01%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341929600.UL.NBM                      | 341929600.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       925 | PA      | $919.51       | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341929601.UL.NBM                      | 341929601.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        52 | PA      | $51.68        | 0.00%             | 2026-02-21      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342859396.UL.NBM                      | 342859396.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        44 | PA      | $43.88        | 0.00%             | 2026-02-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342860016.UL.NBM                      | 342860016.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        53 | PA      | $52.52        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343611082.UL.NBM                      | 343611082.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       536 | PA      | $532.63       | 0.00%             | 2026-02-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343611231.UL.NBM                      | 343611231.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       319 | PA      | $317.94       | 0.00%             | 2026-02-27      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9994837.SQ.NBM                        | 9994837.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     26641 | PA      | $25205.00     | 0.03%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9995252.SQ.NBM                        | 9995252.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1044 | PA      | $911.28       | 0.00%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342428519.UL.NBM                      | 342428519.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       377 | PA      | $375.11       | 0.00%             | 2026-02-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342429091.UL.NBM                      | 342429091.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       274 | PA      | $271.15       | 0.00%             | 2026-05-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343120081.UL.NBM                      | 343120081.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       497 | PA      | $492.53       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343120250.UL.NBM                      | 343120250.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        92 | PA      | $91.54        | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 9886458.SQ.NBM                        | 9886458.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       661 | PA      | $632.02       | 0.00%             | 2027-04-02      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9886629.SQ.NBM                        | 9886629.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14739 | PA      | $13956.79     | 0.02%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5872919.UP.NBM                       | L5872919.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14799 | PA      | $13829.56     | 0.02%             | 2030-08-26      | Fixed         | 24.74%                | Yes           |                  3 | On Loan: No      |
| L5872929.UP.NBM                       | L5872929.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11044 | PA      | $10623.22     | 0.01%             | 2030-08-26      | Fixed         | 20.42%                | Yes           |                  3 | On Loan: No      |
| 342860091.UL.NBM                      | 342860091.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       411 | PA      | $407.08       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342860647.UL.NBM                      | 342860647.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3276 | PA      | $3229.38      | 0.00%             | 2027-02-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 9995276.SQ.NBM                        | 9995276.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3495 | PA      | $3186.95      | 0.00%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9995322.SQ.NBM                        | 9995322.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3659 | PA      | $2746.00      | 0.00%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343157783.UL.NBM                      | 343157783.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       124 | PA      | $123.28       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343158174.UL.NBM                      | 343158174.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3161 | PA      | $3113.82      | 0.00%             | 2027-08-25      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 341746341.UL.NBM                      | 341746341.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       413 | PA      | $408.69       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341746344.UL.NBM                      | 341746344.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        71 | PA      | $11.38        | 0.00%             | 2035-11-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9887008.SQ.NBM                        | 9887008.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3220 | PA      | $2974.33      | 0.00%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9887102.SQ.NBM                        | 9887102.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7538 | PA      | $7039.42      | 0.01%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5872937.UP.NBM                       | L5872937.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       609 | PA      | $598.15       | 0.00%             | 2028-08-26      | Fixed         | 15.21%                | Yes           |                  3 | On Loan: No      |
| L5872943.UP.NBM                       | L5872943.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2799 | PA      | $2745.52      | 0.00%             | 2030-08-26      | Fixed         | 13.97%                | Yes           |                  3 | On Loan: No      |
| 9995356.SQ.NBM                        | 9995356.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1414 | PA      | $1331.85      | 0.00%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9995371.SQ.NBM                        | 9995371.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     22885 | PA      | $20872.88     | 0.03%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343158379.UL.NBM                      | 343158379.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        88 | PA      | $17.95        | 0.00%             | 2035-11-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343158466.UL.NBM                      | 343158466.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       217 | PA      | $215.75       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342861073.UL.NBM                      | 342861073.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       486 | PA      | $481.28       | 0.00%             | 2026-05-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342861866.UL.NBM                      | 342861866.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       407 | PA      | $402.99       | 0.00%             | 2026-05-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341333871.UL.NBM                      | 341333871.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       317 | PA      | $313.96       | 0.00%             | 2026-05-19      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341333894.UL.NBM                      | 341333894.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1238 | PA      | $585.83       | 0.00%             | 2026-07-31      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9995589.SQ.NBM                        | 9995589.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8248 | PA      | $7760.32      | 0.01%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| CBM5858802.UP.NBM                     | CBM5858802.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2905 | PA      | $2886.45      | 0.00%             | 2030-08-22      | Fixed         | 28.68%                | Yes           |                  3 | On Loan: No      |
| 9935259.SQ.NBM                        | 9935259.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4797 | PA      | $4524.95      | 0.01%             | 2027-04-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9935369.SQ.NBM                        | 9935369.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3487 | PA      | $3326.68      | 0.00%             | 2027-04-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341929839.UL.NBM                      | 341929839.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       717 | PA      | $708.95       | 0.00%             | 2026-07-21      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 341931154.UL.NBM                      | 341931154.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       335 | PA      | $333.00       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342862017.UL.NBM                      | 342862017.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       405 | PA      | $402.62       | 0.00%             | 2026-02-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342862329.UL.NBM                      | 342862329.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       114 | PA      | $113.08       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343168517.UL.NBM                      | 343168517.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1719 | PA      | $1701.02      | 0.00%             | 2026-07-25      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343186431.UL.NBM                      | 343186431.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       163 | PA      | $26.08        | 0.00%             | 2035-11-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5872963.UP.NBM                       | L5872963.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3175 | PA      | $3043.45      | 0.00%             | 2028-08-26      | Fixed         | 21.62%                | Yes           |                  3 | On Loan: No      |
| L5873045.UP.NBM                       | L5873045.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     23801 | PA      | $23663.57     | 0.03%             | 2030-08-26      | Fixed         | 22.65%                | Yes           |                  3 | On Loan: No      |
| CBM5858814.UP.NBM                     | CBM5858814.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5529 | PA      | $5627.26      | 0.01%             | 2030-08-22      | Fixed         | 30.27%                | Yes           |                  3 | On Loan: No      |
| CBM5860882.UP.NBM                     | CBM5860882.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4276 | PA      | $4483.50      | 0.01%             | 2030-08-22      | Fixed         | 32.28%                | Yes           |                  3 | On Loan: No      |
| 9935497.SQ.NBM                        | 9935497.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5054 | PA      | $4720.37      | 0.01%             | 2027-04-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9935583.SQ.NBM                        | 9935583.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1537 | PA      | $1440.22      | 0.00%             | 2027-04-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341931186.UL.NBM                      | 341931186.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       914 | PA      | $903.03       | 0.00%             | 2026-07-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341931342.UL.NBM                      | 341931342.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        72 | PA      | $71.64        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343186464.UL.NBM                      | 343186464.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1252 | PA      | $1157.97      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343186554.UL.NBM                      | 343186554.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       288 | PA      | $273.98       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342862883.UL.NBM                      | 342862883.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1107 | PA      | $1028.01      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342863349.UL.NBM                      | 342863349.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       208 | PA      | $206.47       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5860886.UP.NBM                     | CBM5860886.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11015 | PA      | $10332.20     | 0.01%             | 2030-08-22      | Fixed         | 24.91%                | Yes           |                  3 | On Loan: No      |
| CBM5860914.UP.NBM                     | CBM5860914.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1162 | PA      | $1152.73      | 0.00%             | 2030-08-22      | Fixed         | 28.56%                | Yes           |                  3 | On Loan: No      |
| L5875087.UP.NBM                       | L5875087.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2696 | PA      | $2580.98      | 0.00%             | 2030-08-26      | Fixed         | 22.82%                | Yes           |                  3 | On Loan: No      |
| L5875152.UP.NBM                       | L5875152.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8675 | PA      | $8429.74      | 0.01%             | 2030-08-26      | Fixed         | 23.76%                | Yes           |                  3 | On Loan: No      |
| 9935605.SQ.NBM                        | 9935605.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1018 | PA      | $960.06       | 0.00%             | 2027-04-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9936123.SQ.NBM                        | 9936123.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9949 | PA      | $9399.77      | 0.01%             | 2027-04-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341932120.UL.NBM                      | 341932120.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       184 | PA      | $181.89       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341932255.UL.NBM                      | 341932255.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1187 | PA      | $1097.07      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5873061.UP.NBM                       | L5873061.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4083 | PA      | $3890.36      | 0.01%             | 2028-08-26      | Fixed         | 13.07%                | Yes           |                  3 | On Loan: No      |
| L5873067.UP.NBM                       | L5873067.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21678 | PA      | $20753.38     | 0.03%             | 2030-08-26      | Fixed         | 15.70%                | Yes           |                  3 | On Loan: No      |
| CBM5861068.UP.NBM                     | CBM5861068.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1069 | PA      | $1122.20      | 0.00%             | 2030-08-25      | Fixed         | 32.25%                | Yes           |                  3 | On Loan: No      |
| CBM5861376.UP.NBM                     | CBM5861376.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2520 | PA      | $2528.33      | 0.00%             | 2030-08-25      | Fixed         | 29.23%                | Yes           |                  3 | On Loan: No      |
| 342863472.UL.NBM                      | 342863472.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       223 | PA      | $211.01       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342864207.UL.NBM                      | 342864207.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       200 | PA      | $188.37       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5875166.UP.NBM                       | L5875166.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2691 | PA      | $2501.49      | 0.00%             | 2030-08-26      | Fixed         | 21.00%                | Yes           |                  3 | On Loan: No      |
| L5875243.UP.NBM                       | L5875243.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5378 | PA      | $5140.08      | 0.01%             | 2030-08-26      | Fixed         | 22.88%                | Yes           |                  3 | On Loan: No      |
| 341932377.UL.NBM                      | 341932377.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        66 | PA      | $65.52        | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341933778.UL.NBM                      | 341933778.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       270 | PA      | $267.83       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343186559.UL.NBM                      | 343186559.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        47 | PA      | $46.99        | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343190788.UL.NBM                      | 343190788.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       618 | PA      | $611.79       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5861696.UP.NBM                     | CBM5861696.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9216 | PA      | $9373.42      | 0.01%             | 2030-08-26      | Fixed         | 30.09%                | Yes           |                  3 | On Loan: No      |
| CBM5861782.UP.NBM                     | CBM5861782.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7150 | PA      | $7451.91      | 0.01%             | 2030-08-25      | Fixed         | 31.91%                | Yes           |                  3 | On Loan: No      |
| 341746462.UL.NBM                      | 341746462.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       361 | PA      | $357.84       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341746476.UL.NBM                      | 341746476.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        47 | PA      | $46.77        | 0.00%             | 2026-02-21      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342737152.UL.NBM                      | 342737152.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        66 | PA      | $65.71        | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342737696.UL.NBM                      | 342737696.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       537 | PA      | $503.80       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9936264.SQ.NBM                        | 9936264.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5164 | PA      | $4897.97      | 0.01%             | 2027-04-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9936323.SQ.NBM                        | 9936323.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5893 | PA      | $5580.23      | 0.01%             | 2027-04-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342430138.UL.NBM                      | 342430138.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3611 | PA      | $3553.16      | 0.00%             | 2027-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342431329.UL.NBM                      | 342431329.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       171 | PA      | $160.91       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| CBM5861813.UP.NBM                     | CBM5861813.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1547 | PA      | $1489.13      | 0.00%             | 2030-08-25      | Fixed         | 26.53%                | Yes           |                  3 | On Loan: No      |
| CBM5862045.UP.NBM                     | CBM5862045.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4014 | PA      | $4180.40      | 0.01%             | 2030-08-25      | Fixed         | 31.43%                | Yes           |                  3 | On Loan: No      |
| 343190879.UL.NBM                      | 343190879.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       128 | PA      | $127.63       | 0.00%             | 2026-02-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 343190921.UL.NBM                      | 343190921.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        59 | PA      | $58.65        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341747225.UL.NBM                      | 341747225.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       131 | PA      | $130.00       | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341747302.UL.NBM                      | 341747302.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        68 | PA      | $67.74        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341933947.UL.NBM                      | 341933947.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       312 | PA      | $308.48       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341934388.UL.NBM                      | 341934388.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        80 | PA      | $79.06        | 0.00%             | 2026-02-21      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 9936402.SQ.NBM                        | 9936402.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       598 | PA      | $559.28       | 0.00%             | 2027-04-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9936408.SQ.NBM                        | 9936408.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     71708 | PA      | $67905.31     | 0.09%             | 2027-04-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342738333.UL.NBM                      | 342738333.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       412 | PA      | $410.02       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342740785.UL.NBM                      | 342740785.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1760 | PA      | $1731.58      | 0.00%             | 2027-08-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341747361.UL.NBM                      | 341747361.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2036 | PA      | $1890.02      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341747509.UL.NBM                      | 341747509.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2967 | PA      | $2930.85      | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342864343.UL.NBM                      | 342864343.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       132 | PA      | $131.06       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342865062.UL.NBM                      | 342865062.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       655 | PA      | $608.30       | 0.00%             | 2026-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343190961.UL.NBM                      | 343190961.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       759 | PA      | $63.87        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9937097.SQ.NBM                        | 9937097.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     27224 | PA      | $25296.99     | 0.03%             | 2027-04-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9937403.SQ.NBM                        | 9937403.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     26020 | PA      | $24641.51     | 0.03%             | 2027-04-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341747756.UL.NBM                      | 341747756.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       421 | PA      | $416.88       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341751881.UL.NBM                      | 341751881.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1273 | PA      | $1177.33      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341934482.UL.NBM                      | 341934482.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       280 | PA      | $277.33       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341934553.UL.NBM                      | 341934553.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1340 | PA      | $1323.57      | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342898428.UL.NBM                      | 342898428.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2713 | PA      | $2522.70      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342898495.UL.NBM                      | 342898495.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       240 | PA      | $241.59       | 0.00%             | 2026-05-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342431562.UL.NBM                      | 342431562.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       629 | PA      | $598.59       | 0.00%             | 2026-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342432612.UL.NBM                      | 342432612.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       892 | PA      | $826.12       | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342740977.UL.NBM                      | 342740977.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        49 | PA      | $48.27        | 0.00%             | 2026-02-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342742136.UL.NBM                      | 342742136.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       227 | PA      | $225.93       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9937717.SQ.NBM                        | 9937717.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     65749 | PA      | $62331.34     | 0.09%             | 2027-04-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9941284.SQ.NBM                        | 9941284.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3224 | PA      | $3041.91      | 0.00%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5875338.UP.NBM                       | L5875338.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10901 | PA      | $10626.99     | 0.01%             | 2030-08-26      | Fixed         | 16.73%                | Yes           |                  3 | On Loan: No      |
| L5875349.UP.NBM                       | L5875349.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       907 | PA      | $850.42       | 0.00%             | 2028-08-26      | Fixed         | 19.33%                | Yes           |                  3 | On Loan: No      |
| CBM5862176.UP.NBM                     | CBM5862176.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6688 | PA      | $6731.34      | 0.01%             | 2030-08-25      | Fixed         | 29.43%                | Yes           |                  3 | On Loan: No      |
| CBM5862207.UP.NBM                     | CBM5862207.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2412 | PA      | $2382.06      | 0.00%             | 2030-08-25      | Fixed         | 24.80%                | Yes           |                  3 | On Loan: No      |
| 341752232.UL.NBM                      | 341752232.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       239 | PA      | $237.16       | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341752426.UL.NBM                      | 341752426.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       449 | PA      | $444.50       | 0.00%             | 2026-05-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342898504.UL.NBM                      | 342898504.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       598 | PA      | $592.30       | 0.00%             | 2026-05-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342898678.UL.NBM                      | 342898678.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        60 | PA      | $59.69        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342742875.UL.NBM                      | 342742875.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       123 | PA      | $122.33       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342743079.UL.NBM                      | 342743079.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       313 | PA      | $310.71       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341934621.UL.NBM                      | 341934621.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       536 | PA      | $497.91       | 0.00%             | 2026-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341934682.UL.NBM                      | 341934682.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       126 | PA      | $126.62       | 0.00%             | 2026-02-21      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 9941335.SQ.NBM                        | 9941335.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4163 | PA      | $3835.90      | 0.01%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9941400.SQ.NBM                        | 9941400.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2030 | PA      | $1931.68      | 0.00%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5875380.UP.NBM                       | L5875380.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2303 | PA      | $2195.84      | 0.00%             | 2030-08-26      | Fixed         | 19.86%                | Yes           |                  3 | On Loan: No      |
| L5875393.UP.NBM                       | L5875393.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11860 | PA      | $11596.80     | 0.02%             | 2030-08-26      | Fixed         | 24.15%                | Yes           |                  3 | On Loan: No      |
| 342898699.UL.NBM                      | 342898699.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1144 | PA      | $1062.68      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342899221.UL.NBM                      | 342899221.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       183 | PA      | $182.15       | 0.00%             | 2026-02-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341752606.UL.NBM                      | 341752606.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       269 | PA      | $268.28       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341752752.UL.NBM                      | 341752752.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        55 | PA      | $54.51        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9825165.SQ.NBM                        | 9825165.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3970 | PA      | $3676.32      | 0.01%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9825214.SQ.NBM                        | 9825214.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1247 | PA      | $1076.67      | 0.00%             | 2027-03-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9941436.SQ.NBM                        | 9941436.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5438 | PA      | $5185.77      | 0.01%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9941521.SQ.NBM                        | 9941521.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1628 | PA      | $1375.67      | 0.00%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5875501.UP.NBM                       | L5875501.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1100 | PA      | $17.27        | 0.00%             | 2030-08-26      | Fixed         | 23.56%                | Yes           |                  3 | On Loan: No      |
| L5875774.UP.NBM                       | L5875774.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2637 | PA      | $2553.76      | 0.00%             | 2028-08-26      | Fixed         | 14.64%                | Yes           |                  3 | On Loan: No      |
| 341934913.UL.NBM                      | 341934913.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        91 | PA      | $90.16        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341934948.UL.NBM                      | 341934948.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       753 | PA      | $743.90       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342899441.UL.NBM                      | 342899441.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1041 | PA      | $1027.64      | 0.00%             | 2027-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342899464.UL.NBM                      | 342899464.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       102 | PA      | $101.35       | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343067512.UL.NBM                      | 343067512.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       540 | PA      | $535.53       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343067647.UL.NBM                      | 343067647.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       249 | PA      | $247.96       | 0.00%             | 2026-02-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341752938.UL.NBM                      | 341752938.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        93 | PA      | $91.97        | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341753308.UL.NBM                      | 341753308.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       287 | PA      | $283.97       | 0.00%             | 2026-05-21      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 9941550.SQ.NBM                        | 9941550.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     26072 | PA      | $24605.24     | 0.03%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9942053.SQ.NBM                        | 9942053.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     28369 | PA      | $22419.12     | 0.03%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5875780.UP.NBM                       | L5875780.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     31847 | PA      | $30049.39     | 0.04%             | 2030-08-26      | Fixed         | 14.86%                | Yes           |                  3 | On Loan: No      |
| L5875849.UP.NBM                       | L5875849.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1436 | PA      | $1422.22      | 0.00%             | 2030-08-26      | Fixed         | 17.69%                | Yes           |                  3 | On Loan: No      |
| 342899546.UL.NBM                      | 342899546.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       860 | PA      | $850.28       | 0.00%             | 2026-07-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342899554.UL.NBM                      | 342899554.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        56 | PA      | $55.50        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341935842.UL.NBM                      | 341935842.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        70 | PA      | $69.66        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341935937.UL.NBM                      | 341935937.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       575 | PA      | $535.33       | 0.00%             | 2026-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342743136.UL.NBM                      | 342743136.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       643 | PA      | $639.23       | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342743528.UL.NBM                      | 342743528.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3308 | PA      | $3254.27      | 0.00%             | 2027-08-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341753589.UL.NBM                      | 341753589.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        49 | PA      | $48.68        | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341754808.UL.NBM                      | 341754808.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1179 | PA      | $1164.89      | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9942688.SQ.NBM                        | 9942688.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13061 | PA      | $12374.60     | 0.02%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9942971.SQ.NBM                        | 9942971.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7266 | PA      | $6876.69      | 0.01%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342900372.UL.NBM                      | 342900372.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1921 | PA      | $1791.61      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342900425.UL.NBM                      | 342900425.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       152 | PA      | $151.92       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342743599.UL.NBM                      | 342743599.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       356 | PA      | $354.30       | 0.00%             | 2026-05-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342743643.UL.NBM                      | 342743643.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       587 | PA      | $562.27       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343611357.UL.NBM                      | 343611357.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       767 | PA      | $770.91       | 0.00%             | 2026-05-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343617002.UL.NBM                      | 343617002.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       368 | PA      | $366.76       | 0.00%             | 2026-02-27      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341935944.UL.NBM                      | 341935944.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1343 | PA      | $1256.25      | 0.00%             | 2026-05-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341936030.UL.NBM                      | 341936030.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        74 | PA      | $73.45        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342434036.UL.NBM                      | 342434036.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       418 | PA      | $417.23       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342434156.UL.NBM                      | 342434156.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        34 | PA      | $33.71        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341936037.UL.NBM                      | 341936037.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       243 | PA      | $240.40       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341936420.UL.NBM                      | 341936420.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1632 | PA      | $1513.49      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343067800.UL.NBM                      | 343067800.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       722 | PA      | $665.86       | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343068076.UL.NBM                      | 343068076.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       305 | PA      | $303.20       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341544532.UL.NBM                      | 341544532.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       746 | PA      | $740.90       | 0.00%             | 2026-07-20      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 341544559.UL.NBM                      | 341544559.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       335 | PA      | $331.86       | 0.00%             | 2026-05-20      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342900554.UL.NBM                      | 342900554.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        80 | PA      | $79.92        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342900612.UL.NBM                      | 342900612.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1736 | PA      | $1581.12      | 0.00%             | 2027-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342435854.UL.NBM                      | 342435854.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       555 | PA      | $552.35       | 0.00%             | 2026-05-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342436259.UL.NBM                      | 342436259.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       238 | PA      | $225.01       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342743814.UL.NBM                      | 342743814.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1226 | PA      | $1141.18      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342744029.UL.NBM                      | 342744029.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       155 | PA      | $155.21       | 0.00%             | 2026-02-24      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| CBM5862225.UP.NBM                     | CBM5862225.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7459 | PA      | $7441.11      | 0.01%             | 2030-08-25      | Fixed         | 28.84%                | Yes           |                  3 | On Loan: No      |
| CBM5862289.UP.NBM                     | CBM5862289.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2029 | PA      | $1996.69      | 0.00%             | 2028-08-25      | Fixed         | 24.41%                | Yes           |                  3 | On Loan: No      |
| 341754870.UL.NBM                      | 341754870.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       179 | PA      | $177.67       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341754994.UL.NBM                      | 341754994.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       280 | PA      | $278.16       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341936524.UL.NBM                      | 341936524.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        83 | PA      | $82.48        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341936660.UL.NBM                      | 341936660.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       304 | PA      | $302.26       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343068176.UL.NBM                      | 343068176.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       186 | PA      | $184.26       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343068644.UL.NBM                      | 343068644.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        62 | PA      | $61.41        | 0.00%             | 2026-02-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| DRB5875376.UP.NBM                     | DRB5875376.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2979 | PA      | $279.38       | 0.00%             | 2030-08-26      | Fixed         | 29.39%                | Yes           |                  3 | On Loan: No      |
| DRB5875391.UP.NBM                     | DRB5875391.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1066 | PA      | $1071.26      | 0.00%             | 2030-08-26      | Fixed         | 29.29%                | Yes           |                  3 | On Loan: No      |
| 342744194.UL.NBM                      | 342744194.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       148 | PA      | $147.34       | 0.00%             | 2026-02-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342744503.UL.NBM                      | 342744503.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       500 | PA      | $461.69       | 0.00%             | 2026-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341971020.UL.NBM                      | 341971020.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       197 | PA      | $194.89       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341971083.UL.NBM                      | 341971083.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       918 | PA      | $912.12       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5875891.UP.NBM                       | L5875891.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     33357 | PA      | $32761.08     | 0.05%             | 2030-08-26      | Fixed         | 21.88%                | Yes           |                  3 | On Loan: No      |
| L5875907.UP.NBM                       | L5875907.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6593 | PA      | $6329.26      | 0.01%             | 2030-08-26      | Fixed         | 22.62%                | Yes           |                  3 | On Loan: No      |
| CBM5862326.UP.NBM                     | CBM5862326.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4858 | PA      | $5092.92      | 0.01%             | 2030-08-25      | Fixed         | 32.15%                | Yes           |                  3 | On Loan: No      |
| CBM5862487.UP.NBM                     | CBM5862487.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     22940 | PA      | $22879.34     | 0.03%             | 2028-08-25      | Fixed         | 30.83%                | Yes           |                  3 | On Loan: No      |
| 343068680.UL.NBM                      | 343068680.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2066 | PA      | $2044.52      | 0.00%             | 2026-07-25      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343068781.UL.NBM                      | 343068781.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       371 | PA      | $367.65       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342900826.UL.NBM                      | 342900826.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       258 | PA      | $256.38       | 0.00%             | 2026-02-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342901200.UL.NBM                      | 342901200.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        92 | PA      | $91.26        | 0.00%             | 2026-07-24      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 341936713.UL.NBM                      | 341936713.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       176 | PA      | $174.91       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341937367.UL.NBM                      | 341937367.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        73 | PA      | $71.32        | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9943230.SQ.NBM                        | 9943230.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12900 | PA      | $12159.24     | 0.02%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9943456.SQ.NBM                        | 9943456.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17262 | PA      | $14773.03     | 0.02%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342745721.UL.NBM                      | 342745721.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       575 | PA      | $569.87       | 0.00%             | 2026-05-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342745830.UL.NBM                      | 342745830.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        93 | PA      | $92.43        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5863091.UP.NBM                     | CBM5863091.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8074 | PA      | $8076.08      | 0.01%             | 2030-08-25      | Fixed         | 28.59%                | Yes           |                  3 | On Loan: No      |
| CBM5863268.UP.NBM                     | CBM5863268.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4442 | PA      | $4564.43      | 0.01%             | 2030-08-25      | Fixed         | 31.18%                | Yes           |                  3 | On Loan: No      |
| 341971122.UL.NBM                      | 341971122.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        48 | PA      | $47.95        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341971298.UL.NBM                      | 341971298.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       529 | PA      | $525.08       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343069018.UL.NBM                      | 343069018.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        47 | PA      | $46.27        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343079211.UL.NBM                      | 343079211.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       181 | PA      | $179.73       | 0.00%             | 2026-05-25      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 9944600.SQ.NBM                        | 9944600.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3906 | PA      | $3635.47      | 0.01%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9944630.SQ.NBM                        | 9944630.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9785 | PA      | $9272.27      | 0.01%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342745963.UL.NBM                      | 342745963.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       190 | PA      | $-23.30       | -0.00%            | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342832662.UL.NBM                      | 342832662.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       219 | PA      | $217.18       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5863669.UP.NBM                     | CBM5863669.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     33505 | PA      | $34837.65     | 0.05%             | 2030-08-25      | Fixed         | 31.60%                | Yes           |                  3 | On Loan: No      |
| CBM5863999.UP.NBM                     | CBM5863999.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4232 | PA      | $4397.76      | 0.01%             | 2030-08-25      | Fixed         | 31.69%                | Yes           |                  3 | On Loan: No      |
| 341971335.UL.NBM                      | 341971335.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       151 | PA      | $145.34       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341971419.UL.NBM                      | 341971419.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       601 | PA      | $570.41       | 0.00%             | 2026-05-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5867156.UP.NBM                       | L5867156.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2213 | PA      | $1986.01      | 0.00%             | 2030-08-25      | Fixed         | 22.05%                | Yes           |                  3 | On Loan: No      |
| L5867173.UP.NBM                       | L5867173.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8650 | PA      | $8427.25      | 0.01%             | 2028-08-25      | Fixed         | 23.18%                | Yes           |                  3 | On Loan: No      |
| 343624835.UL.NBM                      | 343624835.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       850 | PA      | $836.98       | 0.00%             | 2026-02-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343669236.UL.NBM                      | 343669236.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       768 | PA      | $764.91       | 0.00%             | 2026-02-28      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341937383.UL.NBM                      | 341937383.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       277 | PA      | $275.15       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341954483.UL.NBM                      | 341954483.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       205 | PA      | $203.78       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9944706.SQ.NBM                        | 9944706.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2569 | PA      | $2385.44      | 0.00%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9944753.SQ.NBM                        | 9944753.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13139 | PA      | $12331.40     | 0.02%             | 2027-04-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| CBM5864099.UP.NBM                     | CBM5864099.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4106 | PA      | $3985.88      | 0.01%             | 2028-08-25      | Fixed         | 23.01%                | Yes           |                  3 | On Loan: No      |
| CBM5874471.UP.NBM                     | CBM5874471.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5200 | PA      | $4983.03      | 0.01%             | 2028-08-26      | Fixed         | 16.85%                | Yes           |                  3 | On Loan: No      |
| 341971700.UL.NBM                      | 341971700.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       277 | PA      | $274.64       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341971783.UL.NBM                      | 341971783.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       431 | PA      | $428.83       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343079273.UL.NBM                      | 343079273.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        60 | PA      | $59.26        | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343079288.UL.NBM                      | 343079288.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1174 | PA      | $1084.53      | 0.00%             | 2026-07-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342833883.UL.NBM                      | 342833883.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       376 | PA      | $372.57       | 0.00%             | 2026-05-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342833978.UL.NBM                      | 342833978.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       204 | PA      | $202.98       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341954486.UL.NBM                      | 341954486.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       227 | PA      | $50.08        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341954679.UL.NBM                      | 341954679.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       337 | PA      | $333.78       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5874557.UP.NBM                     | CBM5874557.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1400 | PA      | $9.51         | 0.00%             | 2028-08-26      | Fixed         | 26.88%                | Yes           |                  3 | On Loan: No      |
| CBM5874587.UP.NBM                     | CBM5874587.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4947 | PA      | $5031.01      | 0.01%             | 2030-08-26      | Fixed         | 30.29%                | Yes           |                  3 | On Loan: No      |
| 10195073.SQ.NBM                       | 10195073.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2208 | PA      | $2057.10      | 0.00%             | 2027-06-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10195140.SQ.NBM                       | 10195140.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16236 | PA      | $15222.01     | 0.02%             | 2027-06-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342834662.UL.NBM                      | 342834662.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       452 | PA      | $447.97       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342835328.UL.NBM                      | 342835328.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       319 | PA      | $317.85       | 0.00%             | 2026-05-24      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343079709.UL.NBM                      | 343079709.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       338 | PA      | $336.55       | 0.00%             | 2026-05-25      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343080040.UL.NBM                      | 343080040.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       247 | PA      | $234.06       | 0.00%             | 2026-02-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341972359.UL.NBM                      | 341972359.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $66.69        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341972370.UL.NBM                      | 341972370.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       541 | PA      | $536.09       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341955259.UL.NBM                      | 341955259.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       484 | PA      | $463.24       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341955266.UL.NBM                      | 341955266.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       145 | PA      | $144.70       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5874733.UP.NBM                     | CBM5874733.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2034 | PA      | $2027.13      | 0.00%             | 2030-08-26      | Fixed         | 28.74%                | Yes           |                  3 | On Loan: No      |
| CBM5874804.UP.NBM                     | CBM5874804.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1568 | PA      | $1480.14      | 0.00%             | 2028-08-26      | Fixed         | 25.28%                | Yes           |                  3 | On Loan: No      |
| 343669708.UL.NBM                      | 343669708.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       301 | PA      | $299.08       | 0.00%             | 2026-05-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343671838.UL.NBM                      | 343671838.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        77 | PA      | $76.84        | 0.00%             | 2026-02-27      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342835678.UL.NBM                      | 342835678.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       315 | PA      | $312.27       | 0.00%             | 2026-05-24      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342836388.UL.NBM                      | 342836388.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        48 | PA      | $47.77        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342436546.UL.NBM                      | 342436546.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1121 | PA      | $1041.21      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342436721.UL.NBM                      | 342436721.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       105 | PA      | $104.83       | 0.00%             | 2026-02-23      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341972375.UL.NBM                      | 341972375.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1329 | PA      | $1338.23      | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341972592.UL.NBM                      | 341972592.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        60 | PA      | $59.54        | 0.00%             | 2026-02-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 10196267.SQ.NBM                       | 10196267.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4613 | PA      | $4323.20      | 0.01%             | 2027-06-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10196469.SQ.NBM                       | 10196469.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       758 | PA      | $709.93       | 0.00%             | 2027-06-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342836615.UL.NBM                      | 342836615.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        62 | PA      | $61.32        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342836768.UL.NBM                      | 342836768.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       191 | PA      | $189.64       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343080256.UL.NBM                      | 343080256.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       137 | PA      | $136.20       | 0.00%             | 2026-02-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343080333.UL.NBM                      | 343080333.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       395 | PA      | $391.15       | 0.00%             | 2026-05-25      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9964250.SQ.NBM                        | 9964250.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1487 | PA      | $1115.51      | 0.00%             | 2027-04-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9964285.SQ.NBM                        | 9964285.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10054 | PA      | $9424.49      | 0.01%             | 2027-04-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341972623.UL.NBM                      | 341972623.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       741 | PA      | $732.76       | 0.00%             | 2026-07-22      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341972703.UL.NBM                      | 341972703.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        91 | PA      | $90.51        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342836820.UL.NBM                      | 342836820.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       135 | PA      | $134.38       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342836940.UL.NBM                      | 342836940.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       278 | PA      | $274.92       | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5874923.UP.NBM                     | CBM5874923.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4072 | PA      | $291.50       | 0.00%             | 2030-08-26      | Fixed         | 29.95%                | Yes           |                  3 | On Loan: No      |
| CBM5874972.UP.NBM                     | CBM5874972.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2035 | PA      | $2027.97      | 0.00%             | 2030-08-26      | Fixed         | 28.73%                | Yes           |                  3 | On Loan: No      |
| 341972719.UL.NBM                      | 341972719.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        95 | PA      | $94.53        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341972753.UL.NBM                      | 341972753.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       208 | PA      | $86.82        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5867194.UP.NBM                       | L5867194.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2190 | PA      | $2014.45      | 0.00%             | 2030-08-25      | Fixed         | 13.27%                | Yes           |                  3 | On Loan: No      |
| L5867199.UP.NBM                       | L5867199.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2907 | PA      | $2756.82      | 0.00%             | 2028-08-25      | Fixed         | 16.00%                | Yes           |                  3 | On Loan: No      |
| L5875940.UP.NBM                       | L5875940.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2787 | PA      | $2918.53      | 0.00%             | 2030-08-26      | Fixed         | 21.12%                | Yes           |                  3 | On Loan: No      |
| L5875993.UP.NBM                       | L5875993.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       959 | PA      | $973.23       | 0.00%             | 2030-08-26      | Fixed         | 19.18%                | Yes           |                  3 | On Loan: No      |
| 343080384.UL.NBM                      | 343080384.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2754 | PA      | $2722.35      | 0.00%             | 2026-07-25      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 343174395.UL.NBM                      | 343174395.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        57 | PA      | $56.67        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9964896.SQ.NBM                        | 9964896.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1734 | PA      | $1644.81      | 0.00%             | 2027-04-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9964977.SQ.NBM                        | 9964977.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1802 | PA      | $1352.13      | 0.00%             | 2027-04-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343673036.UL.NBM                      | 343673036.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       952 | PA      | $942.01       | 0.00%             | 2026-07-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343686933.UL.NBM                      | 343686933.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       139 | PA      | $138.64       | 0.00%             | 2026-02-27      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342437968.UL.NBM                      | 342437968.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       228 | PA      | $225.80       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342438340.UL.NBM                      | 342438340.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       982 | PA      | $908.98       | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343174554.UL.NBM                      | 343174554.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       797 | PA      | $787.90       | 0.00%             | 2026-07-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343174881.UL.NBM                      | 343174881.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       115 | PA      | $114.97       | 0.00%             | 2026-02-26      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 341955326.UL.NBM                      | 341955326.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       898 | PA      | $892.76       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341955444.UL.NBM                      | 341955444.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4367 | PA      | $4023.77      | 0.01%             | 2027-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5875995.UP.NBM                       | L5875995.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5654 | PA      | $5688.22      | 0.01%             | 2030-08-26      | Fixed         | 18.64%                | Yes           |                  3 | On Loan: No      |
| L5876018.UP.NBM                       | L5876018.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2090 | PA      | $2015.32      | 0.00%             | 2028-08-26      | Fixed         | 14.23%                | Yes           |                  3 | On Loan: No      |
| 342837291.UL.NBM                      | 342837291.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        82 | PA      | $81.89        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342837771.UL.NBM                      | 342837771.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       182 | PA      | $181.37       | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9965013.SQ.NBM                        | 9965013.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6344 | PA      | $5842.81      | 0.01%             | 2027-04-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9965257.SQ.NBM                        | 9965257.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6022 | PA      | $5694.87      | 0.01%             | 2027-04-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341955533.UL.NBM                      | 341955533.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       857 | PA      | $852.45       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341959903.UL.NBM                      | 341959903.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       420 | PA      | $402.05       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343698487.UL.NBM                      | 343698487.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       940 | PA      | $930.14       | 0.00%             | 2026-07-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343703057.UL.NBM                      | 343703057.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1414 | PA      | $1392.03      | 0.00%             | 2027-02-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343174948.UL.NBM                      | 343174948.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        93 | PA      | $92.06        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9965467.SQ.NBM                        | 9965467.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1966 | PA      | $1852.19      | 0.00%             | 2027-04-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9965538.SQ.NBM                        | 9965538.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19130 | PA      | $18114.66     | 0.02%             | 2027-04-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342438553.UL.NBM                      | 342438553.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       330 | PA      | $327.44       | 0.00%             | 2026-05-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342441283.UL.NBM                      | 342441283.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       328 | PA      | $324.07       | 0.00%             | 2026-05-31      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5867228.UP.NBM                       | L5867228.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8942 | PA      | $8853.35      | 0.01%             | 2028-08-25      | Fixed         | 24.75%                | Yes           |                  3 | On Loan: No      |
| L5867238.UP.NBM                       | L5867238.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4123 | PA      | $4175.95      | 0.01%             | 2030-08-25      | Fixed         | 19.07%                | Yes           |                  3 | On Loan: No      |
| 341959936.UL.NBM                      | 341959936.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       352 | PA      | $348.29       | 0.00%             | 2026-05-22      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 341960080.UL.NBM                      | 341960080.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1081 | PA      | $1003.64      | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5876026.UP.NBM                       | L5876026.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1549 | PA      | $1471.88      | 0.00%             | 2028-08-26      | Fixed         | 16.05%                | Yes           |                  3 | On Loan: No      |
| L5876053.UP.NBM                       | L5876053.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9600 | PA      | $9883.76      | 0.01%             | 2030-08-26      | Fixed         | 20.07%                | Yes           |                  3 | On Loan: No      |
| 343714912.UL.NBM                      | 343714912.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1983 | PA      | $1955.24      | 0.00%             | 2027-08-27      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 343727379.UL.NBM                      | 343727379.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2197 | PA      | $2177.36      | 0.00%             | 2026-05-27      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342441393.UL.NBM                      | 342441393.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       899 | PA      | $894.55       | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342441791.UL.NBM                      | 342441791.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       998 | PA      | $921.70       | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342801691.UL.NBM                      | 342801691.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        76 | PA      | $75.22        | 0.00%             | 2026-02-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342801716.UL.NBM                      | 342801716.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       203 | PA      | $201.99       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9965828.SQ.NBM                        | 9965828.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8818 | PA      | $8273.42      | 0.01%             | 2027-04-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9965984.SQ.NBM                        | 9965984.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5290 | PA      | $5021.66      | 0.01%             | 2027-04-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342801881.UL.NBM                      | 342801881.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       944 | PA      | $932.91       | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342802027.UL.NBM                      | 342802027.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       981 | PA      | $975.51       | 0.00%             | 2026-07-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341960270.UL.NBM                      | 341960270.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        94 | PA      | $93.31        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341960513.UL.NBM                      | 341960513.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1206 | PA      | $1129.63      | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343728707.UL.NBM                      | 343728707.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4867 | PA      | $4813.86      | 0.01%             | 2026-07-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343738010.UL.NBM                      | 343738010.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       546 | PA      | $548.67       | 0.00%             | 2026-05-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342442407.UL.NBM                      | 342442407.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        37 | PA      | $36.49        | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342443767.UL.NBM                      | 342443767.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        79 | PA      | $78.73        | 0.00%             | 2026-02-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 9966054.SQ.NBM                        | 9966054.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1162 | PA      | $1100.10      | 0.00%             | 2027-04-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9966060.SQ.NBM                        | 9966060.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3215 | PA      | $3116.71      | 0.00%             | 2027-04-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342838496.UL.NBM                      | 342838496.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5759 | PA      | $5680.03      | 0.01%             | 2027-02-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342838784.UL.NBM                      | 342838784.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1164 | PA      | $1075.88      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342802087.UL.NBM                      | 342802087.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       429 | PA      | $409.81       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342802799.UL.NBM                      | 342802799.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4036 | PA      | $3976.02      | 0.01%             | 2027-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343751522.UL.NBM                      | 343751522.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2535 | PA      | $2496.58      | 0.00%             | 2027-08-27      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343753580.UL.NBM                      | 343753580.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       620 | PA      | $128.75       | 0.00%             | 2026-02-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10196501.SQ.NBM                       | 10196501.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3198 | PA      | $2903.56      | 0.00%             | 2027-06-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10196638.SQ.NBM                       | 10196638.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8124 | PA      | $7618.46      | 0.01%             | 2027-06-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341960725.UL.NBM                      | 341960725.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       287 | PA      | $284.63       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341961284.UL.NBM                      | 341961284.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       293 | PA      | $292.52       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9966145.SQ.NBM                        | 9966145.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3063 | PA      | $2893.81      | 0.00%             | 2027-04-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9966188.SQ.NBM                        | 9966188.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6368 | PA      | $6034.17      | 0.01%             | 2027-04-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342802828.UL.NBM                      | 342802828.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       172 | PA      | $170.50       | 0.00%             | 2026-05-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342803199.UL.NBM                      | 342803199.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       999 | PA      | $988.04       | 0.00%             | 2026-07-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342838984.UL.NBM                      | 342838984.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       319 | PA      | $315.38       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342839070.UL.NBM                      | 342839070.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       561 | PA      | $535.67       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343755609.UL.NBM                      | 343755609.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       681 | PA      | $675.93       | 0.00%             | 2026-07-27      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343760394.UL.NBM                      | 343760394.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       959 | PA      | $948.89       | 0.00%             | 2026-07-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342444283.UL.NBM                      | 342444283.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       345 | PA      | $343.85       | 0.00%             | 2026-05-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342444478.UL.NBM                      | 342444478.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       610 | PA      | $607.54       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341961314.UL.NBM                      | 341961314.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        86 | PA      | $85.66        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341961379.UL.NBM                      | 341961379.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1010 | PA      | $1013.35      | 0.00%             | 2026-07-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342803504.UL.NBM                      | 342803504.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        92 | PA      | $91.04        | 0.00%             | 2026-02-24      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342803663.UL.NBM                      | 342803663.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       673 | PA      | $645.26       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9966292.SQ.NBM                        | 9966292.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       631 | PA      | $600.98       | 0.00%             | 2027-04-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9966302.SQ.NBM                        | 9966302.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4821 | PA      | $4549.93      | 0.01%             | 2027-04-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342839256.UL.NBM                      | 342839256.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        33 | PA      | $32.63        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342839459.UL.NBM                      | 342839459.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       174 | PA      | $172.67       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342444712.UL.NBM                      | 342444712.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2124 | PA      | $2091.94      | 0.00%             | 2027-08-23      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 342444767.UL.NBM                      | 342444767.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        40 | PA      | $39.83        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342804102.UL.NBM                      | 342804102.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        29 | PA      | $29.07        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342844515.UL.NBM                      | 342844515.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1241 | PA      | $1227.82      | 0.00%             | 2026-07-24      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 9966375.SQ.NBM                        | 9966375.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     27002 | PA      | $25375.12     | 0.03%             | 2027-04-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9966707.SQ.NBM                        | 9966707.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     87839 | PA      | $82521.32     | 0.11%             | 2027-04-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342839693.UL.NBM                      | 342839693.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       414 | PA      | $410.51       | 0.00%             | 2026-05-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342839782.UL.NBM                      | 342839782.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       113 | PA      | $112.87       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341961401.UL.NBM                      | 341961401.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        80 | PA      | $77.82        | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341961587.UL.NBM                      | 341961587.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       318 | PA      | $316.15       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10196840.SQ.NBM                       | 10196840.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6079 | PA      | $5599.25      | 0.01%             | 2027-06-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10196988.SQ.NBM                       | 10196988.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9896 | PA      | $9005.11      | 0.01%             | 2027-06-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342445934.UL.NBM                      | 342445934.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       431 | PA      | $189.75       | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342446099.UL.NBM                      | 342446099.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3349 | PA      | $3291.04      | 0.00%             | 2027-08-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9967678.SQ.NBM                        | 9967678.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     27448 | PA      | $25796.70     | 0.04%             | 2027-04-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9967846.SQ.NBM                        | 9967846.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     27268 | PA      | $25819.82     | 0.04%             | 2027-04-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343184032.UL.NBM                      | 343184032.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       186 | PA      | $185.38       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343184109.UL.NBM                      | 343184109.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        51 | PA      | $50.27        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343763659.UL.NBM                      | 343763659.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       101 | PA      | $100.08       | 0.00%             | 2026-02-27      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343770444.UL.NBM                      | 343770444.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       260 | PA      | $257.39       | 0.00%             | 2026-05-27      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341961665.UL.NBM                      | 341961665.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       543 | PA      | $539.81       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341972808.UL.NBM                      | 341972808.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        53 | PA      | $52.45        | 0.00%             | 2026-02-22      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342844731.UL.NBM                      | 342844731.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       442 | PA      | $437.84       | 0.00%             | 2026-05-24      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342844898.UL.NBM                      | 342844898.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1026 | PA      | $1015.21      | 0.00%             | 2026-07-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 10197448.SQ.NBM                       | 10197448.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2129 | PA      | $1981.88      | 0.00%             | 2027-06-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10197530.SQ.NBM                       | 10197530.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10750 | PA      | $10079.02     | 0.01%             | 2027-06-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343184135.UL.NBM                      | 343184135.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       960 | PA      | $949.57       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343204305.UL.NBM                      | 343204305.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       104 | PA      | $103.84       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9968048.SQ.NBM                        | 9968048.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15896 | PA      | $13488.43     | 0.02%             | 2027-04-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9971674.SQ.NBM                        | 9971674.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4954 | PA      | $4663.92      | 0.01%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341972821.UL.NBM                      | 341972821.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       282 | PA      | $279.14       | 0.00%             | 2026-05-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341972899.UL.NBM                      | 341972899.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3174 | PA      | $3127.33      | 0.00%             | 2027-02-22      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| L5876131.UP.NBM                       | L5876131.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1714 | PA      | $1610.47      | 0.00%             | 2028-08-26      | Fixed         | 15.17%                | Yes           |                  3 | On Loan: No      |
| L5876165.UP.NBM                       | L5876165.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1808 | PA      | $1729.89      | 0.00%             | 2030-08-26      | Fixed         | 15.66%                | Yes           |                  3 | On Loan: No      |
| 342446213.UL.NBM                      | 342446213.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       119 | PA      | $118.60       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342447091.UL.NBM                      | 342447091.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1224 | PA      | $1132.02      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343204338.UL.NBM                      | 343204338.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       226 | PA      | $213.15       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343204373.UL.NBM                      | 343204373.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       930 | PA      | $920.28       | 0.00%             | 2026-07-26      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 10197911.SQ.NBM                       | 10197911.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7038 | PA      | $6601.27      | 0.01%             | 2027-06-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10198098.SQ.NBM                       | 10198098.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       995 | PA      | $909.28       | 0.00%             | 2027-06-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9971761.SQ.NBM                        | 9971761.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3375 | PA      | $3146.53      | 0.00%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9971859.SQ.NBM                        | 9971859.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     27945 | PA      | $26305.72     | 0.04%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341973243.UL.NBM                      | 341973243.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       442 | PA      | $439.15       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341973269.UL.NBM                      | 341973269.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1731 | PA      | $1613.71      | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342447101.UL.NBM                      | 342447101.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1474 | PA      | $1451.32      | 0.00%             | 2027-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342447105.UL.NBM                      | 342447105.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        80 | PA      | $80.01        | 0.00%             | 2026-02-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| L5876168.UP.NBM                       | L5876168.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1149 | PA      | $1139.99      | 0.00%             | 2030-08-26      | Fixed         | 17.80%                | Yes           |                  3 | On Loan: No      |
| L5876186.UP.NBM                       | L5876186.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7975 | PA      | $7722.00      | 0.01%             | 2030-08-26      | Fixed         | 20.99%                | Yes           |                  3 | On Loan: No      |
| 343204425.UL.NBM                      | 343204425.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $66.67        | 0.00%             | 2026-02-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343556584.UL.NBM                      | 343556584.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       251 | PA      | $250.06       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9972498.SQ.NBM                        | 9972498.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2641 | PA      | $2486.63      | 0.00%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9972611.SQ.NBM                        | 9972611.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1832 | PA      | $1734.99      | 0.00%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341973365.UL.NBM                      | 341973365.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        64 | PA      | $63.14        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341973368.UL.NBM                      | 341973368.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       165 | PA      | $160.11       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342447159.UL.NBM                      | 342447159.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       276 | PA      | $273.65       | 0.00%             | 2026-05-23      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342447324.UL.NBM                      | 342447324.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       775 | PA      | $766.36       | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10198152.SQ.NBM                       | 10198152.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1195 | PA      | $1120.27      | 0.00%             | 2027-06-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10198259.SQ.NBM                       | 10198259.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8767 | PA      | $8219.13      | 0.01%             | 2027-06-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5876220.UP.NBM                       | L5876220.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4483 | PA      | $1018.83      | 0.00%             | 2030-08-26      | Fixed         | 19.16%                | Yes           |                  3 | On Loan: No      |
| DRB5875454.UP.NBM                     | DRB5875454.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2509 | PA      | $2408.74      | 0.00%             | 2030-08-26      | Fixed         | 11.20%                | Yes           |                  3 | On Loan: No      |
| DRB5875461.UP.NBM                     | DRB5875461.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       920 | PA      | $895.21       | 0.00%             | 2028-08-26      | Fixed         | 23.18%                | Yes           |                  3 | On Loan: No      |
| 341973414.UL.NBM                      | 341973414.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       207 | PA      | $204.61       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341973482.UL.NBM                      | 341973482.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1970 | PA      | $1946.44      | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342449333.UL.NBM                      | 342449333.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       198 | PA      | $195.62       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342449569.UL.NBM                      | 342449569.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       389 | PA      | $370.50       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341544997.UL.NBM                      | 341544997.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       892 | PA      | $887.45       | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341545777.UL.NBM                      | 341545777.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       590 | PA      | $115.52       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9972657.SQ.NBM                        | 9972657.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6069 | PA      | $5699.30      | 0.01%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9972806.SQ.NBM                        | 9972806.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16381 | PA      | $15531.87     | 0.02%             | 2027-04-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10198549.SQ.NBM                       | 10198549.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2572 | PA      | $2369.59      | 0.00%             | 2027-06-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10200914.SQ.NBM                       | 10200914.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     38090 | PA      | $34760.24     | 0.05%             | 2027-06-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5867249.UP.NBM                       | L5867249.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5202 | PA      | $5005.59      | 0.01%             | 2030-08-25      | Fixed         | 23.17%                | Yes           |                  3 | On Loan: No      |
| L5867278.UP.NBM                       | L5867278.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       950 | PA      | $915.50       | 0.00%             | 2030-08-25      | Fixed         | 11.43%                | Yes           |                  3 | On Loan: No      |
| 10039713.SQ.NBM                       | 10039713.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9746 | PA      | $8935.87      | 0.01%             | 2027-05-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10039975.SQ.NBM                       | 10039975.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7282 | PA      | $6595.92      | 0.01%             | 2027-05-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342449810.UL.NBM                      | 342449810.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       103 | PA      | $101.99       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342449937.UL.NBM                      | 342449937.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        56 | PA      | $56.16        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9794226.SQ.NBM                        | 9794226.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17314 | PA      | $14691.80     | 0.02%             | 2027-03-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9794352.SQ.NBM                        | 9794352.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7859 | PA      | $7441.01      | 0.01%             | 2027-03-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10202323.SQ.NBM                       | 10202323.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4836 | PA      | $4533.51      | 0.01%             | 2027-06-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10202485.SQ.NBM                       | 10202485.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8007 | PA      | $7507.32      | 0.01%             | 2027-06-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5875462.UP.NBM                     | DRB5875462.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4814 | PA      | $4678.84      | 0.01%             | 2028-08-26      | Fixed         | 28.18%                | Yes           |                  3 | On Loan: No      |
| DRB5875476.UP.NBM                     | DRB5875476.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6708 | PA      | $6256.12      | 0.01%             | 2030-08-26      | Fixed         | 18.50%                | Yes           |                  3 | On Loan: No      |
| 341973494.UL.NBM                      | 341973494.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       338 | PA      | $334.19       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341973506.UL.NBM                      | 341973506.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       795 | PA      | $731.45       | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10040079.SQ.NBM                       | 10040079.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1904 | PA      | $1760.38      | 0.00%             | 2027-05-06      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343175331.UL.NBM                      | 343175331.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       686 | PA      | $678.80       | 0.00%             | 2026-07-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 9959082.SQ.NBM                        | 9959082.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12713 | PA      | $12039.70     | 0.02%             | 2027-04-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9959393.SQ.NBM                        | 9959393.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7730 | PA      | $7162.42      | 0.01%             | 2027-04-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10202843.SQ.NBM                       | 10202843.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9393 | PA      | $8806.63      | 0.01%             | 2027-06-12      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10203256.SQ.NBM                       | 10203256.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5715 | PA      | $5356.24      | 0.01%             | 2027-06-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9794417.SQ.NBM                        | 9794417.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8338 | PA      | $7942.94      | 0.01%             | 2027-03-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9794485.SQ.NBM                        | 9794485.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3906 | PA      | $3596.34      | 0.00%             | 2027-03-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341973577.UL.NBM                      | 341973577.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       283 | PA      | $269.17       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341973818.UL.NBM                      | 341973818.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       167 | PA      | $157.15       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342510516.UL.NBM                      | 342510516.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       395 | PA      | $163.74       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342510979.UL.NBM                      | 342510979.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       137 | PA      | $131.91       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343175879.UL.NBM                      | 343175879.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       265 | PA      | $262.72       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343175911.UL.NBM                      | 343175911.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       283 | PA      | $43.25        | 0.00%             | 2035-11-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10203369.SQ.NBM                       | 10203369.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6902 | PA      | $6315.05      | 0.01%             | 2027-06-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10203491.SQ.NBM                       | 10203491.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5219 | PA      | $4839.05      | 0.01%             | 2027-06-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5875687.UP.NBM                     | DRB5875687.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7031 | PA      | $7048.73      | 0.01%             | 2030-08-26      | Fixed         | 23.04%                | Yes           |                  3 | On Loan: No      |
| DRB5875707.UP.NBM                     | DRB5875707.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2618 | PA      | $2652.26      | 0.00%             | 2030-08-26      | Fixed         | 29.83%                | Yes           |                  3 | On Loan: No      |
| 342511165.UL.NBM                      | 342511165.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       155 | PA      | $153.51       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342511271.UL.NBM                      | 342511271.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        85 | PA      | $84.60        | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343175978.UL.NBM                      | 343175978.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       146 | PA      | $140.43       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343175992.UL.NBM                      | 343175992.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       211 | PA      | $209.34       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10203593.SQ.NBM                       | 10203593.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1562 | PA      | $1438.17      | 0.00%             | 2027-06-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10203630.SQ.NBM                       | 10203630.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5138 | PA      | $4815.96      | 0.01%             | 2027-06-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341974255.UL.NBM                      | 341974255.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       185 | PA      | $184.17       | 0.00%             | 2026-02-22      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 341974303.UL.NBM                      | 341974303.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       166 | PA      | $164.78       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9794525.SQ.NBM                        | 9794525.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3728 | PA      | $3385.12      | 0.00%             | 2027-03-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9794557.SQ.NBM                        | 9794557.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1064 | PA      | $654.97       | 0.00%             | 2027-03-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342511987.UL.NBM                      | 342511987.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1010 | PA      | $1000.92      | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342512243.UL.NBM                      | 342512243.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7067 | PA      | $6992.90      | 0.01%             | 2027-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343176000.UL.NBM                      | 343176000.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2389 | PA      | $2182.37      | 0.00%             | 2027-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343176027.UL.NBM                      | 343176027.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       212 | PA      | $210.47       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5875712.UP.NBM                     | DRB5875712.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1061 | PA      | $1041.96      | 0.00%             | 2030-08-26      | Fixed         | 24.42%                | Yes           |                  3 | On Loan: No      |
| DRB5875733.UP.NBM                     | DRB5875733.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2150 | PA      | $2077.28      | 0.00%             | 2030-08-26      | Fixed         | 26.91%                | Yes           |                  3 | On Loan: No      |
| 341974469.UL.NBM                      | 341974469.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       159 | PA      | $158.63       | 0.00%             | 2026-02-22      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858075.UP.NBM                     | DRB5858075.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1110 | PA      | $1072.54      | 0.00%             | 2028-08-22      | Fixed         | 27.76%                | Yes           |                  3 | On Loan: No      |
| 9794568.SQ.NBM                        | 9794568.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3785 | PA      | $3652.90      | 0.01%             | 2027-03-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9794731.SQ.NBM                        | 9794731.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12497 | PA      | $11627.40     | 0.02%             | 2027-03-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10203760.SQ.NBM                       | 10203760.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3453 | PA      | $3193.57      | 0.00%             | 2027-06-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10203842.SQ.NBM                       | 10203842.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     39692 | PA      | $37219.05     | 0.05%             | 2027-06-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341546042.UL.NBM                      | 341546042.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1896 | PA      | $1759.33      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341546101.UL.NBM                      | 341546101.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       657 | PA      | $648.30       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343176113.UL.NBM                      | 343176113.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        63 | PA      | $62.55        | 0.00%             | 2026-02-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343176114.UL.NBM                      | 343176114.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       114 | PA      | $113.61       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343557399.UL.NBM                      | 343557399.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2120 | PA      | $2101.13      | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343560080.UL.NBM                      | 343560080.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       332 | PA      | $330.11       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9794837.SQ.NBM                        | 9794837.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4217 | PA      | $3959.85      | 0.01%             | 2027-03-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9794873.SQ.NBM                        | 9794873.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10071 | PA      | $9521.09      | 0.01%             | 2027-03-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5858110.UP.NBM                     | DRB5858110.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     24719 | PA      | $27705.88     | 0.04%             | 2030-08-22      | Fixed         | 25.51%                | Yes           |                  3 | On Loan: No      |
| DRB5858116.UP.NBM                     | DRB5858116.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8801 | PA      | $8843.87      | 0.01%             | 2030-08-22      | Fixed         | 26.00%                | Yes           |                  3 | On Loan: No      |
| 10204787.SQ.NBM                       | 10204787.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2290 | PA      | $2076.82      | 0.00%             | 2027-06-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10204837.SQ.NBM                       | 10204837.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3554 | PA      | $3330.42      | 0.00%             | 2027-06-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343176129.UL.NBM                      | 343176129.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       467 | PA      | $463.27       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343176139.UL.NBM                      | 343176139.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       109 | PA      | $108.51       | 0.00%             | 2026-02-26      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| DRB5875789.UP.NBM                     | DRB5875789.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1023 | PA      | $1017.27      | 0.00%             | 2028-08-26      | Fixed         | 30.50%                | Yes           |                  3 | On Loan: No      |
| DRB5875790.UP.NBM                     | DRB5875790.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2651 | PA      | $2712.57      | 0.00%             | 2030-08-26      | Fixed         | 30.20%                | Yes           |                  3 | On Loan: No      |
| 9794980.SQ.NBM                        | 9794980.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4446 | PA      | $4201.50      | 0.01%             | 2027-03-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9795026.SQ.NBM                        | 9795026.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12682 | PA      | $12050.08     | 0.02%             | 2027-03-13      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10204917.SQ.NBM                       | 10204917.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     20267 | PA      | $19004.61     | 0.03%             | 2027-06-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 10206748.SQ.NBM                       | 10206748.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2256 | PA      | $2066.08      | 0.00%             | 2027-06-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343560525.UL.NBM                      | 343560525.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        93 | PA      | $92.73        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343561723.UL.NBM                      | 343561723.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       144 | PA      | $143.25       | 0.00%             | 2026-02-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341546233.UL.NBM                      | 341546233.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       320 | PA      | $316.77       | 0.00%             | 2026-05-20      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 341546315.UL.NBM                      | 341546315.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2437 | PA      | $2277.16      | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343561845.UL.NBM                      | 343561845.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        46 | PA      | $45.67        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343561981.UL.NBM                      | 343561981.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       173 | PA      | $172.13       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342512425.UL.NBM                      | 342512425.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2635 | PA      | $2592.30      | 0.00%             | 2027-08-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342512709.UL.NBM                      | 342512709.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       273 | PA      | $270.05       | 0.00%             | 2026-07-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9801010.SQ.NBM                        | 9801010.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3022 | PA      | $2089.82      | 0.00%             | 2027-03-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9801072.SQ.NBM                        | 9801072.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6358 | PA      | $6043.14      | 0.01%             | 2027-03-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343562008.UL.NBM                      | 343562008.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       339 | PA      | $337.98       | 0.00%             | 2026-02-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 343562164.UL.NBM                      | 343562164.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       245 | PA      | $242.44       | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 10206975.SQ.NBM                       | 10206975.SQ.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8799 | PA      | $8248.82      | 0.01%             | 2027-06-15      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9830003.SQ.NBM                        | 9830003.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5457 | PA      | $5197.26      | 0.01%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343176202.UL.NBM                      | 343176202.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       307 | PA      | $305.54       | 0.00%             | 2026-02-26      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 343176252.UL.NBM                      | 343176252.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       964 | PA      | $898.85       | 0.00%             | 2026-05-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343562785.UL.NBM                      | 343562785.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       407 | PA      | $404.92       | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343562995.UL.NBM                      | 343562995.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       234 | PA      | $231.33       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9795157.SQ.NBM                        | 9795157.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     25446 | PA      | $24238.92     | 0.03%             | 2027-03-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9795367.SQ.NBM                        | 9795367.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3884 | PA      | $3649.29      | 0.01%             | 2027-03-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5858127.UP.NBM                     | DRB5858127.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1343 | PA      | $1377.27      | 0.00%             | 2030-08-22      | Fixed         | 31.02%                | Yes           |                  3 | On Loan: No      |
| DRB5858137.UP.NBM                     | DRB5858137.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1456 | PA      | $1507.28      | 0.00%             | 2030-08-22      | Fixed         | 31.39%                | Yes           |                  3 | On Loan: No      |
| DRB5858141.UP.NBM                     | DRB5858141.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3107 | PA      | $3233.13      | 0.00%             | 2030-08-22      | Fixed         | 32.19%                | Yes           |                  3 | On Loan: No      |
| DRB5858143.UP.NBM                     | DRB5858143.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6561 | PA      | $6235.81      | 0.01%             | 2030-08-22      | Fixed         | 25.89%                | Yes           |                  3 | On Loan: No      |
| DRB5875793.UP.NBM                     | DRB5875793.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14035 | PA      | $13985.71     | 0.02%             | 2030-08-26      | Fixed         | 28.91%                | Yes           |                  3 | On Loan: No      |
| DRB5875807.UP.NBM                     | DRB5875807.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2324 | PA      | $2310.35      | 0.00%             | 2030-08-26      | Fixed         | 28.57%                | Yes           |                  3 | On Loan: No      |
| DRB5875822.UP.NBM                     | DRB5875822.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9702 | PA      | $10859.10     | 0.01%             | 2030-08-26      | Fixed         | 24.94%                | Yes           |                  3 | On Loan: No      |
| DRB5875831.UP.NBM                     | DRB5875831.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2331 | PA      | $2424.85      | 0.00%             | 2030-08-26      | Fixed         | 31.60%                | Yes           |                  3 | On Loan: No      |
| DRB5875846.UP.NBM                     | DRB5875846.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8741 | PA      | $619.08       | 0.00%             | 2030-08-26      | Fixed         | 30.52%                | Yes           |                  3 | On Loan: No      |
| DRB5875850.UP.NBM                     | DRB5875850.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1637 | PA      | $1565.17      | 0.00%             | 2030-08-26      | Fixed         | 22.75%                | Yes           |                  3 | On Loan: No      |
| 9959629.SQ.NBM                        | 9959629.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13143 | PA      | $12387.36     | 0.02%             | 2027-04-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9960170.SQ.NBM                        | 9960170.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1259 | PA      | $1156.13      | 0.00%             | 2027-04-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9801313.SQ.NBM                        | 9801313.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6674 | PA      | $6176.20      | 0.01%             | 2027-03-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9801483.SQ.NBM                        | 9801483.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       562 | PA      | $539.37       | 0.00%             | 2027-03-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5859644.UP.NBM                      | FW5859644.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1458 | PA      | $1529.18      | 0.00%             | 2030-08-22      | Fixed         | 32.31%                | Yes           |                  3 | On Loan: No      |
| FW5859662.UP.NBM                      | FW5859662.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3161 | PA      | $3107.89      | 0.00%             | 2030-08-22      | Fixed         | 22.06%                | Yes           |                  3 | On Loan: No      |
| 341546367.UL.NBM                      | 341546367.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       365 | PA      | $362.84       | 0.00%             | 2026-05-20      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 341546380.UL.NBM                      | 341546380.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       114 | PA      | $112.95       | 0.00%             | 2026-02-20      | Fixed         | 25.99%                | Yes           |                  3 | On Loan: No      |
| 9830095.SQ.NBM                        | 9830095.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2478 | PA      | $2359.28      | 0.00%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9830167.SQ.NBM                        | 9830167.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5590 | PA      | $5233.00      | 0.01%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343176273.UL.NBM                      | 343176273.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1108 | PA      | $1098.63      | 0.00%             | 2026-07-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343176347.UL.NBM                      | 343176347.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       478 | PA      | $474.01       | 0.00%             | 2026-05-26      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| L5867318.UP.NBM                       | L5867318.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14838 | PA      | $14679.30     | 0.02%             | 2030-08-25      | Fixed         | 17.63%                | Yes           |                  3 | On Loan: No      |
| L5867329.UP.NBM                       | L5867329.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1278 | PA      | $1190.28      | 0.00%             | 2028-08-25      | Fixed         | 18.97%                | Yes           |                  3 | On Loan: No      |
| DRB5858150.UP.NBM                     | DRB5858150.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4178 | PA      | $4352.44      | 0.01%             | 2030-08-22      | Fixed         | 31.84%                | Yes           |                  3 | On Loan: No      |
| DRB5858153.UP.NBM                     | DRB5858153.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2136 | PA      | $2129.30      | 0.00%             | 2030-08-22      | Fixed         | 28.90%                | Yes           |                  3 | On Loan: No      |
| 341546407.UL.NBM                      | 341546407.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1030 | PA      | $955.36       | 0.00%             | 2026-07-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341546497.UL.NBM                      | 341546497.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       532 | PA      | $40.57        | 0.00%             | 2026-05-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343563098.UL.NBM                      | 343563098.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        85 | PA      | $83.11        | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343563489.UL.NBM                      | 343563489.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       280 | PA      | $277.74       | 0.00%             | 2026-05-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343176381.UL.NBM                      | 343176381.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       195 | PA      | $194.31       | 0.00%             | 2026-02-26      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 343176834.UL.NBM                      | 343176834.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |         9 | PA      | $8.77         | 0.00%             | 2035-11-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5859685.UP.NBM                      | FW5859685.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2135 | PA      | $2120.00      | 0.00%             | 2028-08-22      | Fixed         | 30.53%                | Yes           |                  3 | On Loan: No      |
| FW5859701.UP.NBM                      | FW5859701.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10464 | PA      | $11009.58     | 0.02%             | 2030-08-22      | Fixed         | 28.98%                | Yes           |                  3 | On Loan: No      |
| L5867360.UP.NBM                       | L5867360.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1728 | PA      | $1682.20      | 0.00%             | 2028-08-25      | Fixed         | 18.46%                | Yes           |                  3 | On Loan: No      |
| L5867361.UP.NBM                       | L5867361.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4555 | PA      | $4376.75      | 0.01%             | 2030-08-25      | Fixed         | 12.76%                | Yes           |                  3 | On Loan: No      |
| 341546537.UL.NBM                      | 341546537.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1149 | PA      | $1135.86      | 0.00%             | 2026-07-20      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341546718.UL.NBM                      | 341546718.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       216 | PA      | $204.20       | 0.00%             | 2026-02-20      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343176997.UL.NBM                      | 343176997.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       177 | PA      | $175.49       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343177210.UL.NBM                      | 343177210.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        69 | PA      | $69.16        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5859735.UP.NBM                      | FW5859735.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14186 | PA      | $14093.72     | 0.02%             | 2030-08-22      | Fixed         | 28.81%                | Yes           |                  3 | On Loan: No      |
| FW5859811.UP.NBM                      | FW5859811.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1259 | PA      | $1247.39      | 0.00%             | 2030-08-22      | Fixed         | 28.49%                | Yes           |                  3 | On Loan: No      |
| L5867437.UP.NBM                       | L5867437.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5851 | PA      | $5535.73      | 0.01%             | 2030-08-25      | Fixed         | 19.40%                | Yes           |                  3 | On Loan: No      |
| L5867456.UP.NBM                       | L5867456.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8733 | PA      | $8313.63      | 0.01%             | 2030-08-25      | Fixed         | 19.79%                | Yes           |                  3 | On Loan: No      |
| 343564137.UL.NBM                      | 343564137.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       212 | PA      | $211.35       | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 343564816.UL.NBM                      | 343564816.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       450 | PA      | $116.93       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9981947.SQ.NBM                        | 9981947.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8015 | PA      | $7542.15      | 0.01%             | 2027-04-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9982005.SQ.NBM                        | 9982005.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1401 | PA      | $1215.14      | 0.00%             | 2027-04-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342844915.UL.NBM                      | 342844915.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1377 | PA      | $1315.09      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342845011.UL.NBM                      | 342845011.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       701 | PA      | $696.94       | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 343177515.UL.NBM                      | 343177515.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       499 | PA      | $496.45       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343178711.UL.NBM                      | 343178711.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        76 | PA      | $76.09        | 0.00%             | 2026-02-26      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 9801601.SQ.NBM                        | 9801601.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2236 | PA      | $2126.68      | 0.00%             | 2027-03-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9801650.SQ.NBM                        | 9801650.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1555 | PA      | $1442.32      | 0.00%             | 2027-03-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5859824.UP.NBM                      | FW5859824.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4693 | PA      | $4654.93      | 0.01%             | 2030-08-22      | Fixed         | 28.74%                | Yes           |                  3 | On Loan: No      |
| FW5859825.UP.NBM                      | FW5859825.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10873 | PA      | $10737.58     | 0.01%             | 2030-08-22      | Fixed         | 22.16%                | Yes           |                  3 | On Loan: No      |
| L5867511.UP.NBM                       | L5867511.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1534 | PA      | $1398.19      | 0.00%             | 2030-08-25      | Fixed         | 23.16%                | Yes           |                  3 | On Loan: No      |
| L5867523.UP.NBM                       | L5867523.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3835 | PA      | $3600.11      | 0.00%             | 2030-08-25      | Fixed         | 18.92%                | Yes           |                  3 | On Loan: No      |
| 341546773.UL.NBM                      | 341546773.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       138 | PA      | $137.72       | 0.00%             | 2026-02-20      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341547071.UL.NBM                      | 341547071.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       295 | PA      | $293.45       | 0.00%             | 2026-02-20      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342845244.UL.NBM                      | 342845244.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       160 | PA      | $158.21       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342845946.UL.NBM                      | 342845946.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1943 | PA      | $1796.65      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9982015.SQ.NBM                        | 9982015.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     26493 | PA      | $24874.00     | 0.03%             | 2027-04-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9982210.SQ.NBM                        | 9982210.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4123 | PA      | $3900.77      | 0.01%             | 2027-04-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343178717.UL.NBM                      | 343178717.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2237 | PA      | $2077.95      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343178741.UL.NBM                      | 343178741.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1105 | PA      | $1020.09      | 0.00%             | 2026-07-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342512937.UL.NBM                      | 342512937.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        38 | PA      | $37.67        | 0.00%             | 2026-02-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342512951.UL.NBM                      | 342512951.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       133 | PA      | $132.46       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342846338.UL.NBM                      | 342846338.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5047 | PA      | $4689.37      | 0.01%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342846936.UL.NBM                      | 342846936.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1084 | PA      | $1071.65      | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341547079.UL.NBM                      | 341547079.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       363 | PA      | $359.61       | 0.00%             | 2026-05-20      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341547087.UL.NBM                      | 341547087.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       306 | PA      | $302.93       | 0.00%             | 2026-05-20      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9982253.SQ.NBM                        | 9982253.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7859 | PA      | $7399.77      | 0.01%             | 2027-04-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9982337.SQ.NBM                        | 9982337.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1731 | PA      | $1642.16      | 0.00%             | 2027-04-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343470881.UL.NBM                      | 343470881.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       219 | PA      | $216.71       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343471402.UL.NBM                      | 343471402.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       459 | PA      | $454.98       | 0.00%             | 2026-05-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342846973.UL.NBM                      | 342846973.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        47 | PA      | $46.65        | 0.00%             | 2026-02-24      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 342847636.UL.NBM                      | 342847636.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       150 | PA      | $149.43       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5859828.UP.NBM                      | FW5859828.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1161 | PA      | $1137.75      | 0.00%             | 2030-08-22      | Fixed         | 27.75%                | Yes           |                  3 | On Loan: No      |
| FW5859874.UP.NBM                      | FW5859874.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6305 | PA      | $7053.35      | 0.01%             | 2030-08-22      | Fixed         | 30.34%                | Yes           |                  3 | On Loan: No      |
| 342512964.UL.NBM                      | 342512964.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       219 | PA      | $217.74       | 0.00%             | 2026-02-23      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 342513093.UL.NBM                      | 342513093.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       141 | PA      | $140.02       | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9982399.SQ.NBM                        | 9982399.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12272 | PA      | $11576.05     | 0.02%             | 2027-04-25      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9982528.SQ.NBM                        | 9982528.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1549 | PA      | $1416.53      | 0.00%             | 2027-04-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343471662.UL.NBM                      | 343471662.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        57 | PA      | $56.68        | 0.00%             | 2026-05-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 343471735.UL.NBM                      | 343471735.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       181 | PA      | $31.90        | 0.00%             | 2035-11-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342848653.UL.NBM                      | 342848653.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        99 | PA      | $98.69        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342901204.UL.NBM                      | 342901204.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       818 | PA      | $811.69       | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341547127.UL.NBM                      | 341547127.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       333 | PA      | $330.94       | 0.00%             | 2026-05-31      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341585803.UL.NBM                      | 341585803.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       244 | PA      | $241.80       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5859885.UP.NBM                      | FW5859885.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6500 | PA      | $6640.71      | 0.01%             | 2030-08-22      | Fixed         | 30.52%                | Yes           |                  3 | On Loan: No      |
| FW5859895.UP.NBM                      | FW5859895.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1057 | PA      | $1050.58      | 0.00%             | 2030-08-22      | Fixed         | 28.82%                | Yes           |                  3 | On Loan: No      |
| 342513250.UL.NBM                      | 342513250.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       468 | PA      | $463.93       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342513444.UL.NBM                      | 342513444.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       306 | PA      | $294.79       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5858160.UP.NBM                     | DRB5858160.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2034 | PA      | $2022.82      | 0.00%             | 2030-08-22      | Fixed         | 28.73%                | Yes           |                  3 | On Loan: No      |
| DRB5858169.UP.NBM                     | DRB5858169.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4760 | PA      | $4971.92      | 0.01%             | 2030-08-22      | Fixed         | 32.01%                | Yes           |                  3 | On Loan: No      |
| 342901954.UL.NBM                      | 342901954.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       189 | PA      | $111.78       | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342902069.UL.NBM                      | 342902069.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1426 | PA      | $1409.69      | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9982539.SQ.NBM                        | 9982539.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15499 | PA      | $14511.05     | 0.02%             | 2027-04-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9982717.SQ.NBM                        | 9982717.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1588 | PA      | $1514.05      | 0.00%             | 2027-04-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5859943.UP.NBM                      | FW5859943.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4579 | PA      | $4774.91      | 0.01%             | 2030-08-22      | Fixed         | 31.90%                | Yes           |                  3 | On Loan: No      |
| FW5859978.UP.NBM                      | FW5859978.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4020 | PA      | $3658.36      | 0.01%             | 2028-08-22      | Fixed         | 16.72%                | Yes           |                  3 | On Loan: No      |
| 342513769.UL.NBM                      | 342513769.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        72 | PA      | $71.30        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342513954.UL.NBM                      | 342513954.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       202 | PA      | $201.16       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9801699.SQ.NBM                        | 9801699.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4502 | PA      | $3544.83      | 0.00%             | 2027-03-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9801786.SQ.NBM                        | 9801786.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5591 | PA      | $5311.93      | 0.01%             | 2027-03-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5858734.UP.NBM                     | DRB5858734.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2343 | PA      | $2398.64      | 0.00%             | 2030-08-22      | Fixed         | 31.01%                | Yes           |                  3 | On Loan: No      |
| DRB5858747.UP.NBM                     | DRB5858747.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4361 | PA      | $4375.01      | 0.01%             | 2030-08-22      | Fixed         | 29.31%                | Yes           |                  3 | On Loan: No      |
| 342902073.UL.NBM                      | 342902073.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       293 | PA      | $278.57       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342902131.UL.NBM                      | 342902131.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       355 | PA      | $356.24       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341586082.UL.NBM                      | 341586082.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1579 | PA      | $1463.83      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341586105.UL.NBM                      | 341586105.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4047 | PA      | $3788.81      | 0.01%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342515197.UL.NBM                      | 342515197.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       990 | PA      | $918.14       | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342516048.UL.NBM                      | 342516048.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2210 | PA      | $2189.46      | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5860003.UP.NBM                      | FW5860003.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4165 | PA      | $4140.59      | 0.01%             | 2030-08-22      | Fixed         | 28.71%                | Yes           |                  3 | On Loan: No      |
| FW5860083.UP.NBM                      | FW5860083.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5397 | PA      | $5221.52      | 0.01%             | 2030-08-22      | Fixed         | 23.58%                | Yes           |                  3 | On Loan: No      |
| 343473388.UL.NBM                      | 343473388.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       527 | PA      | $522.42       | 0.00%             | 2026-05-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343473433.UL.NBM                      | 343473433.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        55 | PA      | $54.76        | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342902564.UL.NBM                      | 342902564.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       519 | PA      | $510.85       | 0.00%             | 2026-06-01      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342902907.UL.NBM                      | 342902907.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        73 | PA      | $72.39        | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341586174.UL.NBM                      | 341586174.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2052 | PA      | $2037.67      | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341643378.UL.NBM                      | 341643378.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       154 | PA      | $152.79       | 0.00%             | 2026-02-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342516227.UL.NBM                      | 342516227.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        86 | PA      | $85.45        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342516469.UL.NBM                      | 342516469.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       312 | PA      | $296.16       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343473624.UL.NBM                      | 343473624.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       132 | PA      | $131.70       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343473663.UL.NBM                      | 343473663.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5092 | PA      | $5020.08      | 0.01%             | 2027-08-26      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 343568243.UL.NBM                      | 343568243.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1235 | PA      | $1222.21      | 0.00%             | 2026-07-26      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 343569412.UL.NBM                      | 343569412.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       223 | PA      | $221.65       | 0.00%             | 2026-02-26      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 341645356.UL.NBM                      | 341645356.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        63 | PA      | $60.90        | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341646356.UL.NBM                      | 341646356.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       143 | PA      | $142.35       | 0.00%             | 2026-02-21      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342517316.UL.NBM                      | 342517316.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       609 | PA      | $564.31       | 0.00%             | 2026-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342517969.UL.NBM                      | 342517969.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       116 | PA      | $116.70       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858753.UP.NBM                     | DRB5858753.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1840 | PA      | $1823.39      | 0.00%             | 2030-08-22      | Fixed         | 28.50%                | Yes           |                  3 | On Loan: No      |
| DRB5858757.UP.NBM                     | DRB5858757.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1060 | PA      | $1046.63      | 0.00%             | 2030-08-22      | Fixed         | 28.42%                | Yes           |                  3 | On Loan: No      |
| FW5860153.UP.NBM                      | FW5860153.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3300 | PA      | $271.68       | 0.00%             | 2030-08-22      | Fixed         | 25.67%                | Yes           |                  3 | On Loan: No      |
| FW5860312.UP.NBM                      | FW5860312.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5534 | PA      | $5717.84      | 0.01%             | 2030-08-22      | Fixed         | 31.28%                | Yes           |                  3 | On Loan: No      |
| 343474733.UL.NBM                      | 343474733.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       382 | PA      | $51.45        | 0.00%             | 2035-11-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 343475099.UL.NBM                      | 343475099.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       537 | PA      | $534.30       | 0.00%             | 2026-02-26      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341647957.UL.NBM                      | 341647957.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9432 | PA      | $9290.41      | 0.01%             | 2027-08-21      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| 341648937.UL.NBM                      | 341648937.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1010 | PA      | $998.08       | 0.00%             | 2026-07-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342903356.UL.NBM                      | 342903356.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       296 | PA      | $293.83       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342904399.UL.NBM                      | 342904399.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       323 | PA      | $320.20       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858768.UP.NBM                     | DRB5858768.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3778 | PA      | $3754.76      | 0.01%             | 2030-08-22      | Fixed         | 28.70%                | Yes           |                  3 | On Loan: No      |
| DRB5858779.UP.NBM                     | DRB5858779.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       964 | PA      | $980.76       | 0.00%             | 2030-08-22      | Fixed         | 30.39%                | Yes           |                  3 | On Loan: No      |
| FW5860322.UP.NBM                      | FW5860322.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2034 | PA      | $2027.99      | 0.00%             | 2030-08-22      | Fixed         | 28.89%                | Yes           |                  3 | On Loan: No      |
| FW5860460.UP.NBM                      | FW5860460.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16199 | PA      | $14996.97     | 0.02%             | 2030-08-22      | Fixed         | 24.09%                | Yes           |                  3 | On Loan: No      |
| 9801956.SQ.NBM                        | 9801956.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1286 | PA      | $1242.97      | 0.00%             | 2027-03-16      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9831116.SQ.NBM                        | 9831116.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1878 | PA      | $1591.39      | 0.00%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341649133.UL.NBM                      | 341649133.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        93 | PA      | $92.31        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341649889.UL.NBM                      | 341649889.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        36 | PA      | $35.80        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342905675.UL.NBM                      | 342905675.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        78 | PA      | $77.78        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342906077.UL.NBM                      | 342906077.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       205 | PA      | $16.94        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858785.UP.NBM                     | DRB5858785.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3216 | PA      | $2514.82      | 0.00%             | 2030-08-22      | Fixed         | 25.00%                | Yes           |                  3 | On Loan: No      |
| DRB5858792.UP.NBM                     | DRB5858792.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3893 | PA      | $3816.75      | 0.01%             | 2028-08-22      | Fixed         | 29.25%                | Yes           |                  3 | On Loan: No      |
| 342518192.UL.NBM                      | 342518192.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       689 | PA      | $681.14       | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342518379.UL.NBM                      | 342518379.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       418 | PA      | $48.67        | 0.00%             | 2026-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5860502.UP.NBM                      | FW5860502.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       963 | PA      | $880.64       | 0.00%             | 2030-08-22      | Fixed         | 23.28%                | Yes           |                  3 | On Loan: No      |
| FW5860504.UP.NBM                      | FW5860504.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14309 | PA      | $13746.02     | 0.02%             | 2030-08-22      | Fixed         | 23.31%                | Yes           |                  3 | On Loan: No      |
| 9831159.SQ.NBM                        | 9831159.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19502 | PA      | $17893.37     | 0.02%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9831395.SQ.NBM                        | 9831395.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1444 | PA      | $1393.58      | 0.00%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342906306.UL.NBM                      | 342906306.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       195 | PA      | $193.59       | 0.00%             | 2026-05-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342926891.UL.NBM                      | 342926891.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       636 | PA      | $629.42       | 0.00%             | 2026-05-25      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341649902.UL.NBM                      | 341649902.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       474 | PA      | $468.86       | 0.00%             | 2026-05-21      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 341654102.UL.NBM                      | 341654102.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       291 | PA      | $40.07        | 0.00%             | 2035-11-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858818.UP.NBM                     | DRB5858818.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2070 | PA      | $463.72       | 0.00%             | 2030-08-22      | Fixed         | 31.21%                | Yes           |                  3 | On Loan: No      |
| DRB5858821.UP.NBM                     | DRB5858821.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3288 | PA      | $3427.35      | 0.00%             | 2030-08-22      | Fixed         | 32.01%                | Yes           |                  3 | On Loan: No      |
| FW5860509.UP.NBM                      | FW5860509.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8696 | PA      | $8396.38      | 0.01%             | 2030-08-22      | Fixed         | 16.19%                | Yes           |                  3 | On Loan: No      |
| FW5860534.UP.NBM                      | FW5860534.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1358 | PA      | $1382.62      | 0.00%             | 2030-08-22      | Fixed         | 30.29%                | Yes           |                  3 | On Loan: No      |
| 342518499.UL.NBM                      | 342518499.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       978 | PA      | $967.80       | 0.00%             | 2026-07-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342518935.UL.NBM                      | 342518935.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       240 | PA      | $238.13       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341655654.UL.NBM                      | 341655654.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        74 | PA      | $73.97        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341808789.UL.NBM                      | 341808789.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        56 | PA      | $55.66        | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858825.UP.NBM                     | DRB5858825.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14184 | PA      | $13016.24     | 0.02%             | 2030-08-22      | Fixed         | 23.52%                | Yes           |                  3 | On Loan: No      |
| DRB5858826.UP.NBM                     | DRB5858826.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4086 | PA      | $4063.64      | 0.01%             | 2028-08-22      | Fixed         | 30.71%                | Yes           |                  3 | On Loan: No      |
| FW5860995.UP.NBM                      | FW5860995.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5465 | PA      | $1272.92      | 0.00%             | 2028-08-22      | Fixed         | 20.13%                | Yes           |                  3 | On Loan: No      |
| FW5861019.UP.NBM                      | FW5861019.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1068 | PA      | $1097.87      | 0.00%             | 2030-08-22      | Fixed         | 30.96%                | Yes           |                  3 | On Loan: No      |
| 342519213.UL.NBM                      | 342519213.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       373 | PA      | $369.15       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342519436.UL.NBM                      | 342519436.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       325 | PA      | $323.51       | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341814027.UL.NBM                      | 341814027.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       302 | PA      | $303.81       | 0.00%             | 2026-02-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341814148.UL.NBM                      | 341814148.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        34 | PA      | $33.50        | 0.00%             | 2026-02-21      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 9983054.SQ.NBM                        | 9983054.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9380 | PA      | $8875.73      | 0.01%             | 2027-04-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9983151.SQ.NBM                        | 9983151.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13376 | PA      | $9969.05      | 0.01%             | 2027-04-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5858827.UP.NBM                     | DRB5858827.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     34533 | PA      | $33163.39     | 0.05%             | 2028-08-22      | Fixed         | 21.88%                | Yes           |                  3 | On Loan: No      |
| DRB5858831.UP.NBM                     | DRB5858831.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14278 | PA      | $14846.16     | 0.02%             | 2030-08-22      | Fixed         | 31.71%                | Yes           |                  3 | On Loan: No      |
| FW5861037.UP.NBM                      | FW5861037.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1940 | PA      | $1975.82      | 0.00%             | 2030-08-22      | Fixed         | 30.30%                | Yes           |                  3 | On Loan: No      |
| FW5861038.UP.NBM                      | FW5861038.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6156 | PA      | $6390.48      | 0.01%             | 2030-08-22      | Fixed         | 31.73%                | Yes           |                  3 | On Loan: No      |
| 342520077.UL.NBM                      | 342520077.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2272 | PA      | $2251.75      | 0.00%             | 2027-02-23      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342520536.UL.NBM                      | 342520536.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       878 | PA      | $868.95       | 0.00%             | 2026-07-23      | Fixed         | 12.99%                | Yes           |                  3 | On Loan: No      |
| 9983263.SQ.NBM                        | 9983263.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     32737 | PA      | $30740.40     | 0.04%             | 2027-04-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9984942.SQ.NBM                        | 9984942.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7426 | PA      | $7026.80      | 0.01%             | 2027-04-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9831442.SQ.NBM                        | 9831442.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7626 | PA      | $7012.78      | 0.01%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9831558.SQ.NBM                        | 9831558.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     50361 | PA      | $48182.51     | 0.07%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342520762.UL.NBM                      | 342520762.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       110 | PA      | $105.69       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342521285.UL.NBM                      | 342521285.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        51 | PA      | $50.92        | 0.00%             | 2026-02-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| FW5861039.UP.NBM                      | FW5861039.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1652 | PA      | $1726.46      | 0.00%             | 2030-08-22      | Fixed         | 32.05%                | Yes           |                  3 | On Loan: No      |
| FW5861076.UP.NBM                      | FW5861076.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5446 | PA      | $5550.34      | 0.01%             | 2030-08-22      | Fixed         | 19.57%                | Yes           |                  3 | On Loan: No      |
| 9795422.SQ.NBM                        | 9795422.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5214 | PA      | $4926.41      | 0.01%             | 2027-03-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9795461.SQ.NBM                        | 9795461.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1671 | PA      | $1579.85      | 0.00%             | 2027-03-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343569995.UL.NBM                      | 343569995.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       327 | PA      | $316.15       | 0.00%             | 2026-02-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 343570655.UL.NBM                      | 343570655.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1178 | PA      | $1174.85      | 0.00%             | 2026-02-26      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 9831969.SQ.NBM                        | 9831969.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3869 | PA      | $3576.90      | 0.00%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9832046.SQ.NBM                        | 9832046.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     29047 | PA      | $16329.16     | 0.02%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342521748.UL.NBM                      | 342521748.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1182 | PA      | $1132.55      | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342521917.UL.NBM                      | 342521917.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       101 | PA      | $100.13       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858835.UP.NBM                     | DRB5858835.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1025 | PA      | $834.99       | 0.00%             | 2028-08-22      | Fixed         | 21.67%                | Yes           |                  3 | On Loan: No      |
| DRB5858839.UP.NBM                     | DRB5858839.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6087 | PA      | $5817.11      | 0.01%             | 2030-08-22      | Fixed         | 26.13%                | Yes           |                  3 | On Loan: No      |
| 9985184.SQ.NBM                        | 9985184.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2764 | PA      | $2614.77      | 0.00%             | 2027-04-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9985320.SQ.NBM                        | 9985320.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       866 | PA      | $574.93       | 0.00%             | 2027-04-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5861084.UP.NBM                      | FW5861084.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6674 | PA      | $6617.54      | 0.01%             | 2030-08-22      | Fixed         | 22.56%                | Yes           |                  3 | On Loan: No      |
| FW5861215.UP.NBM                      | FW5861215.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10718 | PA      | $2724.43      | 0.00%             | 2030-08-25      | Fixed         | 26.90%                | Yes           |                  3 | On Loan: No      |
| 9795470.SQ.NBM                        | 9795470.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7844 | PA      | $7273.08      | 0.01%             | 2027-03-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9795526.SQ.NBM                        | 9795526.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6341 | PA      | $6097.12      | 0.01%             | 2027-03-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9874188.SQ.NBM                        | 9874188.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6172 | PA      | $5859.95      | 0.01%             | 2027-04-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9874321.SQ.NBM                        | 9874321.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17912 | PA      | $17019.43     | 0.02%             | 2027-04-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9832283.SQ.NBM                        | 9832283.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5677 | PA      | $5390.89      | 0.01%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9832329.SQ.NBM                        | 9832329.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1563 | PA      | $1465.86      | 0.00%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5867525.UP.NBM                       | L5867525.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     24404 | PA      | $23711.60     | 0.03%             | 2030-08-25      | Fixed         | 16.61%                | Yes           |                  3 | On Loan: No      |
| L5867532.UP.NBM                       | L5867532.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8697 | PA      | $8355.24      | 0.01%             | 2030-08-25      | Fixed         | 23.26%                | Yes           |                  3 | On Loan: No      |
| 9874709.SQ.NBM                        | 9874709.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1872 | PA      | $1253.87      | 0.00%             | 2027-04-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9874816.SQ.NBM                        | 9874816.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11392 | PA      | $8879.07      | 0.01%             | 2027-04-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9985335.SQ.NBM                        | 9985335.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4394 | PA      | $3164.80      | 0.00%             | 2027-04-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9985473.SQ.NBM                        | 9985473.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8917 | PA      | $8452.28      | 0.01%             | 2027-04-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342628175.UL.NBM                      | 342628175.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       839 | PA      | $833.14       | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342628499.UL.NBM                      | 342628499.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       103 | PA      | $102.30       | 0.00%             | 2026-02-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342522224.UL.NBM                      | 342522224.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       128 | PA      | $127.20       | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342527786.UL.NBM                      | 342527786.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       287 | PA      | $284.76       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341932611.UL.NBM                      | 341932611.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       207 | PA      | $195.73       | 0.00%             | 2026-02-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341932865.UL.NBM                      | 341932865.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        82 | PA      | $81.65        | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9832344.SQ.NBM                        | 9832344.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     55805 | PA      | $52775.72     | 0.07%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9832873.SQ.NBM                        | 9832873.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3259 | PA      | $3134.58      | 0.00%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5861244.UP.NBM                      | FW5861244.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11697 | PA      | $2535.39      | 0.00%             | 2030-08-22      | Fixed         | 25.03%                | Yes           |                  3 | On Loan: No      |
| FW5861472.UP.NBM                      | FW5861472.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1900 | PA      | $43.20        | 0.00%             | 2030-08-25      | Fixed         | 21.05%                | Yes           |                  3 | On Loan: No      |
| 9985727.SQ.NBM                        | 9985727.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     25099 | PA      | $23749.37     | 0.03%             | 2027-04-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9986137.SQ.NBM                        | 9986137.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7913 | PA      | $7421.59      | 0.01%             | 2027-04-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342527852.UL.NBM                      | 342527852.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1198 | PA      | $1112.91      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342528062.UL.NBM                      | 342528062.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       366 | PA      | $151.65       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341933213.UL.NBM                      | 341933213.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       213 | PA      | $211.21       | 0.00%             | 2026-05-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341933554.UL.NBM                      | 341933554.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        66 | PA      | $65.83        | 0.00%             | 2026-02-21      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9832958.SQ.NBM                        | 9832958.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21208 | PA      | $20193.45     | 0.03%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9833239.SQ.NBM                        | 9833239.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2081 | PA      | $1623.97      | 0.00%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342628584.UL.NBM                      | 342628584.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1348 | PA      | $1247.32      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342629227.UL.NBM                      | 342629227.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1348 | PA      | $1254.89      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9986317.SQ.NBM                        | 9986317.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6911 | PA      | $6530.08      | 0.01%             | 2027-04-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9986447.SQ.NBM                        | 9986447.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7151 | PA      | $6745.89      | 0.01%             | 2027-04-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5861572.UP.NBM                      | FW5861572.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5873 | PA      | $5612.35      | 0.01%             | 2030-08-25      | Fixed         | 22.73%                | Yes           |                  3 | On Loan: No      |
| FW5861617.UP.NBM                      | FW5861617.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2019 | PA      | $1931.67      | 0.00%             | 2028-08-25      | Fixed         | 21.41%                | Yes           |                  3 | On Loan: No      |
| 341933615.UL.NBM                      | 341933615.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1909 | PA      | $1741.51      | 0.00%             | 2026-07-21      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341933729.UL.NBM                      | 341933729.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2509 | PA      | $2508.16      | 0.00%             | 2027-08-21      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9874912.SQ.NBM                        | 9874912.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7599 | PA      | $7220.39      | 0.01%             | 2027-04-01      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9887414.SQ.NBM                        | 9887414.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2733 | PA      | $2582.25      | 0.00%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342629446.UL.NBM                      | 342629446.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        87 | PA      | $86.93        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342629601.UL.NBM                      | 342629601.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       230 | PA      | $227.58       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9833256.SQ.NBM                        | 9833256.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3678 | PA      | $3486.72      | 0.00%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9833283.SQ.NBM                        | 9833283.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15965 | PA      | $8674.76      | 0.01%             | 2027-03-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342528150.UL.NBM                      | 342528150.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       289 | PA      | $287.16       | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342557735.UL.NBM                      | 342557735.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       126 | PA      | $125.52       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 341956285.UL.NBM                      | 341956285.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1042 | PA      | $1032.61      | 0.00%             | 2026-07-31      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 341956287.UL.NBM                      | 341956287.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       316 | PA      | $312.62       | 0.00%             | 2026-05-22      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| FW5866208.UP.NBM                      | FW5866208.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3003 | PA      | $2997.20      | 0.00%             | 2030-08-25      | Fixed         | 28.87%                | Yes           |                  3 | On Loan: No      |
| FW5866283.UP.NBM                      | FW5866283.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3101 | PA      | $2828.56      | 0.00%             | 2028-08-25      | Fixed         | 16.85%                | Yes           |                  3 | On Loan: No      |
| 342629837.UL.NBM                      | 342629837.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        41 | PA      | $40.95        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342629958.UL.NBM                      | 342629958.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       230 | PA      | $227.72       | 0.00%             | 2026-05-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 9888085.SQ.NBM                        | 9888085.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11604 | PA      | $10989.07     | 0.02%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9888280.SQ.NBM                        | 9888280.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     31740 | PA      | $30186.81     | 0.04%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341977503.UL.NBM                      | 341977503.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       763 | PA      | $754.83       | 0.00%             | 2026-07-22      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 341977571.UL.NBM                      | 341977571.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        96 | PA      | $95.43        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342558391.UL.NBM                      | 342558391.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       247 | PA      | $246.21       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342558577.UL.NBM                      | 342558577.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1232 | PA      | $1139.16      | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5866284.UP.NBM                      | FW5866284.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4265 | PA      | $4276.26      | 0.01%             | 2030-08-25      | Fixed         | 24.98%                | Yes           |                  3 | On Loan: No      |
| FW5866300.UP.NBM                      | FW5866300.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4065 | PA      | $3999.45      | 0.01%             | 2030-08-25      | Fixed         | 27.93%                | Yes           |                  3 | On Loan: No      |
| 342630276.UL.NBM                      | 342630276.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        33 | PA      | $32.72        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342630577.UL.NBM                      | 342630577.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       332 | PA      | $328.38       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9888782.SQ.NBM                        | 9888782.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3234 | PA      | $3055.21      | 0.00%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9888830.SQ.NBM                        | 9888830.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5310 | PA      | $5029.18      | 0.01%             | 2027-04-03      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 341977599.UL.NBM                      | 341977599.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       432 | PA      | $427.65       | 0.00%             | 2026-05-22      | Fixed         | 25.99%                | Yes           |                  3 | On Loan: No      |
| 341977810.UL.NBM                      | 341977810.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       114 | PA      | $27.27        | 0.00%             | 2035-11-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342558897.UL.NBM                      | 342558897.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       313 | PA      | $315.19       | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342559619.UL.NBM                      | 342559619.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       696 | PA      | $107.69       | 0.00%             | 2026-05-23      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| FW5866306.UP.NBM                      | FW5866306.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1942 | PA      | $2014.24      | 0.00%             | 2030-08-25      | Fixed         | 31.43%                | Yes           |                  3 | On Loan: No      |
| FW5866382.UP.NBM                      | FW5866382.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2809 | PA      | $2796.11      | 0.00%             | 2030-08-25      | Fixed         | 28.70%                | Yes           |                  3 | On Loan: No      |
| 342630707.UL.NBM                      | 342630707.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       205 | PA      | $204.18       | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342631093.UL.NBM                      | 342631093.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       150 | PA      | $58.09        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9986581.SQ.NBM                        | 9986581.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14344 | PA      | $13575.16     | 0.02%             | 2027-04-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9988092.SQ.NBM                        | 9988092.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     71754 | PA      | $67801.17     | 0.09%             | 2027-04-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342006120.UL.NBM                      | 342006120.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       312 | PA      | $11.59        | 0.00%             | 2035-11-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342009466.UL.NBM                      | 342009466.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        93 | PA      | $92.64        | 0.00%             | 2026-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 9989210.SQ.NBM                        | 9989210.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8894 | PA      | $8376.76      | 0.01%             | 2027-04-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9989410.SQ.NBM                        | 9989410.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7962 | PA      | $7513.54      | 0.01%             | 2027-04-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9989619.SQ.NBM                        | 9989619.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1831 | PA      | $1724.31      | 0.00%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9989688.SQ.NBM                        | 9989688.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14339 | PA      | $13497.69     | 0.02%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9833405.SQ.NBM                        | 9833405.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19855 | PA      | $15860.28     | 0.02%             | 2027-03-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9833946.SQ.NBM                        | 9833946.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     28853 | PA      | $27519.21     | 0.04%             | 2027-03-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5867535.UP.NBM                       | L5867535.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1283 | PA      | $1211.07      | 0.00%             | 2028-08-25      | Fixed         | 20.14%                | Yes           |                  3 | On Loan: No      |
| L5867562.UP.NBM                       | L5867562.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2194 | PA      | $2066.47      | 0.00%             | 2030-08-25      | Fixed         | 14.67%                | Yes           |                  3 | On Loan: No      |
| CBM5874986.UP.NBM                     | CBM5874986.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7375 | PA      | $7579.66      | 0.01%             | 2030-08-26      | Fixed         | 30.78%                | Yes           |                  3 | On Loan: No      |
| DRB5858024.UP.NBM                     | DRB5858024.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1742 | PA      | $1797.18      | 0.00%             | 2030-08-22      | Fixed         | 27.70%                | Yes           |                  3 | On Loan: No      |
| 342560466.UL.NBM                      | 342560466.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       429 | PA      | $423.04       | 0.00%             | 2026-06-07      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342561080.UL.NBM                      | 342561080.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       804 | PA      | $748.49       | 0.00%             | 2026-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342012776.UL.NBM                      | 342012776.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       747 | PA      | $742.67       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342017049.UL.NBM                      | 342017049.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       292 | PA      | $288.92       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9835042.SQ.NBM                        | 9835042.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11830 | PA      | $11247.19     | 0.02%             | 2027-03-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9835360.SQ.NBM                        | 9835360.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2265 | PA      | $2135.73      | 0.00%             | 2027-03-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9930920.SQ.NBM                        | 9930920.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     32289 | PA      | $29770.10     | 0.04%             | 2027-04-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9931423.SQ.NBM                        | 9931423.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3151 | PA      | $2977.60      | 0.00%             | 2027-04-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5867582.UP.NBM                       | L5867582.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5394 | PA      | $5409.25      | 0.01%             | 2030-08-25      | Fixed         | 23.08%                | Yes           |                  3 | On Loan: No      |
| L5867594.UP.NBM                       | L5867594.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2107 | PA      | $1964.37      | 0.00%             | 2028-08-28      | Fixed         | 18.87%                | Yes           |                  3 | On Loan: No      |
| 342563933.UL.NBM                      | 342563933.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       501 | PA      | $495.85       | 0.00%             | 2026-07-23      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342563980.UL.NBM                      | 342563980.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        85 | PA      | $84.13        | 0.00%             | 2026-02-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342019396.UL.NBM                      | 342019396.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       147 | PA      | $140.89       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342021643.UL.NBM                      | 342021643.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       477 | PA      | $474.16       | 0.00%             | 2026-02-22      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 342723888.UL.NBM                      | 342723888.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       948 | PA      | $876.31       | 0.00%             | 2026-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342724453.UL.NBM                      | 342724453.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       199 | PA      | $197.05       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5866416.UP.NBM                      | FW5866416.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1377 | PA      | $1357.42      | 0.00%             | 2028-08-25      | Fixed         | 24.52%                | Yes           |                  3 | On Loan: No      |
| FW5866442.UP.NBM                      | FW5866442.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1991 | PA      | $1921.02      | 0.00%             | 2028-08-25      | Fixed         | 22.47%                | Yes           |                  3 | On Loan: No      |
| L5867595.UP.NBM                       | L5867595.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1242 | PA      | $1202.35      | 0.00%             | 2030-08-25      | Fixed         | 16.36%                | Yes           |                  3 | On Loan: No      |
| L5867599.UP.NBM                       | L5867599.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1939 | PA      | $1940.88      | 0.00%             | 2030-08-25      | Fixed         | 25.66%                | Yes           |                  3 | On Loan: No      |
| 342564159.UL.NBM                      | 342564159.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       270 | PA      | $266.99       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342564288.UL.NBM                      | 342564288.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       111 | PA      | $110.82       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9921359.SQ.NBM                        | 9921359.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2959 | PA      | $2109.11      | 0.00%             | 2027-04-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9921421.SQ.NBM                        | 9921421.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17458 | PA      | $16231.81     | 0.02%             | 2027-04-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342023067.UL.NBM                      | 342023067.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1959 | PA      | $1818.59      | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342023107.UL.NBM                      | 342023107.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2492 | PA      | $2377.22      | 0.00%             | 2026-07-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9931447.SQ.NBM                        | 9931447.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21126 | PA      | $19674.86     | 0.03%             | 2027-04-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9931757.SQ.NBM                        | 9931757.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2510 | PA      | $2350.69      | 0.00%             | 2027-04-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5866503.UP.NBM                      | FW5866503.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3100 | PA      | $3085.95      | 0.00%             | 2030-08-25      | Fixed         | 28.71%                | Yes           |                  3 | On Loan: No      |
| FW5866550.UP.NBM                      | FW5866550.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2429 | PA      | $2551.60      | 0.00%             | 2030-08-25      | Fixed         | 32.28%                | Yes           |                  3 | On Loan: No      |
| 342564613.UL.NBM                      | 342564613.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       102 | PA      | $101.74       | 0.00%             | 2026-02-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342564884.UL.NBM                      | 342564884.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       776 | PA      | $713.57       | 0.00%             | 2026-07-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9921808.SQ.NBM                        | 9921808.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3480 | PA      | $3296.17      | 0.00%             | 2027-04-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9921888.SQ.NBM                        | 9921888.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2672 | PA      | $2554.47      | 0.00%             | 2027-04-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9931802.SQ.NBM                        | 9931802.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3561 | PA      | $3376.64      | 0.00%             | 2027-04-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9931889.SQ.NBM                        | 9931889.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2253 | PA      | $2126.21      | 0.00%             | 2027-04-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342024685.UL.NBM                      | 342024685.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        76 | PA      | $75.07        | 0.00%             | 2026-02-22      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342025904.UL.NBM                      | 342025904.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       107 | PA      | $106.51       | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5866561.UP.NBM                      | FW5866561.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1013 | PA      | $996.84       | 0.00%             | 2028-08-25      | Fixed         | 24.11%                | Yes           |                  3 | On Loan: No      |
| FW5866596.UP.NBM                      | FW5866596.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     32601 | PA      | $30793.51     | 0.04%             | 2030-09-01      | Fixed         | 19.56%                | Yes           |                  3 | On Loan: No      |
| 342567983.UL.NBM                      | 342567983.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       191 | PA      | $189.77       | 0.00%             | 2026-07-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342568042.UL.NBM                      | 342568042.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       275 | PA      | $276.86       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9947629.SQ.NBM                        | 9947629.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17490 | PA      | $16510.26     | 0.02%             | 2027-04-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9947878.SQ.NBM                        | 9947878.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1661 | PA      | $1576.33      | 0.00%             | 2027-04-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9931917.SQ.NBM                        | 9931917.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     30916 | PA      | $22848.92     | 0.03%             | 2027-04-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9932214.SQ.NBM                        | 9932214.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12574 | PA      | $11929.60     | 0.02%             | 2027-04-14      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342026767.UL.NBM                      | 342026767.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       236 | PA      | $232.78       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342029068.UL.NBM                      | 342029068.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        45 | PA      | $43.38        | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5867637.UP.NBM                       | L5867637.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3172 | PA      | $3047.21      | 0.00%             | 2030-08-25      | Fixed         | 23.21%                | Yes           |                  3 | On Loan: No      |
| L5867640.UP.NBM                       | L5867640.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2391 | PA      | $2339.20      | 0.00%             | 2030-08-25      | Fixed         | 16.95%                | Yes           |                  3 | On Loan: No      |
| 342725286.UL.NBM                      | 342725286.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1798 | PA      | $1680.89      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342726277.UL.NBM                      | 342726277.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       318 | PA      | $313.78       | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9947887.SQ.NBM                        | 9947887.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3502 | PA      | $3203.22      | 0.00%             | 2027-04-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9947912.SQ.NBM                        | 9947912.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     73206 | PA      | $69391.74     | 0.10%             | 2027-04-17      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5866597.UP.NBM                      | FW5866597.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1665 | PA      | $1745.23      | 0.00%             | 2031-01-25      | Fixed         | 31.85%                | Yes           |                  3 | On Loan: No      |
| FW5866619.UP.NBM                      | FW5866619.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1374 | PA      | $1289.62      | 0.00%             | 2030-08-25      | Fixed         | 21.72%                | Yes           |                  3 | On Loan: No      |
| 342030271.UL.NBM                      | 342030271.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       308 | PA      | $305.51       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342033750.UL.NBM                      | 342033750.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       705 | PA      | $674.23       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342568161.UL.NBM                      | 342568161.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2535 | PA      | $2493.67      | 0.00%             | 2027-08-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342568675.UL.NBM                      | 342568675.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       179 | PA      | $177.34       | 0.00%             | 2026-05-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342726332.UL.NBM                      | 342726332.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        73 | PA      | $72.17        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342729742.UL.NBM                      | 342729742.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       166 | PA      | $167.73       | 0.00%             | 2026-02-24      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 9982741.SQ.NBM                        | 9982741.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     22386 | PA      | $21180.54     | 0.03%             | 2027-04-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9982962.SQ.NBM                        | 9982962.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4975 | PA      | $4647.71      | 0.01%             | 2027-04-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5866626.UP.NBM                      | FW5866626.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1313 | PA      | $1313.58      | 0.00%             | 2030-08-25      | Fixed         | 29.31%                | Yes           |                  3 | On Loan: No      |
| FW5866628.UP.NBM                      | FW5866628.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1060 | PA      | $1042.37      | 0.00%             | 2030-08-25      | Fixed         | 28.05%                | Yes           |                  3 | On Loan: No      |
| 342034692.UL.NBM                      | 342034692.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       384 | PA      | $358.33       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342036577.UL.NBM                      | 342036577.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        86 | PA      | $85.37        | 0.00%             | 2026-02-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342569135.UL.NBM                      | 342569135.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        39 | PA      | $39.24        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342569874.UL.NBM                      | 342569874.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       164 | PA      | $157.20       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342729918.UL.NBM                      | 342729918.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       225 | PA      | $222.53       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342731436.UL.NBM                      | 342731436.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        88 | PA      | $87.29        | 0.00%             | 2026-02-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 9983011.SQ.NBM                        | 9983011.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1725 | PA      | $1607.99      | 0.00%             | 2027-04-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9983023.SQ.NBM                        | 9983023.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2423 | PA      | $2113.06      | 0.00%             | 2027-04-26      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5867166.UP.NBM                      | FW5867166.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2617 | PA      | $2631.93      | 0.00%             | 2030-08-25      | Fixed         | 29.38%                | Yes           |                  3 | On Loan: No      |
| FW5867181.UP.NBM                      | FW5867181.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3314 | PA      | $3287.95      | 0.00%             | 2030-08-25      | Fixed         | 22.55%                | Yes           |                  3 | On Loan: No      |
| 342036646.UL.NBM                      | 342036646.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        60 | PA      | $57.61        | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342038492.UL.NBM                      | 342038492.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       268 | PA      | $259.97       | 0.00%             | 2026-02-22      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342569963.UL.NBM                      | 342569963.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       146 | PA      | $144.76       | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342570371.UL.NBM                      | 342570371.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       233 | PA      | $220.78       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342731746.UL.NBM                      | 342731746.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       253 | PA      | $251.29       | 0.00%             | 2026-02-15      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342731787.UL.NBM                      | 342731787.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1039 | PA      | $1026.70      | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9990821.SQ.NBM                        | 9990821.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11338 | PA      | $10795.03     | 0.01%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9991238.SQ.NBM                        | 9991238.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1540 | PA      | $1434.97      | 0.00%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5867646.UP.NBM                       | L5867646.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4498 | PA      | $4433.52      | 0.01%             | 2030-08-25      | Fixed         | 17.41%                | Yes           |                  3 | On Loan: No      |
| L5867718.UP.NBM                       | L5867718.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5444 | PA      | $1185.12      | 0.00%             | 2030-08-25      | Fixed         | 18.11%                | Yes           |                  3 | On Loan: No      |
| FW5867193.UP.NBM                      | FW5867193.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2219 | PA      | $2080.90      | 0.00%             | 2030-08-25      | Fixed         | 24.82%                | Yes           |                  3 | On Loan: No      |
| FW5867221.UP.NBM                      | FW5867221.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2905 | PA      | $3010.93      | 0.00%             | 2030-08-25      | Fixed         | 31.52%                | Yes           |                  3 | On Loan: No      |
| 342731999.UL.NBM                      | 342731999.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        53 | PA      | $53.18        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342840875.UL.NBM                      | 342840875.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       458 | PA      | $455.86       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342045003.UL.NBM                      | 342045003.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        69 | PA      | $68.52        | 0.00%             | 2026-02-22      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342046389.UL.NBM                      | 342046389.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       956 | PA      | $945.26       | 0.00%             | 2026-07-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9991284.SQ.NBM                        | 9991284.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16358 | PA      | $15429.59     | 0.02%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9991646.SQ.NBM                        | 9991646.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3061 | PA      | $2297.25      | 0.00%             | 2027-04-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342571175.UL.NBM                      | 342571175.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       193 | PA      | $191.13       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342571482.UL.NBM                      | 342571482.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       102 | PA      | $101.77       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342046756.UL.NBM                      | 342046756.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       439 | PA      | $435.09       | 0.00%             | 2026-05-22      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342047081.UL.NBM                      | 342047081.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       244 | PA      | $241.46       | 0.00%             | 2026-05-22      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342841098.UL.NBM                      | 342841098.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        60 | PA      | $59.86        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342841451.UL.NBM                      | 342841451.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1002 | PA      | $996.09       | 0.00%             | 2026-07-24      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| L5867748.UP.NBM                       | L5867748.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4521 | PA      | $4250.12      | 0.01%             | 2030-08-25      | Fixed         | 21.89%                | Yes           |                  3 | On Loan: No      |
| L5867754.UP.NBM                       | L5867754.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     34457 | PA      | $32570.99     | 0.04%             | 2030-08-25      | Fixed         | 22.22%                | Yes           |                  3 | On Loan: No      |
| FW5867246.UP.NBM                      | FW5867246.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1430 | PA      | $1443.74      | 0.00%             | 2030-08-25      | Fixed         | 29.86%                | Yes           |                  3 | On Loan: No      |
| FW5867293.UP.NBM                      | FW5867293.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2137 | PA      | $2236.97      | 0.00%             | 2030-08-25      | Fixed         | 32.04%                | Yes           |                  3 | On Loan: No      |
| 342571826.UL.NBM                      | 342571826.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        78 | PA      | $77.76        | 0.00%             | 2026-02-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342572935.UL.NBM                      | 342572935.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        50 | PA      | $49.55        | 0.00%             | 2026-02-23      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342049178.UL.NBM                      | 342049178.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4451 | PA      | $4382.37      | 0.01%             | 2027-08-22      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342050634.UL.NBM                      | 342050634.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       356 | PA      | $354.75       | 0.00%             | 2026-05-22      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342841700.UL.NBM                      | 342841700.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       117 | PA      | $116.07       | 0.00%             | 2026-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342841710.UL.NBM                      | 342841710.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       805 | PA      | $796.26       | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5867335.UP.NBM                      | FW5867335.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1652 | PA      | $1732.64      | 0.00%             | 2030-08-25      | Fixed         | 32.19%                | Yes           |                  3 | On Loan: No      |
| FW5867353.UP.NBM                      | FW5867353.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12528 | PA      | $13072.16     | 0.02%             | 2028-08-25      | Fixed         | 29.95%                | Yes           |                  3 | On Loan: No      |
| L5867776.UP.NBM                       | L5867776.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9947 | PA      | $9701.31      | 0.01%             | 2030-08-25      | Fixed         | 24.17%                | Yes           |                  3 | On Loan: No      |
| L5867828.UP.NBM                       | L5867828.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7626 | PA      | $7197.70      | 0.01%             | 2030-08-25      | Fixed         | 25.24%                | Yes           |                  3 | On Loan: No      |
| 342573181.UL.NBM                      | 342573181.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2133 | PA      | $2101.07      | 0.00%             | 2027-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342573293.UL.NBM                      | 342573293.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       163 | PA      | $157.01       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9995693.SQ.NBM                        | 9995693.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18028 | PA      | $17055.08     | 0.02%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9995886.SQ.NBM                        | 9995886.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1436 | PA      | $1349.36      | 0.00%             | 2027-04-29      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342841892.UL.NBM                      | 342841892.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       213 | PA      | $211.36       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342842151.UL.NBM                      | 342842151.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       288 | PA      | $290.26       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5867427.UP.NBM                      | FW5867427.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10497 | PA      | $10721.52     | 0.01%             | 2030-08-25      | Fixed         | 19.67%                | Yes           |                  3 | On Loan: No      |
| FW5867467.UP.NBM                      | FW5867467.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1059 | PA      | $1009.79      | 0.00%             | 2030-08-25      | Fixed         | 22.60%                | Yes           |                  3 | On Loan: No      |
| L5867830.UP.NBM                       | L5867830.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2376 | PA      | $2187.80      | 0.00%             | 2030-08-25      | Fixed         | 17.89%                | Yes           |                  3 | On Loan: No      |
| L5867836.UP.NBM                       | L5867836.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3111 | PA      | $2901.53      | 0.00%             | 2028-08-25      | Fixed         | 18.99%                | Yes           |                  3 | On Loan: No      |
| L5867877.UP.NBM                       | L5867877.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       478 | PA      | $481.08       | 0.00%             | 2030-08-25      | Fixed         | 19.30%                | Yes           |                  3 | On Loan: No      |
| L5873071.UP.NBM                       | L5873071.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5787 | PA      | $5387.41      | 0.01%             | 2030-08-26      | Fixed         | 24.34%                | Yes           |                  3 | On Loan: No      |
| FW5867475.UP.NBM                      | FW5867475.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21280 | PA      | $20718.53     | 0.03%             | 2030-08-25      | Fixed         | 27.25%                | Yes           |                  3 | On Loan: No      |
| FW5867491.UP.NBM                      | FW5867491.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3268 | PA      | $3177.46      | 0.00%             | 2030-08-25      | Fixed         | 21.12%                | Yes           |                  3 | On Loan: No      |
| 342842938.UL.NBM                      | 342842938.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       486 | PA      | $482.69       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342843697.UL.NBM                      | 342843697.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       221 | PA      | $219.12       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5873112.UP.NBM                       | L5873112.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4252 | PA      | $4080.21      | 0.01%             | 2030-08-26      | Fixed         | 26.28%                | Yes           |                  3 | On Loan: No      |
| L5873114.UP.NBM                       | L5873114.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13152 | PA      | $13095.42     | 0.02%             | 2030-08-26      | Fixed         | 25.47%                | Yes           |                  3 | On Loan: No      |
| 342574560.UL.NBM                      | 342574560.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       785 | PA      | $775.70       | 0.00%             | 2026-07-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342575089.UL.NBM                      | 342575089.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       850 | PA      | $840.10       | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5858777.UP.NBM                     | CBM5858777.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5081 | PA      | $5120.76      | 0.01%             | 2030-08-22      | Fixed         | 29.83%                | Yes           |                  3 | On Loan: No      |
| CBM5858791.UP.NBM                     | CBM5858791.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8197 | PA      | $8114.35      | 0.01%             | 2028-08-22      | Fixed         | 30.23%                | Yes           |                  3 | On Loan: No      |
| FW5867502.UP.NBM                      | FW5867502.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2524 | PA      | $2601.29      | 0.00%             | 2030-08-25      | Fixed         | 31.00%                | Yes           |                  3 | On Loan: No      |
| FW5867528.UP.NBM                      | FW5867528.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2910 | PA      | $2970.11      | 0.00%             | 2030-08-25      | Fixed         | 30.35%                | Yes           |                  3 | On Loan: No      |
| 342843699.UL.NBM                      | 342843699.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       532 | PA      | $527.12       | 0.00%             | 2026-05-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342844379.UL.NBM                      | 342844379.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1042 | PA      | $961.97       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| CBM5859142.UP.NBM                     | CBM5859142.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4426 | PA      | $4634.78      | 0.01%             | 2030-08-22      | Fixed         | 32.32%                | Yes           |                  3 | On Loan: No      |
| CBM5859166.UP.NBM                     | CBM5859166.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1158 | PA      | $1092.95      | 0.00%             | 2030-08-22      | Fixed         | 25.31%                | Yes           |                  3 | On Loan: No      |
| CBM5859178.UP.NBM                     | CBM5859178.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14434 | PA      | $15147.80     | 0.02%             | 2030-08-22      | Fixed         | 28.81%                | Yes           |                  3 | On Loan: No      |
| CBM5859189.UP.NBM                     | CBM5859189.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6214 | PA      | $6381.27      | 0.01%             | 2030-08-22      | Fixed         | 30.87%                | Yes           |                  3 | On Loan: No      |
| 342575576.UL.NBM                      | 342575576.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       521 | PA      | $517.96       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342576236.UL.NBM                      | 342576236.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        47 | PA      | $46.47        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342577024.UL.NBM                      | 342577024.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       200 | PA      | $198.37       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342579466.UL.NBM                      | 342579466.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       461 | PA      | $462.85       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5867548.UP.NBM                      | FW5867548.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3901 | PA      | $4093.83      | 0.01%             | 2030-08-25      | Fixed         | 32.22%                | Yes           |                  3 | On Loan: No      |
| FW5867593.UP.NBM                      | FW5867593.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1062 | PA      | $1004.19      | 0.00%             | 2030-08-25      | Fixed         | 25.36%                | Yes           |                  3 | On Loan: No      |
| L5873159.UP.NBM                       | L5873159.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15950 | PA      | $15189.97     | 0.02%             | 2028-08-26      | Fixed         | 16.26%                | Yes           |                  3 | On Loan: No      |
| L5873164.UP.NBM                       | L5873164.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     22181 | PA      | $20634.54     | 0.03%             | 2030-08-26      | Fixed         | 24.29%                | Yes           |                  3 | On Loan: No      |
| L5873178.UP.NBM                       | L5873178.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1557 | PA      | $1465.46      | 0.00%             | 2028-08-26      | Fixed         | 19.82%                | Yes           |                  3 | On Loan: No      |
| L5873185.UP.NBM                       | L5873185.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1440 | PA      | $1380.65      | 0.00%             | 2030-08-26      | Fixed         | 20.21%                | Yes           |                  3 | On Loan: No      |
| 342580004.UL.NBM                      | 342580004.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        79 | PA      | $78.99        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342581251.UL.NBM                      | 342581251.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2004 | PA      | $1987.57      | 0.00%             | 2026-07-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5861125.UP.NBM                     | CBM5861125.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2607 | PA      | $2715.07      | 0.00%             | 2030-08-25      | Fixed         | 31.83%                | Yes           |                  3 | On Loan: No      |
| CBM5861238.UP.NBM                     | CBM5861238.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3367 | PA      | $3170.41      | 0.00%             | 2030-08-25      | Fixed         | 21.82%                | Yes           |                  3 | On Loan: No      |
| CBM5861312.UP.NBM                     | CBM5861312.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3371 | PA      | $3238.90      | 0.00%             | 2030-08-25      | Fixed         | 23.07%                | Yes           |                  3 | On Loan: No      |
| CBM5861328.UP.NBM                     | CBM5861328.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2282 | PA      | $2197.79      | 0.00%             | 2028-08-25      | Fixed         | 17.33%                | Yes           |                  3 | On Loan: No      |
| FW5867596.UP.NBM                      | FW5867596.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4100 | PA      | $-18.90       | -0.00%            | 2030-08-25      | Fixed         | 30.05%                | Yes           |                  3 | On Loan: No      |
| FW5867623.UP.NBM                      | FW5867623.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5076 | PA      | $5064.08      | 0.01%             | 2030-08-25      | Fixed         | 28.99%                | Yes           |                  3 | On Loan: No      |
| FW5867740.UP.NBM                      | FW5867740.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4709 | PA      | $4687.36      | 0.01%             | 2030-08-25      | Fixed         | 28.83%                | Yes           |                  3 | On Loan: No      |
| FW5867849.UP.NBM                      | FW5867849.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10149 | PA      | $10064.48     | 0.01%             | 2030-08-25      | Fixed         | 17.78%                | Yes           |                  3 | On Loan: No      |
| L5873238.UP.NBM                       | L5873238.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2745 | PA      | $2650.28      | 0.00%             | 2030-08-26      | Fixed         | 13.09%                | Yes           |                  3 | On Loan: No      |
| L5873253.UP.NBM                       | L5873253.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1540 | PA      | $1467.80      | 0.00%             | 2030-08-26      | Fixed         | 22.54%                | Yes           |                  3 | On Loan: No      |
| 342581307.UL.NBM                      | 342581307.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       206 | PA      | $204.28       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342631145.UL.NBM                      | 342631145.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3283 | PA      | $3233.34      | 0.00%             | 2027-08-23      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| CBM5874606.UP.NBM                     | CBM5874606.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2418 | PA      | $2527.01      | 0.00%             | 2030-08-26      | Fixed         | 32.39%                | Yes           |                  3 | On Loan: No      |
| CBM5874623.UP.NBM                     | CBM5874623.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2970 | PA      | $3067.59      | 0.00%             | 2030-08-26      | Fixed         | 31.29%                | Yes           |                  3 | On Loan: No      |
| FW5867858.UP.NBM                      | FW5867858.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     22474 | PA      | $22405.20     | 0.03%             | 2030-08-25      | Fixed         | 28.80%                | Yes           |                  3 | On Loan: No      |
| FW5867874.UP.NBM                      | FW5867874.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3208 | PA      | $3330.88      | 0.00%             | 2030-08-25      | Fixed         | 31.51%                | Yes           |                  3 | On Loan: No      |
| L5873260.UP.NBM                       | L5873260.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2382 | PA      | $2221.89      | 0.00%             | 2030-08-26      | Fixed         | 14.07%                | Yes           |                  3 | On Loan: No      |
| L5873269.UP.NBM                       | L5873269.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     29898 | PA      | $29189.45     | 0.04%             | 2030-08-26      | Fixed         | 16.90%                | Yes           |                  3 | On Loan: No      |
| 342631354.UL.NBM                      | 342631354.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1867 | PA      | $1838.95      | 0.00%             | 2027-02-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342632000.UL.NBM                      | 342632000.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       576 | PA      | $572.47       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| CBM5874628.UP.NBM                     | CBM5874628.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8354 | PA      | $8728.81      | 0.01%             | 2030-08-26      | Fixed         | 31.89%                | Yes           |                  3 | On Loan: No      |
| CBM5874640.UP.NBM                     | CBM5874640.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     16826 | PA      | $17201.15     | 0.02%             | 2030-08-26      | Fixed         | 26.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858029.UP.NBM                     | DRB5858029.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1356 | PA      | $1351.83      | 0.00%             | 2030-08-22      | Fixed         | 28.88%                | Yes           |                  3 | On Loan: No      |
| DRB5858031.UP.NBM                     | DRB5858031.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2105 | PA      | $2125.66      | 0.00%             | 2030-08-22      | Fixed         | 29.90%                | Yes           |                  3 | On Loan: No      |
| FW5867889.UP.NBM                      | FW5867889.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18706 | PA      | $17702.35     | 0.02%             | 2030-08-25      | Fixed         | 19.42%                | Yes           |                  3 | On Loan: No      |
| FW5867910.UP.NBM                      | FW5867910.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1071 | PA      | $268.00       | 0.00%             | 2028-08-25      | Fixed         | 19.27%                | Yes           |                  3 | On Loan: No      |
| L5873420.UP.NBM                       | L5873420.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12044 | PA      | $11689.31     | 0.02%             | 2030-08-26      | Fixed         | 16.46%                | Yes           |                  3 | On Loan: No      |
| L5873441.UP.NBM                       | L5873441.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     24014 | PA      | $23279.33     | 0.03%             | 2028-08-26      | Fixed         | 14.70%                | Yes           |                  3 | On Loan: No      |
| 342632092.UL.NBM                      | 342632092.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1783 | PA      | $1762.59      | 0.00%             | 2027-08-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342632207.UL.NBM                      | 342632207.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       267 | PA      | $264.00       | 0.00%             | 2026-05-23      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858060.UP.NBM                     | DRB5858060.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3370 | PA      | $3455.58      | 0.00%             | 2030-08-22      | Fixed         | 24.72%                | Yes           |                  3 | On Loan: No      |
| DRB5858072.UP.NBM                     | DRB5858072.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2807 | PA      | $2758.47      | 0.00%             | 2030-08-22      | Fixed         | 27.95%                | Yes           |                  3 | On Loan: No      |
| DRB5858793.UP.NBM                     | DRB5858793.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9494 | PA      | $9434.35      | 0.01%             | 2030-08-22      | Fixed         | 28.68%                | Yes           |                  3 | On Loan: No      |
| DRB5858798.UP.NBM                     | DRB5858798.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2095 | PA      | $2118.40      | 0.00%             | 2030-08-22      | Fixed         | 30.03%                | Yes           |                  3 | On Loan: No      |
| FW5867919.UP.NBM                      | FW5867919.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1059 | PA      | $1005.80      | 0.00%             | 2030-08-25      | Fixed         | 22.36%                | Yes           |                  3 | On Loan: No      |
| FW5867925.UP.NBM                      | FW5867925.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3294 | PA      | $3297.82      | 0.00%             | 2030-08-25      | Fixed         | 29.07%                | Yes           |                  3 | On Loan: No      |
| L5873445.UP.NBM                       | L5873445.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2872 | PA      | $2744.88      | 0.00%             | 2030-08-26      | Fixed         | 22.87%                | Yes           |                  3 | On Loan: No      |
| L5873468.UP.NBM                       | L5873468.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1528 | PA      | $1466.18      | 0.00%             | 2030-08-26      | Fixed         | 15.83%                | Yes           |                  3 | On Loan: No      |
| 342632276.UL.NBM                      | 342632276.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3200 | PA      | $3155.72      | 0.00%             | 2027-02-23      | Fixed         | 14.99%                | Yes           |                  3 | On Loan: No      |
| 342632687.UL.NBM                      | 342632687.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       186 | PA      | $184.59       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| DRB5858803.UP.NBM                     | DRB5858803.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1009 | PA      | $1010.54      | 0.00%             | 2030-08-22      | Fixed         | 30.02%                | Yes           |                  3 | On Loan: No      |
| DRB5858809.UP.NBM                     | DRB5858809.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4050 | PA      | $3943.03      | 0.01%             | 2028-08-22      | Fixed         | 28.86%                | Yes           |                  3 | On Loan: No      |
| L5873471.UP.NBM                       | L5873471.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2737 | PA      | $2628.03      | 0.00%             | 2028-08-26      | Fixed         | 17.02%                | Yes           |                  3 | On Loan: No      |
| L5873477.UP.NBM                       | L5873477.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1561 | PA      | $1458.85      | 0.00%             | 2030-08-26      | Fixed         | 18.68%                | Yes           |                  3 | On Loan: No      |
| 342632699.UL.NBM                      | 342632699.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       363 | PA      | $359.87       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342633152.UL.NBM                      | 342633152.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       165 | PA      | $164.51       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5874977.UP.NBM                      | FW5874977.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1064 | PA      | $1041.51      | 0.00%             | 2030-08-26      | Fixed         | 27.55%                | Yes           |                  3 | On Loan: No      |
| FW5874988.UP.NBM                      | FW5874988.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1058 | PA      | $1040.26      | 0.00%             | 2030-08-26      | Fixed         | 21.80%                | Yes           |                  3 | On Loan: No      |
| FW5874996.UP.NBM                      | FW5874996.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       967 | PA      | $932.83       | 0.00%             | 2030-08-26      | Fixed         | 26.64%                | Yes           |                  3 | On Loan: No      |
| FW5875031.UP.NBM                      | FW5875031.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1151 | PA      | $1165.25      | 0.00%             | 2030-08-26      | Fixed         | 19.05%                | Yes           |                  3 | On Loan: No      |
| L5873482.UP.NBM                       | L5873482.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4667 | PA      | $4314.78      | 0.01%             | 2030-08-26      | Fixed         | 13.56%                | Yes           |                  3 | On Loan: No      |
| L5873485.UP.NBM                       | L5873485.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3766 | PA      | $3581.41      | 0.00%             | 2030-08-26      | Fixed         | 25.69%                | Yes           |                  3 | On Loan: No      |
| 342633455.UL.NBM                      | 342633455.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        78 | PA      | $77.27        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342633527.UL.NBM                      | 342633527.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       291 | PA      | $280.28       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342633689.UL.NBM                      | 342633689.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       504 | PA      | $499.52       | 0.00%             | 2026-05-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342634648.UL.NBM                      | 342634648.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        95 | PA      | $94.42        | 0.00%             | 2026-02-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| L5873493.UP.NBM                       | L5873493.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15742 | PA      | $15686.32     | 0.02%             | 2030-09-02      | Fixed         | 18.24%                | Yes           |                  3 | On Loan: No      |
| L5873497.UP.NBM                       | L5873497.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1150 | PA      | $1151.86      | 0.00%             | 2030-08-26      | Fixed         | 18.39%                | Yes           |                  3 | On Loan: No      |
| L5873515.UP.NBM                       | L5873515.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5543 | PA      | $5340.19      | 0.01%             | 2028-08-26      | Fixed         | 14.09%                | Yes           |                  3 | On Loan: No      |
| L5873527.UP.NBM                       | L5873527.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     29072 | PA      | $27000.09     | 0.04%             | 2028-08-26      | Fixed         | 23.97%                | Yes           |                  3 | On Loan: No      |
| DRB5859181.UP.NBM                     | DRB5859181.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3524 | PA      | $2977.97      | 0.00%             | 2030-08-22      | Fixed         | 30.65%                | Yes           |                  3 | On Loan: No      |
| DRB5859195.UP.NBM                     | DRB5859195.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     11244 | PA      | $11312.43     | 0.02%             | 2030-08-22      | Fixed         | 29.50%                | Yes           |                  3 | On Loan: No      |
| L5857545.UP.NBM                       | L5857545.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       986 | PA      | $937.98       | 0.00%             | 2030-08-22      | Fixed         | 19.84%                | Yes           |                  3 | On Loan: No      |
| L5857567.UP.NBM                       | L5857567.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4178 | PA      | $3983.07      | 0.01%             | 2028-08-22      | Fixed         | 13.16%                | Yes           |                  3 | On Loan: No      |
| L5873531.UP.NBM                       | L5873531.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7627 | PA      | $7147.50      | 0.01%             | 2030-08-26      | Fixed         | 14.36%                | Yes           |                  3 | On Loan: No      |
| L5873549.UP.NBM                       | L5873549.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6815 | PA      | $6430.01      | 0.01%             | 2028-08-26      | Fixed         | 15.49%                | Yes           |                  3 | On Loan: No      |
| 342634819.UL.NBM                      | 342634819.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       387 | PA      | $369.43       | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342634866.UL.NBM                      | 342634866.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       117 | PA      | $116.11       | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342635163.UL.NBM                      | 342635163.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        96 | PA      | $95.83        | 0.00%             | 2026-02-23      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342635349.UL.NBM                      | 342635349.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       347 | PA      | $343.64       | 0.00%             | 2026-05-23      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| DRB5859203.UP.NBM                     | DRB5859203.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2907 | PA      | $2908.35      | 0.00%             | 2030-08-22      | Fixed         | 29.13%                | Yes           |                  3 | On Loan: No      |
| DRB5859206.UP.NBM                     | DRB5859206.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3748 | PA      | $3688.52      | 0.01%             | 2028-08-22      | Fixed         | 29.95%                | Yes           |                  3 | On Loan: No      |
| DRB5859207.UP.NBM                     | DRB5859207.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       974 | PA      | $984.47       | 0.00%             | 2030-08-22      | Fixed         | 29.84%                | Yes           |                  3 | On Loan: No      |
| DRB5859229.UP.NBM                     | DRB5859229.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6177 | PA      | $5808.91      | 0.01%             | 2030-08-22      | Fixed         | 25.09%                | Yes           |                  3 | On Loan: No      |
| L5857570.UP.NBM                       | L5857570.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2748 | PA      | $585.68       | 0.00%             | 2030-08-22      | Fixed         | 20.18%                | Yes           |                  3 | On Loan: No      |
| L5857586.UP.NBM                       | L5857586.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3308 | PA      | $3090.98      | 0.00%             | 2030-09-04      | Fixed         | 21.61%                | Yes           |                  3 | On Loan: No      |
| L5873555.UP.NBM                       | L5873555.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3466 | PA      | $374.63       | 0.00%             | 2030-08-26      | Fixed         | 19.05%                | Yes           |                  3 | On Loan: No      |
| L5873568.UP.NBM                       | L5873568.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1276 | PA      | $1210.62      | 0.00%             | 2028-08-26      | Fixed         | 15.94%                | Yes           |                  3 | On Loan: No      |
| DRB5861053.UP.NBM                     | DRB5861053.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1188 | PA      | $1152.42      | 0.00%             | 2028-08-22      | Fixed         | 18.08%                | Yes           |                  3 | On Loan: No      |
| DRB5861071.UP.NBM                     | DRB5861071.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1943 | PA      | $2023.36      | 0.00%             | 2030-08-22      | Fixed         | 31.82%                | Yes           |                  3 | On Loan: No      |
| DRB5861075.UP.NBM                     | DRB5861075.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2218 | PA      | $2277.62      | 0.00%             | 2030-08-22      | Fixed         | 31.01%                | Yes           |                  3 | On Loan: No      |
| DRB5861077.UP.NBM                     | DRB5861077.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1051 | PA      | $1019.29      | 0.00%             | 2030-08-22      | Fixed         | 16.43%                | Yes           |                  3 | On Loan: No      |
| 342637321.UL.NBM                      | 342637321.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       232 | PA      | $230.60       | 0.00%             | 2026-02-23      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342637379.UL.NBM                      | 342637379.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        67 | PA      | $66.35        | 0.00%             | 2026-02-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5857673.UP.NBM                       | L5857673.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2673 | PA      | $2546.54      | 0.00%             | 2030-08-22      | Fixed         | 15.38%                | Yes           |                  3 | On Loan: No      |
| L5857674.UP.NBM                       | L5857674.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4933 | PA      | $4714.54      | 0.01%             | 2030-08-22      | Fixed         | 15.65%                | Yes           |                  3 | On Loan: No      |
| L5857815.UP.NBM                       | L5857815.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2886 | PA      | $2721.28      | 0.00%             | 2030-08-22      | Fixed         | 21.96%                | Yes           |                  3 | On Loan: No      |
| L5857882.UP.NBM                       | L5857882.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1926 | PA      | $1927.67      | 0.00%             | 2030-08-22      | Fixed         | 23.01%                | Yes           |                  3 | On Loan: No      |
| L5873586.UP.NBM                       | L5873586.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4891 | PA      | $4428.87      | 0.01%             | 2030-09-05      | Fixed         | 23.00%                | Yes           |                  3 | On Loan: No      |
| L5873593.UP.NBM                       | L5873593.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12270 | PA      | $11509.28     | 0.02%             | 2030-08-26      | Fixed         | 18.85%                | Yes           |                  3 | On Loan: No      |
| L5857911.UP.NBM                       | L5857911.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9522 | PA      | $9350.40      | 0.01%             | 2030-08-22      | Fixed         | 21.80%                | Yes           |                  3 | On Loan: No      |
| L5857929.UP.NBM                       | L5857929.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3171 | PA      | $2939.86      | 0.00%             | 2030-08-22      | Fixed         | 20.91%                | Yes           |                  3 | On Loan: No      |
| L5857960.UP.NBM                       | L5857960.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     21572 | PA      | $19841.79     | 0.03%             | 2030-08-22      | Fixed         | 20.57%                | Yes           |                  3 | On Loan: No      |
| L5857973.UP.NBM                       | L5857973.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8054 | PA      | $7867.65      | 0.01%             | 2030-08-22      | Fixed         | 24.40%                | Yes           |                  3 | On Loan: No      |
| DRB5861080.UP.NBM                     | DRB5861080.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1721 | PA      | $1688.79      | 0.00%             | 2030-08-22      | Fixed         | 28.02%                | Yes           |                  3 | On Loan: No      |
| DRB5861081.UP.NBM                     | DRB5861081.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5521 | PA      | $5490.39      | 0.01%             | 2030-08-22      | Fixed         | 28.73%                | Yes           |                  3 | On Loan: No      |
| DRB5861082.UP.NBM                     | DRB5861082.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3108 | PA      | $3232.86      | 0.00%             | 2030-08-22      | Fixed         | 31.73%                | Yes           |                  3 | On Loan: No      |
| DRB5861090.UP.NBM                     | DRB5861090.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1487 | PA      | $1583.63      | 0.00%             | 2030-08-22      | Fixed         | 27.81%                | Yes           |                  3 | On Loan: No      |
| 342637672.UL.NBM                      | 342637672.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       293 | PA      | $291.46       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342638588.UL.NBM                      | 342638588.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1643 | PA      | $1557.49      | 0.00%             | 2026-02-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342640402.UL.NBM                      | 342640402.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       288 | PA      | $284.73       | 0.00%             | 2026-05-23      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342640877.UL.NBM                      | 342640877.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1304 | PA      | $1218.83      | 0.00%             | 2026-05-23      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5858005.UP.NBM                       | L5858005.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4285 | PA      | $4081.23      | 0.01%             | 2030-08-22      | Fixed         | 22.74%                | Yes           |                  3 | On Loan: No      |
| L5858008.UP.NBM                       | L5858008.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1626 | PA      | $1585.58      | 0.00%             | 2030-08-22      | Fixed         | 16.80%                | Yes           |                  3 | On Loan: No      |
| DRB5861092.UP.NBM                     | DRB5861092.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5089 | PA      | $4343.83      | 0.01%             | 2030-08-22      | Fixed         | 31.01%                | Yes           |                  3 | On Loan: No      |
| DRB5861104.UP.NBM                     | DRB5861104.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2219 | PA      | $2128.62      | 0.00%             | 2028-08-22      | Fixed         | 27.33%                | Yes           |                  3 | On Loan: No      |
| 342641509.UL.NBM                      | 342641509.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        57 | PA      | $56.91        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342650095.UL.NBM                      | 342650095.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2153 | PA      | $2119.88      | 0.00%             | 2027-08-24      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| L5873594.UP.NBM                       | L5873594.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3323 | PA      | $3336.76      | 0.00%             | 2030-08-26      | Fixed         | 18.62%                | Yes           |                  3 | On Loan: No      |
| L5873595.UP.NBM                       | L5873595.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6697 | PA      | $6195.17      | 0.01%             | 2030-08-26      | Fixed         | 20.86%                | Yes           |                  3 | On Loan: No      |
| L5873606.UP.NBM                       | L5873606.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     38072 | PA      | $37104.81     | 0.05%             | 2030-08-26      | Fixed         | 24.11%                | Yes           |                  3 | On Loan: No      |
| L5873635.UP.NBM                       | L5873635.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1177 | PA      | $253.04       | 0.00%             | 2030-08-26      | Fixed         | 21.12%                | Yes           |                  3 | On Loan: No      |
| L5858021.UP.NBM                       | L5858021.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13458 | PA      | $12304.25     | 0.02%             | 2028-08-22      | Fixed         | 17.14%                | Yes           |                  3 | On Loan: No      |
| L5858046.UP.NBM                       | L5858046.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9438 | PA      | $9042.25      | 0.01%             | 2030-08-22      | Fixed         | 22.96%                | Yes           |                  3 | On Loan: No      |
| DRB5861177.UP.NBM                     | DRB5861177.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1828 | PA      | $1817.19      | 0.00%             | 2030-08-22      | Fixed         | 25.48%                | Yes           |                  3 | On Loan: No      |
| DRB5861188.UP.NBM                     | DRB5861188.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1162 | PA      | $1151.44      | 0.00%             | 2030-08-25      | Fixed         | 28.40%                | Yes           |                  3 | On Loan: No      |
| L5873641.UP.NBM                       | L5873641.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3182 | PA      | $2971.96      | 0.00%             | 2028-08-26      | Fixed         | 14.45%                | Yes           |                  3 | On Loan: No      |
| L5873707.UP.NBM                       | L5873707.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5378 | PA      | $4958.06      | 0.01%             | 2030-08-26      | Fixed         | 20.48%                | Yes           |                  3 | On Loan: No      |
| 342650255.UL.NBM                      | 342650255.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       114 | PA      | $113.18       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342650309.UL.NBM                      | 342650309.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       156 | PA      | $154.76       | 0.00%             | 2026-02-24      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342650328.UL.NBM                      | 342650328.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        51 | PA      | $50.24        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342650366.UL.NBM                      | 342650366.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       313 | PA      | $309.74       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5858063.UP.NBM                       | L5858063.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2721 | PA      | $2610.33      | 0.00%             | 2030-08-22      | Fixed         | 23.19%                | Yes           |                  3 | On Loan: No      |
| L5858090.UP.NBM                       | L5858090.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1384 | PA      | $113.08       | 0.00%             | 2030-08-22      | Fixed         | 19.75%                | Yes           |                  3 | On Loan: No      |
| L5858163.UP.NBM                       | L5858163.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1044 | PA      | $1023.26      | 0.00%             | 2030-08-22      | Fixed         | 12.38%                | Yes           |                  3 | On Loan: No      |
| L5858179.UP.NBM                       | L5858179.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1056 | PA      | $1003.87      | 0.00%             | 2030-08-22      | Fixed         | 19.89%                | Yes           |                  3 | On Loan: No      |
| DRB5861280.UP.NBM                     | DRB5861280.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14482 | PA      | $14361.49     | 0.02%             | 2028-08-22      | Fixed         | 30.42%                | Yes           |                  3 | On Loan: No      |
| DRB5861494.UP.NBM                     | DRB5861494.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4650 | PA      | $4637.71      | 0.01%             | 2030-08-22      | Fixed         | 28.92%                | Yes           |                  3 | On Loan: No      |
| DRB5861508.UP.NBM                     | DRB5861508.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3780 | PA      | $3800.90      | 0.01%             | 2030-08-22      | Fixed         | 29.46%                | Yes           |                  3 | On Loan: No      |
| DRB5861531.UP.NBM                     | DRB5861531.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4173 | PA      | $271.43       | 0.00%             | 2030-08-22      | Fixed         | 32.35%                | Yes           |                  3 | On Loan: No      |
| 342650453.UL.NBM                      | 342650453.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4908 | PA      | $4828.28      | 0.01%             | 2027-08-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342650537.UL.NBM                      | 342650537.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       365 | PA      | $363.06       | 0.00%             | 2026-05-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| L5873713.UP.NBM                       | L5873713.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     23957 | PA      | $22453.68     | 0.03%             | 2030-08-26      | Fixed         | 18.92%                | Yes           |                  3 | On Loan: No      |
| L5873879.UP.NBM                       | L5873879.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     22508 | PA      | $22446.82     | 0.03%             | 2030-08-26      | Fixed         | 18.11%                | Yes           |                  3 | On Loan: No      |
| L5873886.UP.NBM                       | L5873886.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     28057 | PA      | $27195.05     | 0.04%             | 2030-08-26      | Fixed         | 20.90%                | Yes           |                  3 | On Loan: No      |
| L5873896.UP.NBM                       | L5873896.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2393 | PA      | $2367.59      | 0.00%             | 2030-08-26      | Fixed         | 17.69%                | Yes           |                  3 | On Loan: No      |
| L5858806.UP.NBM                       | L5858806.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14384 | PA      | $13853.34     | 0.02%             | 2030-08-26      | Fixed         | 23.20%                | Yes           |                  3 | On Loan: No      |
| L5858807.UP.NBM                       | L5858807.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1165 | PA      | $912.51       | 0.00%             | 2030-08-22      | Fixed         | 20.62%                | Yes           |                  3 | On Loan: No      |
| DRB5861585.UP.NBM                     | DRB5861585.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3371 | PA      | $3370.32      | 0.00%             | 2030-08-25      | Fixed         | 29.12%                | Yes           |                  3 | On Loan: No      |
| DRB5861598.UP.NBM                     | DRB5861598.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5279 | PA      | $5158.98      | 0.01%             | 2028-08-25      | Fixed         | 29.05%                | Yes           |                  3 | On Loan: No      |
| 342650613.UL.NBM                      | 342650613.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       436 | PA      | $407.48       | 0.00%             | 2026-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342650637.UL.NBM                      | 342650637.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       140 | PA      | $139.18       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5873926.UP.NBM                       | L5873926.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9693 | PA      | $8939.58      | 0.01%             | 2028-08-26      | Fixed         | 17.88%                | Yes           |                  3 | On Loan: No      |
| L5874024.UP.NBM                       | L5874024.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1902 | PA      | $1851.69      | 0.00%             | 2030-08-26      | Fixed         | 16.73%                | Yes           |                  3 | On Loan: No      |
| L5858810.UP.NBM                       | L5858810.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4896 | PA      | $4497.94      | 0.01%             | 2028-08-22      | Fixed         | 17.77%                | Yes           |                  3 | On Loan: No      |
| L5858811.UP.NBM                       | L5858811.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3371 | PA      | $3239.82      | 0.00%             | 2030-08-22      | Fixed         | 23.15%                | Yes           |                  3 | On Loan: No      |
| DRB5861623.UP.NBM                     | DRB5861623.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2610 | PA      | $2650.49      | 0.00%             | 2030-08-25      | Fixed         | 26.59%                | Yes           |                  3 | On Loan: No      |
| DRB5861707.UP.NBM                     | DRB5861707.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2327 | PA      | $2364.78      | 0.00%             | 2030-08-26      | Fixed         | 30.02%                | Yes           |                  3 | On Loan: No      |
| 342650651.UL.NBM                      | 342650651.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       216 | PA      | $214.54       | 0.00%             | 2026-05-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342650843.UL.NBM                      | 342650843.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       283 | PA      | $280.00       | 0.00%             | 2026-05-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| L5874093.UP.NBM                       | L5874093.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1542 | PA      | $1451.91      | 0.00%             | 2030-08-26      | Fixed         | 19.19%                | Yes           |                  3 | On Loan: No      |
| L5874140.UP.NBM                       | L5874140.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4035 | PA      | $4192.26      | 0.01%             | 2030-08-26      | Fixed         | 20.64%                | Yes           |                  3 | On Loan: No      |
| L5874147.UP.NBM                       | L5874147.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4796 | PA      | $4877.15      | 0.01%             | 2030-08-26      | Fixed         | 19.31%                | Yes           |                  3 | On Loan: No      |
| L5874368.UP.NBM                       | L5874368.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1631 | PA      | $1662.28      | 0.00%             | 2030-08-26      | Fixed         | 19.45%                | Yes           |                  3 | On Loan: No      |
| L5858813.UP.NBM                       | L5858813.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       994 | PA      | $948.38       | 0.00%             | 2028-08-22      | Fixed         | 13.29%                | Yes           |                  3 | On Loan: No      |
| L5858822.UP.NBM                       | L5858822.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5157 | PA      | $4964.70      | 0.01%             | 2028-08-22      | Fixed         | 14.15%                | Yes           |                  3 | On Loan: No      |
| L5858829.UP.NBM                       | L5858829.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1926 | PA      | $1846.93      | 0.00%             | 2030-08-22      | Fixed         | 23.01%                | Yes           |                  3 | On Loan: No      |
| L5858848.UP.NBM                       | L5858848.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2863 | PA      | $2722.59      | 0.00%             | 2030-08-22      | Fixed         | 15.26%                | Yes           |                  3 | On Loan: No      |
| 342650962.UL.NBM                      | 342650962.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       860 | PA      | $854.90       | 0.00%             | 2026-02-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342650986.UL.NBM                      | 342650986.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        50 | PA      | $49.34        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5874418.UP.NBM                       | L5874418.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1832 | PA      | $1726.09      | 0.00%             | 2028-08-26      | Fixed         | 19.92%                | Yes           |                  3 | On Loan: No      |
| L5874451.UP.NBM                       | L5874451.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1922 | PA      | $1866.16      | 0.00%             | 2030-08-26      | Fixed         | 21.01%                | Yes           |                  3 | On Loan: No      |
| L5874469.UP.NBM                       | L5874469.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6674 | PA      | $6261.97      | 0.01%             | 2030-08-26      | Fixed         | 14.43%                | Yes           |                  3 | On Loan: No      |
| L5874499.UP.NBM                       | L5874499.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2654 | PA      | $2612.93      | 0.00%             | 2030-08-26      | Fixed         | 17.40%                | Yes           |                  3 | On Loan: No      |
| L5858849.UP.NBM                       | L5858849.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5764 | PA      | $5323.11      | 0.01%             | 2030-08-22      | Fixed         | 20.67%                | Yes           |                  3 | On Loan: No      |
| L5858850.UP.NBM                       | L5858850.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2647 | PA      | $2516.44      | 0.00%             | 2030-08-22      | Fixed         | 15.33%                | Yes           |                  3 | On Loan: No      |
| L5858863.UP.NBM                       | L5858863.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     17074 | PA      | $15824.62     | 0.02%             | 2028-08-22      | Fixed         | 13.77%                | Yes           |                  3 | On Loan: No      |
| L5858869.UP.NBM                       | L5858869.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1003 | PA      | $955.29       | 0.00%             | 2028-08-22      | Fixed         | 16.36%                | Yes           |                  3 | On Loan: No      |
| 342651017.UL.NBM                      | 342651017.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1700 | PA      | $1670.60      | 0.00%             | 2027-08-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342651137.UL.NBM                      | 342651137.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        80 | PA      | $79.19        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342651169.UL.NBM                      | 342651169.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       390 | PA      | $391.63       | 0.00%             | 2026-05-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342651312.UL.NBM                      | 342651312.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       349 | PA      | $184.67       | 0.00%             | 2026-05-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| L5874504.UP.NBM                       | L5874504.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2305 | PA      | $2289.01      | 0.00%             | 2028-08-26      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| L5874576.UP.NBM                       | L5874576.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       949 | PA      | $883.68       | 0.00%             | 2030-08-26      | Fixed         | 10.94%                | Yes           |                  3 | On Loan: No      |
| 9780431.SQ.NBM                        | 9780431.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      7112 | PA      | $6766.71      | 0.01%             | 2027-03-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9780524.SQ.NBM                        | 9780524.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3838 | PA      | $3752.47      | 0.01%             | 2027-03-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| L5874607.UP.NBM                       | L5874607.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1042 | PA      | $987.06       | 0.00%             | 2028-08-26      | Fixed         | 12.21%                | Yes           |                  3 | On Loan: No      |
| L5874645.UP.NBM                       | L5874645.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9589 | PA      | $9035.47      | 0.01%             | 2030-08-26      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| L5874647.UP.NBM                       | L5874647.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     45400 | PA      | $43753.01     | 0.06%             | 2028-08-26      | Fixed         | 17.50%                | Yes           |                  3 | On Loan: No      |
| L5874652.UP.NBM                       | L5874652.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4328 | PA      | $4246.85      | 0.01%             | 2030-08-26      | Fixed         | 21.68%                | Yes           |                  3 | On Loan: No      |
| 342651323.UL.NBM                      | 342651323.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       184 | PA      | $182.43       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342651522.UL.NBM                      | 342651522.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       391 | PA      | $387.75       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9780602.SQ.NBM                        | 9780602.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     50643 | PA      | $48085.68     | 0.07%             | 2027-03-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9781179.SQ.NBM                        | 9781179.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1929 | PA      | $1815.82      | 0.00%             | 2027-03-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342652185.UL.NBM                      | 342652185.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       133 | PA      | $127.35       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342652358.UL.NBM                      | 342652358.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       491 | PA      | $495.05       | 0.00%             | 2026-02-24      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342652461.UL.NBM                      | 342652461.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       979 | PA      | $968.57       | 0.00%             | 2026-07-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342652547.UL.NBM                      | 342652547.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       741 | PA      | $683.03       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342652567.UL.NBM                      | 342652567.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       421 | PA      | $181.95       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342652689.UL.NBM                      | 342652689.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1206 | PA      | $1203.82      | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9781197.SQ.NBM                        | 9781197.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8536 | PA      | $7933.71      | 0.01%             | 2027-03-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9781282.SQ.NBM                        | 9781282.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5792 | PA      | $5231.70      | 0.01%             | 2027-03-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9781662.SQ.NBM                        | 9781662.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8049 | PA      | $7557.57      | 0.01%             | 2027-03-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9781751.SQ.NBM                        | 9781751.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     39758 | PA      | $33011.47     | 0.05%             | 2027-03-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9782187.SQ.NBM                        | 9782187.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     25521 | PA      | $24502.23     | 0.03%             | 2027-03-10      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9785184.SQ.NBM                        | 9785184.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     14324 | PA      | $13744.70     | 0.02%             | 2027-03-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342652711.UL.NBM                      | 342652711.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        94 | PA      | $94.17        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342652822.UL.NBM                      | 342652822.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2115 | PA      | $2090.76      | 0.00%             | 2026-07-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9785687.SQ.NBM                        | 9785687.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1440 | PA      | $1409.67      | 0.00%             | 2027-03-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9785788.SQ.NBM                        | 9785788.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2526 | PA      | $1538.34      | 0.00%             | 2027-03-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5870443.UP.NBM                     | DRB5870443.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2582 | PA      | $184.71       | 0.00%             | 2030-08-25      | Fixed         | 29.42%                | Yes           |                  3 | On Loan: No      |
| DRB5870465.UP.NBM                     | DRB5870465.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5963 | PA      | $5858.42      | 0.01%             | 2030-08-25      | Fixed         | 21.77%                | Yes           |                  3 | On Loan: No      |
| 9785844.SQ.NBM                        | 9785844.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     18544 | PA      | $17493.65     | 0.02%             | 2027-03-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9786563.SQ.NBM                        | 9786563.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2794 | PA      | $2690.43      | 0.00%             | 2027-03-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9786625.SQ.NBM                        | 9786625.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10411 | PA      | $9880.54      | 0.01%             | 2027-03-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9787951.SQ.NBM                        | 9787951.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     34484 | PA      | $32952.21     | 0.05%             | 2027-03-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342652860.UL.NBM                      | 342652860.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       169 | PA      | $168.78       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342652896.UL.NBM                      | 342652896.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       153 | PA      | $147.55       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5873289.UP.NBM                     | DRB5873289.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4178 | PA      | $4374.67      | 0.01%             | 2030-08-26      | Fixed         | 32.04%                | Yes           |                  3 | On Loan: No      |
| DRB5873296.UP.NBM                     | DRB5873296.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2268 | PA      | $2405.71      | 0.00%             | 2030-08-26      | Fixed         | 32.31%                | Yes           |                  3 | On Loan: No      |
| DRB5873310.UP.NBM                     | DRB5873310.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2307 | PA      | $2352.00      | 0.00%             | 2030-08-26      | Fixed         | 30.37%                | Yes           |                  3 | On Loan: No      |
| DRB5873320.UP.NBM                     | DRB5873320.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3721 | PA      | $3561.59      | 0.00%             | 2030-08-26      | Fixed         | 22.95%                | Yes           |                  3 | On Loan: No      |
| 9788471.SQ.NBM                        | 9788471.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4058 | PA      | $3942.14      | 0.01%             | 2027-03-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9788577.SQ.NBM                        | 9788577.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4498 | PA      | $4315.93      | 0.01%             | 2027-03-11      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342752070.UL.NBM                      | 342752070.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       228 | PA      | $226.49       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342752315.UL.NBM                      | 342752315.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       311 | PA      | $310.45       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5875058.UP.NBM                      | FW5875058.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1552 | PA      | $1577.75      | 0.00%             | 2030-08-26      | Fixed         | 30.04%                | Yes           |                  3 | On Loan: No      |
| FW5875073.UP.NBM                      | FW5875073.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3348 | PA      | $3284.67      | 0.00%             | 2030-08-26      | Fixed         | 17.11%                | Yes           |                  3 | On Loan: No      |
| FW5875085.UP.NBM                      | FW5875085.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5583 | PA      | $5892.97      | 0.01%             | 2030-08-26      | Fixed         | 32.27%                | Yes           |                  3 | On Loan: No      |
| FW5875136.UP.NBM                      | FW5875136.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1046 | PA      | $997.50       | 0.00%             | 2030-08-26      | Fixed         | 26.02%                | Yes           |                  3 | On Loan: No      |
| 9857237.SQ.NBM                        | 9857237.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1712 | PA      | $1309.69      | 0.00%             | 2027-03-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9857248.SQ.NBM                        | 9857248.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8902 | PA      | $7040.88      | 0.01%             | 2027-03-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5873335.UP.NBM                     | DRB5873335.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19932 | PA      | $19703.68     | 0.03%             | 2030-08-26      | Fixed         | 28.40%                | Yes           |                  3 | On Loan: No      |
| DRB5873339.UP.NBM                     | DRB5873339.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6199 | PA      | $6173.70      | 0.01%             | 2030-08-26      | Fixed         | 28.70%                | Yes           |                  3 | On Loan: No      |
| FW5875202.UP.NBM                      | FW5875202.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2423 | PA      | $2440.53      | 0.00%             | 2030-08-26      | Fixed         | 29.44%                | Yes           |                  3 | On Loan: No      |
| FW5875253.UP.NBM                      | FW5875253.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5687 | PA      | $5516.24      | 0.01%             | 2030-08-26      | Fixed         | 27.10%                | Yes           |                  3 | On Loan: No      |
| 342753154.UL.NBM                      | 342753154.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1224 | PA      | $1131.95      | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342753186.UL.NBM                      | 342753186.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       520 | PA      | $480.52       | 0.00%             | 2026-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9857299.SQ.NBM                        | 9857299.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3475 | PA      | $3330.03      | 0.00%             | 2027-03-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 9857331.SQ.NBM                        | 9857331.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3853 | PA      | $3691.69      | 0.01%             | 2027-03-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| DRB5873352.UP.NBM                     | DRB5873352.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5429 | PA      | $5490.58      | 0.01%             | 2030-08-26      | Fixed         | 29.71%                | Yes           |                  3 | On Loan: No      |
| DRB5873367.UP.NBM                     | DRB5873367.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2702 | PA      | $2670.33      | 0.00%             | 2030-08-26      | Fixed         | 24.83%                | Yes           |                  3 | On Loan: No      |
| FW5875843.UP.NBM                      | FW5875843.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2107 | PA      | $2167.28      | 0.00%             | 2031-01-26      | Fixed         | 31.07%                | Yes           |                  3 | On Loan: No      |
| FW5875845.UP.NBM                      | FW5875845.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3029 | PA      | $3151.66      | 0.00%             | 2030-08-26      | Fixed         | 31.88%                | Yes           |                  3 | On Loan: No      |
| 342753716.UL.NBM                      | 342753716.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       157 | PA      | $156.47       | 0.00%             | 2026-02-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342754118.UL.NBM                      | 342754118.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3501 | PA      | $3450.04      | 0.00%             | 2027-08-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342754209.UL.NBM                      | 342754209.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       728 | PA      | $668.48       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342754342.UL.NBM                      | 342754342.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       305 | PA      | $301.93       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 9857369.SQ.NBM                        | 9857369.SQ.NBM                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1721 | PA      | $1647.10      | 0.00%             | 2027-03-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| CBM5875005.UP.NBM                     | CBM5875005.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1356 | PA      | $1354.21      | 0.00%             | 2030-08-26      | Fixed         | 28.87%                | Yes           |                  3 | On Loan: No      |
| FW5860478.UP.NBM                      | FW5860478.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2332 | PA      | $2442.08      | 0.00%             | 2030-08-22      | Fixed         | 32.19%                | Yes           |                  3 | On Loan: No      |
| FW5860567.UP.NBM                      | FW5860567.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2809 | PA      | $2792.91      | 0.00%             | 2030-08-22      | Fixed         | 28.72%                | Yes           |                  3 | On Loan: No      |
| FW5860619.UP.NBM                      | FW5860619.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3063 | PA      | $3034.63      | 0.00%             | 2028-08-22      | Fixed         | 30.32%                | Yes           |                  3 | On Loan: No      |
| FW5860623.UP.NBM                      | FW5860623.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4403 | PA      | $4446.61      | 0.01%             | 2030-08-22      | Fixed         | 19.01%                | Yes           |                  3 | On Loan: No      |
| FW5875867.UP.NBM                      | FW5875867.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5385 | PA      | $5355.27      | 0.01%             | 2028-08-26      | Fixed         | 30.49%                | Yes           |                  3 | On Loan: No      |
| FW5875868.UP.NBM                      | FW5875868.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4588 | PA      | $4380.25      | 0.01%             | 2028-08-26      | Fixed         | 21.19%                | Yes           |                  3 | On Loan: No      |
| L5858877.UP.NBM                       | L5858877.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3642 | PA      | $3438.53      | 0.00%             | 2028-08-22      | Fixed         | 15.51%                | Yes           |                  3 | On Loan: No      |
| L5858878.UP.NBM                       | L5858878.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3348 | PA      | $3221.52      | 0.00%             | 2030-08-22      | Fixed         | 20.66%                | Yes           |                  3 | On Loan: No      |
| CBM5875007.UP.NBM                     | CBM5875007.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2206 | PA      | $2118.97      | 0.00%             | 2030-08-26      | Fixed         | 23.19%                | Yes           |                  3 | On Loan: No      |
| CBM5875011.UP.NBM                     | CBM5875011.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      5428 | PA      | $5183.34      | 0.01%             | 2030-08-26      | Fixed         | 15.54%                | Yes           |                  3 | On Loan: No      |
| CBM5875104.UP.NBM                     | CBM5875104.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2776 | PA      | $2683.88      | 0.00%             | 2028-08-26      | Fixed         | 27.67%                | Yes           |                  3 | On Loan: No      |
| CBM5875192.UP.NBM                     | CBM5875192.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4164 | PA      | $4151.22      | 0.01%             | 2030-08-26      | Fixed         | 28.76%                | Yes           |                  3 | On Loan: No      |
| FW5860632.UP.NBM                      | FW5860632.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2220 | PA      | $2089.35      | 0.00%             | 2030-08-22      | Fixed         | 25.14%                | Yes           |                  3 | On Loan: No      |
| FW5860647.UP.NBM                      | FW5860647.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2670 | PA      | $2511.20      | 0.00%             | 2030-08-22      | Fixed         | 19.23%                | Yes           |                  3 | On Loan: No      |
| FW5860723.UP.NBM                      | FW5860723.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3779 | PA      | $3784.57      | 0.01%             | 2030-08-22      | Fixed         | 29.19%                | Yes           |                  3 | On Loan: No      |
| FW5860737.UP.NBM                      | FW5860737.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2127 | PA      | $2048.49      | 0.00%             | 2030-08-22      | Fixed         | 26.64%                | Yes           |                  3 | On Loan: No      |
| L5858881.UP.NBM                       | L5858881.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3204 | PA      | $3147.01      | 0.00%             | 2028-08-22      | Fixed         | 19.26%                | Yes           |                  3 | On Loan: No      |
| L5859094.UP.NBM                       | L5859094.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12195 | PA      | $11707.65     | 0.02%             | 2030-08-22      | Fixed         | 15.66%                | Yes           |                  3 | On Loan: No      |
| L5859100.UP.NBM                       | L5859100.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6237 | PA      | $6378.78      | 0.01%             | 2030-08-22      | Fixed         | 19.71%                | Yes           |                  3 | On Loan: No      |
| L5859103.UP.NBM                       | L5859103.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     34259 | PA      | $33735.29     | 0.05%             | 2030-08-22      | Fixed         | 17.47%                | Yes           |                  3 | On Loan: No      |
| L5859120.UP.NBM                       | L5859120.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4785 | PA      | $4961.09      | 0.01%             | 2030-08-22      | Fixed         | 20.64%                | Yes           |                  3 | On Loan: No      |
| L5867017.UP.NBM                       | L5867017.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2310 | PA      | $2410.40      | 0.00%             | 2030-08-25      | Fixed         | 22.13%                | Yes           |                  3 | On Loan: No      |
| CBM5875279.UP.NBM                     | CBM5875279.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1643 | PA      | $1581.09      | 0.00%             | 2030-08-26      | Fixed         | 26.46%                | Yes           |                  3 | On Loan: No      |
| CBM5875394.UP.NBM                     | CBM5875394.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1177 | PA      | $264.19       | 0.00%             | 2030-08-26      | Fixed         | 13.70%                | Yes           |                  3 | On Loan: No      |
| CBM5875428.UP.NBM                     | CBM5875428.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2750 | PA      | $2852.17      | 0.00%             | 2030-08-26      | Fixed         | 31.09%                | Yes           |                  3 | On Loan: No      |
| DRB5861896.UP.NBM                     | DRB5861896.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1550 | PA      | $1630.11      | 0.00%             | 2030-08-25      | Fixed         | 28.86%                | Yes           |                  3 | On Loan: No      |
| 342641767.UL.NBM                      | 342641767.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       195 | PA      | $192.73       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342641782.UL.NBM                      | 342641782.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       369 | PA      | $372.01       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5867019.UP.NBM                       | L5867019.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     10939 | PA      | $10393.57     | 0.01%             | 2030-08-25      | Fixed         | 19.67%                | Yes           |                  3 | On Loan: No      |
| L5867033.UP.NBM                       | L5867033.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1057 | PA      | $976.64       | 0.00%             | 2030-08-25      | Fixed         | 20.66%                | Yes           |                  3 | On Loan: No      |
| FW5860743.UP.NBM                      | FW5860743.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1661 | PA      | $1384.99      | 0.00%             | 2030-08-22      | Fixed         | 28.57%                | Yes           |                  3 | On Loan: No      |
| FW5860746.UP.NBM                      | FW5860746.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2041 | PA      | $2139.25      | 0.00%             | 2030-08-22      | Fixed         | 32.26%                | Yes           |                  3 | On Loan: No      |
| DRB5861914.UP.NBM                     | DRB5861914.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3620 | PA      | $3685.34      | 0.01%             | 2030-08-25      | Fixed         | 30.37%                | Yes           |                  3 | On Loan: No      |
| DRB5862086.UP.NBM                     | DRB5862086.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2205 | PA      | $2073.61      | 0.00%             | 2030-08-25      | Fixed         | 19.02%                | Yes           |                  3 | On Loan: No      |
| 342641900.UL.NBM                      | 342641900.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       482 | PA      | $477.37       | 0.00%             | 2026-05-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| 342641907.UL.NBM                      | 342641907.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       253 | PA      | $252.12       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5867050.UP.NBM                       | L5867050.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1438 | PA      | $1342.36      | 0.00%             | 2030-08-25      | Fixed         | 18.59%                | Yes           |                  3 | On Loan: No      |
| L5867051.UP.NBM                       | L5867051.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     19091 | PA      | $19442.55     | 0.03%             | 2030-08-25      | Fixed         | 24.07%                | Yes           |                  3 | On Loan: No      |
| FW5860747.UP.NBM                      | FW5860747.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3254 | PA      | $3214.48      | 0.00%             | 2030-08-22      | Fixed         | 17.57%                | Yes           |                  3 | On Loan: No      |
| FW5860752.UP.NBM                      | FW5860752.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2330 | PA      | $2410.84      | 0.00%             | 2030-08-22      | Fixed         | 31.37%                | Yes           |                  3 | On Loan: No      |
| DRB5862100.UP.NBM                     | DRB5862100.UP.NBM                              | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4732 | PA      | $4502.75      | 0.01%             | 2028-08-25      | Fixed         | 25.99%                | Yes           |                  3 | On Loan: No      |
| 342642182.UL.NBM                      | 342642182.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       323 | PA      | $299.95       | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342642228.UL.NBM                      | 342642228.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        73 | PA      | $73.09        | 0.00%             | 2026-02-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342642229.UL.NBM                      | 342642229.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       775 | PA      | $712.33       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342642243.UL.NBM                      | 342642243.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        80 | PA      | $79.57        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5867086.UP.NBM                       | L5867086.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     32673 | PA      | $6881.25      | 0.01%             | 2030-08-25      | Fixed         | 17.37%                | Yes           |                  3 | On Loan: No      |
| L5867091.UP.NBM                       | L5867091.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1048 | PA      | $1003.77      | 0.00%             | 2030-08-25      | Fixed         | 15.74%                | Yes           |                  3 | On Loan: No      |
| 342642247.UL.NBM                      | 342642247.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       213 | PA      | $211.12       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342642274.UL.NBM                      | 342642274.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       147 | PA      | $146.11       | 0.00%             | 2026-02-24      | Fixed         | 33.99%                | Yes           |                  3 | On Loan: No      |
| 342754374.UL.NBM                      | 342754374.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       719 | PA      | $715.86       | 0.00%             | 2026-02-24      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342754548.UL.NBM                      | 342754548.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        49 | PA      | $48.90        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| FW5860755.UP.NBM                      | FW5860755.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1888 | PA      | $1765.52      | 0.00%             | 2028-08-22      | Fixed         | 19.34%                | Yes           |                  3 | On Loan: No      |
| FW5866656.UP.NBM                      | FW5866656.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2986 | PA      | $2917.97      | 0.00%             | 2029-01-25      | Fixed         | 28.48%                | Yes           |                  3 | On Loan: No      |
| FW5866701.UP.NBM                      | FW5866701.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2619 | PA      | $2675.97      | 0.00%             | 2030-08-25      | Fixed         | 30.42%                | Yes           |                  3 | On Loan: No      |
| FW5866703.UP.NBM                      | FW5866703.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1356 | PA      | $1347.46      | 0.00%             | 2030-08-25      | Fixed         | 28.59%                | Yes           |                  3 | On Loan: No      |
| L5867093.UP.NBM                       | L5867093.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12335 | PA      | $11408.60     | 0.02%             | 2030-08-25      | Fixed         | 24.03%                | Yes           |                  3 | On Loan: No      |
| L5867096.UP.NBM                       | L5867096.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1321 | PA      | $1238.95      | 0.00%             | 2030-08-25      | Fixed         | 14.51%                | Yes           |                  3 | On Loan: No      |
| L5867103.UP.NBM                       | L5867103.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     29008 | PA      | $28854.05     | 0.04%             | 2030-08-25      | Fixed         | 22.72%                | Yes           |                  3 | On Loan: No      |
| L5867110.UP.NBM                       | L5867110.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     13112 | PA      | $13343.47     | 0.02%             | 2030-08-25      | Fixed         | 24.02%                | Yes           |                  3 | On Loan: No      |
| 342754820.UL.NBM                      | 342754820.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       489 | PA      | $457.73       | 0.00%             | 2026-02-28      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342755084.UL.NBM                      | 342755084.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       939 | PA      | $870.27       | 0.00%             | 2026-07-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FW5866707.UP.NBM                      | FW5866707.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1844 | PA      | $1831.34      | 0.00%             | 2028-08-25      | Fixed         | 30.68%                | Yes           |                  3 | On Loan: No      |
| FW5866928.UP.NBM                      | FW5866928.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      6549 | PA      | $6584.38      | 0.01%             | 2030-08-25      | Fixed         | 29.15%                | Yes           |                  3 | On Loan: No      |
| FW5866981.UP.NBM                      | FW5866981.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8334 | PA      | $8817.26      | 0.01%             | 2030-08-25      | Fixed         | 29.25%                | Yes           |                  3 | On Loan: No      |
| FW5867047.UP.NBM                      | FW5867047.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1065 | PA      | $1054.64      | 0.00%             | 2030-08-26      | Fixed         | 28.32%                | Yes           |                  3 | On Loan: No      |
| L5873752.UP.NBM                       | L5873752.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      8511 | PA      | $8584.56      | 0.01%             | 2030-08-26      | Fixed         | 23.57%                | Yes           |                  3 | On Loan: No      |
| L5873824.UP.NBM                       | L5873824.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      9535 | PA      | $9158.43      | 0.01%             | 2030-08-26      | Fixed         | 23.03%                | Yes           |                  3 | On Loan: No      |
| L5873837.UP.NBM                       | L5873837.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      4201 | PA      | $4014.06      | 0.01%             | 2030-08-26      | Fixed         | 15.52%                | Yes           |                  3 | On Loan: No      |
| L5873851.UP.NBM                       | L5873851.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     12704 | PA      | $12146.88     | 0.02%             | 2030-11-26      | Fixed         | 22.15%                | Yes           |                  3 | On Loan: No      |
| 342755211.UL.NBM                      | 342755211.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       218 | PA      | $216.61       | 0.00%             | 2026-02-24      | Fixed         | 19.99%                | Yes           |                  3 | On Loan: No      |
| 342756013.UL.NBM                      | 342756013.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1758 | PA      | $1731.97      | 0.00%             | 2027-02-24      | Fixed         | 23.99%                | Yes           |                  3 | On Loan: No      |
| FW5867076.UP.NBM                      | FW5867076.UP.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3785 | PA      | $3593.08      | 0.00%             | 2028-08-26      | Fixed         | 25.85%                | Yes           |                  3 | On Loan: No      |
| L5859253.UP.NBM                       | L5859253.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      1069 | PA      | $1007.91      | 0.00%             | 2030-08-22      | Fixed         | 19.22%                | Yes           |                  3 | On Loan: No      |
| L5859280.UP.NBM                       | L5859280.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      2884 | PA      | $3029.62      | 0.00%             | 2030-08-22      | Fixed         | 21.38%                | Yes           |                  3 | On Loan: No      |
| L5859289.UP.NBM                       | L5859289.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     15998 | PA      | $16228.13     | 0.02%             | 2030-08-22      | Fixed         | 24.07%                | Yes           |                  3 | On Loan: No      |
| L5874670.UP.NBM                       | L5874670.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3835 | PA      | $3502.22      | 0.00%             | 2030-08-26      | Fixed         | 23.26%                | Yes           |                  3 | On Loan: No      |
| 342756229.UL.NBM                      | 342756229.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        48 | PA      | $47.92        | 0.00%             | 2026-02-24      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342756328.UL.NBM                      | 342756328.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       120 | PA      | $119.49       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342756413.UL.NBM                      | 342756413.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       157 | PA      | $155.95       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342756786.UL.NBM                      | 342756786.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        49 | PA      | $49.18        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| L5859296.UP.NBM                       | L5859296.UP.NBM                                | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |     23920 | PA      | $22249.42     | 0.03%             | 2030-08-22      | Fixed         | 24.39%                | Yes           |                  3 | On Loan: No      |
| 342756880.UL.NBM                      | 342756880.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        42 | PA      | $42.27        | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342757267.UL.NBM                      | 342757267.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       201 | PA      | $199.41       | 0.00%             | 2026-05-24      | Fixed         | 27.99%                | Yes           |                  3 | On Loan: No      |
| 342757323.UL.NBM                      | 342757323.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       167 | PA      | $166.55       | 0.00%             | 2026-07-24      | Fixed         | 21.99%                | Yes           |                  3 | On Loan: No      |
| 342757379.UL.NBM                      | 342757379.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       871 | PA      | $866.42       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342757735.UL.NBM                      | 342757735.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       228 | PA      | $226.22       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342757797.UL.NBM                      | 342757797.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       892 | PA      | $844.56       | 0.00%             | 2026-05-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| 342757905.UL.NBM                      | 342757905.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       361 | PA      | $357.94       | 0.00%             | 2026-05-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342757937.UL.NBM                      | 342757937.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       157 | PA      | $9.22         | 0.00%             | 2035-11-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342758037.UL.NBM                      | 342758037.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       146 | PA      | $145.18       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342758245.UL.NBM                      | 342758245.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       499 | PA      | $495.00       | 0.00%             | 2026-05-24      | Fixed         | 29.99%                | Yes           |                  3 | On Loan: No      |
| 342758351.UL.NBM                      | 342758351.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       368 | PA      | $364.72       | 0.00%             | 2026-05-24      | Fixed         | 24.99%                | Yes           |                  3 | On Loan: No      |
| 342758834.UL.NBM                      | 342758834.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |      3771 | PA      | $3716.90      | 0.01%             | 2027-02-24      | Fixed         | 16.99%                | Yes           |                  3 | On Loan: No      |
| 342758889.UL.NBM                      | 342758889.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |       105 | PA      | $104.50       | 0.00%             | 2026-02-24      | Fixed         | 35.99%                | Yes           |                  3 | On Loan: No      |
| 342759072.UL.NBM                      | 342759072.UL.NBM                               | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              |  | US        |        85 | PA      | $82.00        | 0.00%             | 2026-02-24      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-06

**Name of Applicant:** NB Asset-Based Credit Fund

**Signature:** /s/ Dean Winick

**Name of Signer:** Dean Winick

**Title:** Treasurer